This paper investigates tail risk in emerging stock markets by comparing the investable and noninvestable segments in … Student-t GJR-GARCH model and the symmetrized Joe-Clayton copula, we show most investable portfolios have lower tail risk but …

equities. We find that global financial crisis induced changes to domestic and international investors' appetite for risk …

evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative … idiosyncratic risk factors explains the negative premium. Furthermore, our results are not fully explained by the exposure to the … market timing and economic state. Overall, both the extreme return and idiosyncratic risk effects appear to coexist in the …