Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are …