Tail Risk and the Cross-Section of Mutual Fund Expected Returns
研究发现共同基金收益中存在尾部风险溢价，高尾部风险基金年化收益比低尾部风险基金高4.4%，且该溢价无法被市场风险或常见风险因子解释。
We test for the presence of a tail risk premium in the cross-section of mutual fund returns and find that the top tail risk quintile of funds outperforms the bottom by 4.4% per annum. This premium is not simply a reward for market risk, nor do commonly used risk factors offer an adequate explanation. Our findings hold across double-sorted portfolios formed on tail risk and a number of fund characteristics. We also find that funds susceptible to tail risk tend to be small, young, have high management fees, and have managers who do not risk their own capital.