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 …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

We combine high-frequency stock returns with risk-neutralization to extract the daily common component of tail risks … perceived by investors in the cross-section of firms. We find that our tail risk measure significantly predicts the equity … premium, variance risk premium and realized moments of market returns at short-horizons. Furthermore, a long-short portfolio …

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 tail risk measure over a long historical period based on a set of size …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …