Does systematic tail risk matter?

Systematic tail risk is considered an important determinant of expected returns on risky assets. We examine its impact from two perspectives in a unified framework which originates simple asset pricing model. From the first perspective, systematic proxied by generalized dependence coefficient and compensated with economically sizeable statistically significant premium. second product same normalized measure does not appear to earn these contradictory findings attempt reconcile them. Evidence suggests that components our may be subject common features. This finding help explain evidence literature.