This article investigates how two important sources of risk—market tail risk (TR) and extreme market volatility risk—are priced into the cross-section of asset returns across various investment horizons.
Recommended citation: Barunik, J., Nevrla, M. (2022). “Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices” Journal of Financial Econometrics. Forthcoming.