NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Tail Risk and Asset Prices

Bryan Kelly, Hao Jiang

NBER Working Paper No. 19375
Issued in August 2013

---- Acknowledgements -----

Kelly thanks his thesis committee, Robert Engle (chair), Xavier Gabaix, Alexander Ljungqvist and Stijn Van Nieuwerburgh for many valuable discussions. We also thank Andrew Ang, Joseph Chen (WFA discussant), Mikhail Chernov, John Cochrane, Itamar Drechsler, Phil Dybvig, Marcin Kacperczyk, Andrew Karolyi, Ralph Koijen, Toby Moskowitz, Lubos Pastor, Seth Pruitt, Ken Singleton, Ivan Shaliastovich, Adrien Verdelhan, Jessica Wachter, and Amir Yaron for comments, as well as seminar participants at Berkeley, Chicago, Columbia, Cornell, Dartmouth, Duke, Federal Reserve Board, Harvard, MIT, New York Federal Reserve, NYU, Northwestern, Notre Dame, Ohio State, Q Group, Rochester, Stanford, UBC, UCLA, Washington University, and Wharton. We thank Mete Karakaya for sharing option return data. This paper is based in on Kelly's doctoral thesis and was previously circulated under the title "Risk Premia and the Conditional Tails of Stock Returns." The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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