Before revision:  Applying the proposed method  , we study the tail risk of the monthly U. S. stock returns and find that (i) the left tail features of stock returns and those of the Fama-French regression residuals heavily depend on other stock characteristics such as stock size; and (ii) the alpha's and beta's are strongly heterogeneous across stocks in the Fama-French regression. These findings suggest that the Fama-French model may be insufficient to characterize the tail behavior of stock returns .
After revision:  Applying the proposed method , we study factors of extremely low birth weights. We find that signs of major effects are the same as those found in preceding studies based on parametric models, but with different magnitudes .