Tail Risk and Asset Prices
收藏NBER2013-08-01 更新2025-01-04 收录
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https://www.nber.org/papers/w19375
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资源简介：
We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is significantly correlated with tail risk measures extracted
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美国国家经济研究局创建时间：
2013-08-01
