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A Tale of Two Types of Tail Risk and Market Returns

https://doi.org/10.2139/ssrn.7593226
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The equity risk premium a solution
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Approximately normal tests for equal predictive accuracy in nested models
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The VIX, the variance premium and stock market volatility
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The three-pass regression filter: A new approach to forecasting using many predictors
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Measuring tail risk
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The market for crash risk
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Disagreement and return predictability of stock portfolios
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Investor sentiment and the mean–variance relation☆
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Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios
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Forecasting stock market returns: The sum of the parts is more than the whole
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Time-varying rare disaster risk and stock returns
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Neglected risks, financial innovation, and financial fragility
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Macroeconomic risk and hedge fund returns
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Tail risk premia and return predictability
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Systemic risk and the macroeconomy: An empirical evaluation
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News implied volatility and disaster concerns
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Short interest and aggregate stock returns
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Variance risk in aggregate stock returns and time-varying return predictability
inferredcites →https://doi.org/10.1016/j.jfineco.2018.11.004openalex-snapshot
Gold, platinum, and expected stock returns
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Average skewness matters
inferredcites →https://doi.org/10.1016/j.jfineco.2019.07.006openalex-snapshot
Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns
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Are Disagreements Agreeable? Evidence from Information Aggregation
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Systematic default and return predictability in the stock and bond markets
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The jump leverage risk premium
inferredcites →https://doi.org/10.1016/j.pacfin.2019.06.001openalex-snapshot
Tail risk and expected stock returns around the world
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Stock price reaction to news and no-news: drift and reversal after headlines
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Illiquidity and stock returns: cross-section and time-series effects
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Is There an Intertemporal Relation between Downside Risk and Expected Returns?
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Risk, Uncertainty, and Expected Returns
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Davids, Goliaths, and Business Cycles
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Investor Attention and Stock Returns
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Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
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Tests for Forecast Encompassing
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International Financial Adjustment
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Measuring Downside Risk – Realized Semivariance*
inferredcites →https://doi.org/10.1093/jjfinec/nbh001openalex-snapshot
Power and Bipower Variation with Stochastic Volatility and Jumps
inferredcites →https://doi.org/10.1093/qje/qjs001openalex-snapshot
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
inferredcites →https://doi.org/10.1093/qje/qjv040openalex-snapshot
Rare Disasters and Exchange Rates *
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Measuring Economic Policy Uncertainty*
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What is the Expected Return on the Market?*
inferredcites →https://doi.org/10.1093/qje/qjx004openalex-snapshot
Credit Expansion and Neglected Crash Risk*
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-snapshot
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhi011openalex-snapshot
An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-snapshot
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-snapshot
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1093/rfs/hhn087openalex-snapshot
Time-Varying Risk Premiums and the Output Gap
inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-snapshot
Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhp063openalex-snapshot
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
inferredcites →https://doi.org/10.1093/rfs/hhs094openalex-snapshot
Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
inferredcites →https://doi.org/10.1093/rfs/hhs098openalex-snapshot
New Orders and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhu080openalex-snapshot
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhv033openalex-snapshot
Exploring Return Dynamics via Corridor Implied Volatility
inferredcites →https://doi.org/10.1093/rfs/hhw102openalex-snapshot
Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach
inferredcites →https://doi.org/10.1111/0022-1082.00077openalex-snapshot
Investor Psychology and Security Market Under‐ and Overreactions
inferredcites →https://doi.org/10.1111/0022-1082.00166openalex-snapshot
Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism?
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A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
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Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00831.xopenalex-snapshot
Information Uncertainty and Stock Returns
inferredcites →https://doi.org/10.1111/jofi.12018openalex-snapshot
Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
inferredcites →https://doi.org/10.1111/jofi.12041openalex-snapshot
International Stock Return Predictability: What Is the Role of the United States?
inferredcites →https://doi.org/10.1111/jofi.12060openalex-snapshot
Market Expectations in the Cross‐Section of Present Values
inferredcites →https://doi.org/10.1111/jofi.12068openalex-snapshot
Uncertainty, Time‐Varying Fear, and Asset Prices
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Belief Dispersion in the Stock Market
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Rare Disasters and Asset Markets in the Twentieth Century*
inferredcites →https://doi.org/10.1198/jbes.2010.08342openalex-snapshot
Volatility Jumps
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The Psychology of Tail Events: Progress and Challenges
inferredcites →https://doi.org/10.1257/aer.97.4.1102openalex-snapshot
Subjective Expectations and Asset-Return Puzzles
inferredcites →https://doi.org/10.1257/aer.98.2.68openalex-snapshot
Disasters and Recoveries
inferredcites →https://doi.org/10.1287/mnsc.2013.1838openalex-snapshot
Forecasting the Equity Risk Premium: The Role of Technical Indicators
inferredcites →https://doi.org/10.1287/mnsc.2016.2488openalex-snapshot
Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness
inferredcites →https://doi.org/10.1287/mnsc.2017.2949openalex-snapshot
Tail Risk Concerns Everywhere
inferredcites →https://doi.org/10.1287/mnsc.2022.4328openalex-snapshot
Global Disaster Risk Matters
inferredcites →https://doi.org/10.21314/jor.2012.237openalex-snapshot
A practical guide to volatility forecasting through calm and storm
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