@TechReport{dp-620,
  author   = {Nguyen, Duc Binh Benno and Prokopczuk, Marcel and Wese Simen, Chardin},
  astring  = {Duc Binh Benno Nguyen and Marcel Prokopczuk and Chardin Wese Simen},
  title    = {International Tail Risk and World Fear},
  month    = {November},
  year     = {2017},
  pages    = {60},
  size     = {757},
  number   = {620},
  language = {en},
  keywords = {Jump Risk; Tail Risk; International Stock Market Returns; Return Predictability; International Asset Pricing; Factor Models},
  jelclass = {G01, G11, G12, G17},
  abstract = {We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of up to 2.72% per month.}
}