---
title: A Tale of Two Types of Tail Risk and Market Returns
url: https://www.ml-quant.com/papers/ssrn/7593226/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-16
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7593226
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7593226
featured: 2026-10-16
citations: unknown
topic: Asset Pricing & Factors
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7593226
- Identifier: SSRN 7593226
- Released: 2026-10-10
- First featured: Quant Letter No. 135 (2026-10-16): https://www.ml-quant.com/issues/2026-10-16/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors
- Authors: Yakun Liu, Lei Zhang

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