Moore, Kyle; Sun, Pengfei; de Vries, Casper; Zhou, Chen - Economic Science Institute (ESI), Argyros School of … - 2013
We analyze the cross-sectional differences in the tail risk of equity returns and identify the drivers of tail risk. We provide two statistical procedures to test the hypothesis of cross-sectional downside tail shape homogeneity. An empirical study of 230 US non-financial firms shows that...