We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

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 …

We present a novel methodology to calculate the jump-induced tail risk premium for individual stocks and examine its … effect on the following-month’s returns. The existence of a premium for bearing negative jump-induced tail risk is …-induced tail risk has no such significant predictive power. Further, we find that the larger is the magnitude of the premium for …

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 market returns at short-horizons. Furthermore, a long-short portfolio …

-asset classes and factors and test the long-term performance of U.S. and Global 60/40, Diversified Multi-Asset, Risk Parity … measured risk-adjusted returns in the long run, the Dynamic Asset Allocation reduces the abandonment risk due to its lower … expected drawdown. Across all strategies, risk-tolerant investors that rely on the longer history for setting their …

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …