Industrial tail exposure risk and asset price: Evidence from US REITs
提出行业尾部暴露风险（ITER）指标，发现美国REITs中高ITER组合年化收益比低ITER组合高8.40%，且该溢价在小盘、价值和高杠杆股票中更强，经济衰退期尤为显著。
Abstract In this study, we investigate the impact of industry‐based tail dependence risk on the cross‐section of stock returns. To this end, we propose a novel tail risk dependence measure (industrial tail exposure risk [ITER]), which captures the tail risk exposure of individual stocks to multiple industries. Using US equity real estate investment trusts (REITs) data from 1993 to 2020, we document that stocks in the highest ITER portfolio outperform stocks in the lowest ITER portfolio by 8.40% per annum. This positive return spread is significant even after controlling for well‐known firm characteristics. The return premium of ITER is stronger for small, value, and highly levered stocks and is substantially high during recession periods. Finally, the effects of ITER are cross‐sectionally more associated with REITs that have greater degrees of the following factors: bivariate tail exposure risks of major industries, exposure to local industry tail risk, geographical concentration, and ownership of home‐biased investors. Overall, our results suggest that REIT investors are indeed averse to tail risks that are associated with various sectors.