Faias, José Afonso2022-07-212022-07-212023-03-011386-4181http://hdl.handle.net/10400.14/38328I provide a new monthly cross-sectional measure of stock market tail risk, SCSTR, defined as the average of the daily cross-sectional tail risk, rather than the tail risk of the pooled daily returns within a month. Through simulations, I find that SCSTR better captures monthly tail risk rather than merely the tail risk on specific days within a month. In an extended period from 1964 until 2018, this difference is important in generating strong in- and out-of-sample predictability and performs better than the historical risk premium and other commonly-used predictors for short- and long-term horizons.engEquity premiumPredictionCross-sectionaljournal article10.1016/j.finmar.2022.10076985134845544000992764800001