{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T11:39:56Z","timestamp":1761824396521},"reference-count":62,"publisher":"Oxford University Press (OUP)","issue":"3","license":[{"start":{"date-parts":[[2022,1,6]],"date-time":"2022-01-06T00:00:00Z","timestamp":1641427200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2022,8,18]]},"abstract":"<jats:title>Abstract<\/jats:title>\n               <jats:p>We illustrate the role of left tail dependence\u2014left tail mean (LTM)\u2014in 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\u2019 reversals in a stable business cycle. This paper contributes to the ongoing debate on ERP predictability. 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