In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...

This paper examines whether rare disaster can predict stock returns. We construct an aggregate rare disaster index by imposing the partial least square (PLS) approach on six news-implied rare disaster proxies of Manela and Moreira (2017). Our disaster measure strongly predicts monthly excess...