This paper proposes to extract tail risk from a risk-neutral mean-adjusted expected shortfall of high-frequency stock returns. Risk adjustment is based on a nonparametric estimator of the state price density that does not use option prices and relies solely on a stock index returns. This makes...

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...