The literature on the tail behaviour of asset prices focuses mainly on the foreign exchange and stock markets, with only a few papers dealing with bonds or bond futures. The present paper addresses this omission. We focus on three questions: (i) Are heavy tails a relevant feature of the...

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected returns. In conditional predictive regression systems and vector-autoregressions of the market portfolio and the long- and shoresides of the Fama-French factor portfolios,...