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;
After revision:  Applying the proposed method to Natality Vital Statistics , 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;