We illustrate the role of left tail dependence measures, left exceedance correlation (LEC) and left tail mean (LTM), in equity risk premium (ERP) predictability. LEC and LTM measure the average of pairwise left tail dependency among major equity sectors incorporating shocks that are...

When estimating unknown quantities, people insufficiently adjust from values they have previously considered, a phenomenon known as anchoring. We suggest that anchoring is at least partially caused by a desire to avoid making extreme adjustments. In seven studies (N = 5,279), we found that...

To explore the propagation of populist extremism across countries, we construct a multi-country model wherein each country's politician sequentially implements a policy. Voters learn the incumbent politician's type and the desirable policy by observing foreign policies on top of the domestic...

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...

An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for risk management and portfolio allocation. We propose a new test procedure for detecting the full extent of such structural differences in the dependence of bivariate extreme returns. We decompose the...

This paper exploits the information content of option markets to offer fresh insight into the Too-Big-to-Fail (TBTF) problem for banks. I employ option prices to construct a forward-looking measure of bank exposure to significant price drops (i.e. tail-risk) and explore cross-sectional...

What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian et al. (2019) by studying (left-tail) percentiles of the forecast distribution of GDP growth. We use local projections (Jordà , 2005) to assess how this measure of risk moves...

What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian et al. (2019) by studying (left-tail) percentiles of the forecast distribution of GDP growth. We use local projections (Jordà , 2005) to assess how this measure of risk moves...