This work empirically addresses asset pricings beta anomaly through a tail risk approach. Building on Merton (1974)s model of default, ex-ante skewness and kurtosis are directly linked to credit risk. With increasing tail risk, CAPM and Fama & French (1993, 2015) multi-factor models systematically overestimate required stock returns in both absolute and risk adjusted terms. Throughout findings proof, profitability of betting against beta strategies can be significantly enhanced by considering ex-ante tail risk. By developing an alternative asset pricing model accounting for lottery demand and ex-ante tail risk, the beta anomaly can be resolved mostly.