The determining force behind the value premium is the matter of debate among the researchers. Some are of the opinion that the financial distress risk determines value premium whereas other theorize that value premium is basically the compensation for operating leverage (investment activity...

We investigate the relationship between hybrid tail covariance risk (HTCR) and expected return over the last four decades. Despite a significant positive HTCR-expected return relationship in Bali et al. (2014), we find that this relationship is not significant at least during average market...