Does systematic tail risk matter?
(2022)
Journal Article
Stoja, E., Polanski, A., Nguyen, L. H., & Pereverzin, A. (2023). Does systematic tail risk matter?. Journal of International Financial Markets, Institutions and Money, 82, Article 101698. https://doi.org/10.1016/j.intfin.2022.101698
Systematic tail risk is considered an important determinant of expected returns on risky assets. We examine its impact from two perspectives in a unified framework which originates from a simple asset pricing model. From the first perspective, system... Read More about Does systematic tail risk matter?.