Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and … probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts … cares about the left tail of her wealth distribution benefits from using the tail loss measure as an information variable to …
