Tail Risk Concerns Everywhere
构建全球尾部风险担忧指数（𝔾ℝ𝕀𝕏），发现其负向驱动国际股票、外汇和国债期货等资产类别的横截面收益差异，且定价效应主要通过全球渠道发挥作用。
We show that the beta with respect to an index of global ex ante tail risk concerns (𝔾ℝ𝕀𝕏), which we construct using out-of-the-money options on multiple global assets, negatively drives cross-sectional return variations across asset classes, including international equity indices, foreign currencies, and government bond futures. The pricing power of 𝔾ℝ𝕀𝕏 becomes stronger when more asset-class-level tail risk concerns are incorporated in the index construction. 𝔾ℝ𝕀𝕏 also dominates asset-class-level tail risk concerns in pricing assets within each asset class. These evidences imply that the pricing effect of tail risk concerns works predominantly as a global channel. The 𝔾ℝ𝕀𝕏 pricing effect is distinct from that of tail risk factors based on historical realizations, consistent with the interpretation that tail risk concerns likely reflect investors’ ex ante subjective belief about tail risk. This paper was accepted by Neng Wang, finance.