We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is significantly correlated with tail risk measures...

We study how passive investing affects asset prices. Flows into passive funds raise disproportionately the prices of the largest stocks in the index, while also making them more volatile. If, in addition, stocks are mispriced because of noise traders, then passive flows raise the most the prices...