We illustrate the role of left tail dependence—left tail mean (LTM)—in equity risk premium (ERP) predictability. LTM measures the average of pairwise left tail dependency among major equity sectors incorporating shocks imperceptible at the aggregate level. LTM, as well as the variance risk premium, significantly predicts the ERP in and out of sample, which is not the case with commonly used predictors. We find this predictability is the result of procyclical shocks’ reversals in a stable business cycle. This paper contributes to the ongoing debate on ERP predictability. (JEL G10, G12, G14) Received April 6, 2021; editorial decision November 22, 2021 by Editor Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

中文翻译：

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跨行业低迷的股票风险溢价可预测性

我们说明了左尾依赖——左尾均值 (LTM)——在股票风险溢价 (ERP) 可预测性中的作用。LTM 衡量主要股票行业的成对左尾依赖的平均值，其中包含在总体水平上难以察觉的冲击。LTM 以及方差风险溢价显着预测样本内外的 ERP，而常用的预测变量并非如此。我们发现这种可预测性是顺周期冲击在稳定的商业周期中逆转的结果。本文有助于正在进行的关于 ERP 可预测性的辩论。（JEL G10、G12、G14）2021 年 4 月 6 日收到；编辑决定于 2021 年 11 月 22 日由编辑 Jeffrey Pontiff。作者提供了 Internet 附录，该附录可在牛津大学出版社网站上在线最终发表论文的链接旁边找到。