{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T08:41:53Z","timestamp":1792572113759,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We study whether corporate risk disclosure is informative about anticipated tail risk and how that information is reflected in asset prices. From the narrative risk factor sections of 10-K filings, we build a text-based, firm-level measure of tail-risk disclosure and show that it captures independently measured tail-risk exposure. Firms with more extensive disclosure earn higher expected returns, consistent with investors demanding compensation for known downside exposures. Yet when disclosed risks materialize, these firms experience smaller and less persistent price declines than comparable non-disclosers, indicating that disclosure shifts adjustment from abrupt ex post repricing toward gradual ex ante pricing. We confirm this timing mechanism in two complementary event settings. When a previously disclosed risk materializes, prior disclosers experience smaller abnormal losses. When the perceived materiality of an existing risk increases without new firm-level information, firms that had disclosed the exposure are repriced first. The results establish risk disclosure as a measure of anticipated tail risk and show that transparent communication shapes when downside risk enters prices<\/jats:p>","DOI":"10.2139\/ssrn.7639738","type":"posted-content","created":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T08:03:41Z","timestamp":1792569821000},"source":"Crossref","is-referenced-by-count":0,"title":["Tail Risk in 10-Ks"],"prefix":"10.2139","author":[{"given":"Giacomo","family":"Bezzi","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Frederike","family":"Fr\u00f6hlig","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Pietro","family":"Lazzaretto","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T08:03:41Z","timestamp":1792569821000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7639738"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7639738","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}