Tail heat signals crash risk when the firm's disclosed business network is losing relationships, and potential winners when the network is intact or growing, but only in densely disclosing sectors.
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Extreme Value Alpha and Crash Risk: Separating Structural Tails from Lottery Tails with LLM-Extracted Disclosure Networks
Tail heat signals crash risk when the firm's disclosed business network is losing relationships, and potential winners when the network is intact or growing, but only in densely disclosing sectors.