A Tale of Two Types of Tail Risk and Market Returns
Using partial least squares on 18 tail-risk proxies, the study constructs an index that strongly predicts the equity premium both in- and out-of-sample.
Featured in No. 135 on 16 Oct 2026 · 6 days after release
- Released
- 10 Oct 2026
- First featured
- No. 135 · 16 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7593226
- Authors
- Yakun Liu and Lei Zhang
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).