Stock market tail risk, tail risk premia, and return predictability
利用标普500期权价格推导尾部风险指数，分解为条件尾部风险和权益尾部风险溢价，发现两者对股票组合收益有额外预测能力。
Abstract In this study, we use the S&P 500 options prices to derive various tail risk indexes. We then decompose the option‐implied tail risk indexes into the conditional tail risk of stock returns and equity tail risk premia. We examine the predictive power of the conditional tail risks and equity tail risk premia for various stock portfolio returns. The results demonstrate that the tail risk indicators possess additional predictive power for stock returns in the presence of extant risk indicators and other return predictor variables.