Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
提出一种新的混合尾部协方差风险度量，基于个人投资者分散化不足的持仓，发现该风险与预期股票收益显著正相关，年化溢价9%，而纯个股或系统性尾部风险度量结果不显著或为负。
We introduce a new hybrid measure of stock return tail covariance risk, motivated by the underdiversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power. Our key innovation is that this covariance is measured across the left tail states of the individual stock return distribution, and not across those of the market return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or negative results for purely stock-specific or systematic tail risk measures.