Aggregate Tail Risk and Expected Returns
研究了股票是否承担崩盘风险溢价，发现尾部指数能解释折现率部分的横截面差异，但与现金流部分无关，且与理论上的总体不确定性和系统性风险度量不相关。
Do stocks bear a crash risk premium? We examine the empirical performance of the tail index measure from Kelly and Jiang (2014). We find that the tail index explains the cross-section of the discount rate component of returns, but not the cash-flow component. Moreover, in the time series the tail index is uncorrelated with theoretically motivated measures of aggregate uncertainty and systemic risk. In contrast, the tail index Granger causes and is Granger caused by the level of the term structure, and the slope of the term structure Granger causes tail risk. Received June 22, 2016; editorial decision December 23, 2017 by Editor Raman Uppal.