This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

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 merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

This paper investigates how the downside tail risk of stock returns is differentiated cross-sectionally. Stock returns … follow heavy-tailed distributions with downside tail risk determined by the tail shape and scale. If safety-first investors … are concerned with sufficiently large downside losses, i.e. have a sufficiently low risk tolerance, then in the …

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected … risk appears to forecast discount rates — and not cash flows — which seems inconsistent with crash-based explanations of … the importance of tail risk. We also compare the time series of tail risk to measures of aggregate uncertainty, a measure …

construct managed portfolios of a risk-free asset and market index. …

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 …

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 …

This paper addresses this question with an asset-pricing model featuring endogenous corporate policies. Long-run risk … reflects a firm's profit exposure to slowly-moving expected consumption growth, whereas short-run risk captures the exposure to … frequent unexpected changes in consumption growth. Long-run risk reduces a firm's optimal leverage while driving most of the …

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