Before revision: We examine how extreme market risks are priced in the cross-section of asset returns at various horizons. Based on the decomposition of covariance between indicator functions capturing fluctuations of different parts of return distributions over various frequencies, we define aquantile spectral beta representation that characterizes asset's risk generally.
After revision: We examine how extreme market risks are priced in the cross-section of asset returns quantile spectral beta representation that characterizes asset's risk generally.