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- W2951723504 abstract "We examine the pricing of tail risk in international stock markets. Studying all MSCI Developed and Emerging Markets countries, we find that the tail risk of these countries is highly integrated. We find that both local and our newly computed global tail risk strongly predict global equity index excess returns. These results hold both in-sample and out-of-sample. Sorting countries into portfolios by their tail risk generates sizable excess returns across various holding periods. Finally, we find that global tail risk is linked to international economic activity." @default.
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- W2951723504 date "2017-01-01" @default.
- W2951723504 modified "2023-09-27" @default.
- W2951723504 title "International Tail Risk and World Fear" @default.
- W2951723504 doi "https://doi.org/10.2139/ssrn.3075124" @default.
- W2951723504 hasPublicationYear "2017" @default.
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