We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …

We document large, persistent exposures of hedge funds to downside tail risk. For instance, the hardest hit hedge funds … in the 1998 crisis also suffered predictably worse returns than their peers in 2007-2008. Using the conditional tail risk … factor derived by Kelly (2012), we find that tail risk is a key driver of hedge fund returns in both the time-series and …

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …

We propose and implement a procedure to dynamically hedge climate change risk. To create our hedge target, we extract … hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures … managing climate risk …

We propose and implement a procedure to dynamically hedge climate change risk. To create our hedge target, we extract … equity returns. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures. We … primarily on industry tilts. We discuss multiple directions for future research on financial approaches to managing climate risk …

We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news … change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk … approaches to managing climate risk …