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- W3113446710 abstract "We show that the two important sources of risk -- market tail risk and extreme market volatility risk -- are priced in the cross-section of asset returns heterogeneously across horizons. Specifically, we find that tail risk is a short-term phenomenon whereas extreme volatility risk is priced by investors in the long-term. These risks stem from a dependence structures in the joint distribution of stochastic discount factor and asset returns at various investment horizons that are more general than usually assumed by traditional covariance-based measures. The risk premium we document suggests that investors care about the transitory as well as persistent shocks." @default.
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- W3113446710 date "2018-06-15" @default.
- W3113446710 modified "2023-09-27" @default.
- W3113446710 title "Tail Risks, Investment Horizons, and Asset Prices" @default.
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