This paper introduces a new tail risk measure based on the risk-neutral excess expected shortfall of a cross-section of … stock returns. We propose a novel way to risk neutralize the returns without relying on option price information …. Empirically, we illustrate our methodology by estimating a tail risk measure over a long historical period based on a set of size …

with the noisy rational expectations hypothesis. We find that in contrast to theory, for horizons close to two years, there … relationship becomes one-to-one, as the theory would predict. …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …