The research aims to follow the work of Breugem et al. (2024) on forward-looking tail risk in US equity markets during the COVID-19 pandemic. It seeks to analyze how markets reacted to pandemic-related risks by focusing on implied volatility, skewness, and the full distribution of the stochastic discount factor (SDF). Additionally, the research aims to benchmark the COVID-19 pandemic against other crises, such as the 2008 financial crisis, to understand how markets reacted differently in these extreme events.​

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