NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Turan G. Bali, Nusret Cakici, Robert F. Whitelaw

NBER Working Paper No. 19460
Issued in September 2013

---- Acknowledgements -----

We would like to thank seminar participants at Georgetown University, Hong Kong University of Science and Technology, and the University of Utah for helpful comments. 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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