distribution (i.e., risk). It also mitigates the uncertainty about the true distribution of the fundamentals. Agents who lack …

by applying ‘extreme value theory', and then use these measures to investigate the information content of option …-implied tail risk on the future returns of the underlying assets. Our empirical analysis shows that both tail measures implied by S … tail-risk premium …

This study reveals the information content of individual investors' risk-adjusted return expectations. Although … risk-adjusted return expectations is predictive of future risk-adjusted stock performance. Stock purchases that investors …

We show that option-implied jump tail risk estimated prior to earnings announcements strongly predicts post …-earnings risk-adjusted abnormal stock returns. The predictive power of implied jump tail risk is particularly strong on extreme … for model-free implied moments of variance, skewness and kurtosis. We argue that the tail risk implied from options …