Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
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We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power. Our key innovation is that this covariance is measured across the left tail states of the
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美国国家经济研究局创建时间：
2013-09-01
