For 40,000 stocks from 46 countries, we examine the pricing of co-tail risk arising from the comovement in left-tail distribution of stock returns and market returns. We find that the co-tail risk with respect to local and global market returns is priced significantly both statistically and economically worldwide. We decompose global co-tail risk into non-local global, U.S. marketrelated, and non-U.S. global component and find that all these components are significantly priced. The pricing of global co-tail risks is generally stronger in developed markets than in emerging market, implying that the large presence of global investors in developed market makes global co-tail risks more important.
Keywords: tail risk, co-tail risk, international stock markets
