We propose a new time-varying peaks over threshold model to study tail risk dynamics in equity markets: the laws of …-sorted decile stock portfolios and show that large firm tail risk increases during recessions more than small firms tail risk. Our … risk shocks on the economy. A measure of tail connectedness is proposed: evidence from international equity markets shows …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …