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This paper introduces a new tail risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price information. Empirically, we illustrate our methodology by estimating a...
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expected investment whenever the return on equity is large enough. We label this prediction the wealth creation effect. The … returns controlling for the usual characteristics. A wealth creation factor earns a premium of about 24bps per month leading …
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