Systematic Tail Risk
用尾部贝塔衡量资产对极端市场下跌的敏感度，发现历史尾部贝塔能预测股票在极端下跌中的表现，但未发现尾部风险溢价。
Abstract We test for the presence of a systematic tail risk premium in the cross section of expected returns by applying a measure of the sensitivity of assets to extreme market downturns, the tail beta. Empirically, historical tail betas help predict the future performance of stocks in extreme market downturns. During a market crash, stocks with historically high tail betas suffer losses that are approximately 2 to 3 times larger than their low-tail-beta counterparts. However, we find no evidence of a premium associated with tail betas. The theoretically additive and empirically persistent tail betas can help assess portfolio tail risks.