Tail risk, defined as extreme event risk in asset markets, is an important consideration for investors when making investment decisions. This paper empirically tests the role of tail risk in international market. Using sample of 40 countries from 1980 to 2014, I show that tail risk positively predicts future market returns. Across all countries, stocks with high sensitivity to past global tail risk on average will earn higher returns than stocks with low sensitivity. In addition, I show that tail risk act as a global transmission channel of contagion during crisis.
","abstract_html":"<p>Tail risk, defined as extreme event risk in asset markets, is an important consideration for investors when making investment decisions. This paper empirically tests the role of tail risk in international market. Using sample of 40 countries from 1980 to 2014, I show that tail risk positively predicts future market returns. Across all countries, stocks with high sensitivity to past global tail risk on average will earn higher returns than stocks with low sensitivity. In addition, I show that tail risk act as a global transmission channel of contagion during crisis.</p>","abstract_has_math":false,"creators":["Wang, Yanchu"],"institution":null,"degree_name":"Doctor of Philosophy (PhD)","degree_level":"Dissertation","degree_discipline":"Management","degree_department":null,"school":null,"contributors":["Xiaoyan Zhang","Huseying Gulen","John McConnell","Yuhang Xing"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2016,"date_issued":"2016-08-01T07:00:00Z","date_published":"2016-08-01T07:00:00Z","updated_at":"2026-07-24T03:54:02Z","subjects":["Social sciences","Asset pricing","International markets","Tail risk","Finance"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://docs.lib.purdue.edu/open_access_dissertations/878","outbound_label":"Repository record","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Xiaoyan Zhang","Huseying Gulen","John McConnell","Yuhang Xing"]},{"key":"dc:creator","label":"Author","values":["Wang, Yanchu"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"thesis:degree_discipline","label":"Discipline","values":["Management"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Doctor of Philosophy (PhD)"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Social sciences","Asset pricing","International markets","Tail risk","Finance"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://docs.lib.purdue.edu/open_access_dissertations/878"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["Tail risk, defined as extreme event risk in asset markets, is an important consideration for investors when making investment decisions. This paper empirically tests the role of tail risk in international market. Using sample of 40 countries from 1980 to 2014, I show that tail risk positively predicts future market returns. Across all countries, stocks with high sensitivity to past global tail risk on average will earn higher returns than stocks with low sensitivity. In addition, I show that tail risk act as a global transmission channel of contagion during crisis.
"]},{"key":"dc:title","label":"Title","values":["Tail risk in international markets"]}]}],"canonical_facts":{"dc:contributor":["Xiaoyan Zhang","Huseying Gulen","John McConnell","Yuhang Xing"],"dc:creator":["Wang, Yanchu"],"dc:description.abstract":["Tail risk, defined as extreme event risk in asset markets, is an important consideration for investors when making investment decisions. This paper empirically tests the role of tail risk in international market. Using sample of 40 countries from 1980 to 2014, I show that tail risk positively predicts future market returns. Across all countries, stocks with high sensitivity to past global tail risk on average will earn higher returns than stocks with low sensitivity. In addition, I show that tail risk act as a global transmission channel of contagion during crisis.
"],"dc:identifier":["https://docs.lib.purdue.edu/open_access_dissertations/878"],"dc:subject":["Social sciences","Asset pricing","International markets","Tail risk","Finance"],"dc:title":["Tail risk in international markets"],"thesis:degree_discipline":["Management"],"thesis:degree_level":["Dissertation"],"thesis:degree_name":["Doctor of Philosophy (PhD)"]},"updated_at":"2026-07-24T03:54:02Z"}