Arbeitspapier
Multivariate crash risk
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm that stocks with high MCRASH earn significantly higher future returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk measures or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to determine the cross-section of expected stock returns without further expanding the factor zoo.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR Working Paper ; No. 21-07
- Klassifikation
-
Wirtschaft
Financial Econometrics
Financial Crises
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Forecasting and Simulation
- Thema
-
Asset pricing
Non-linear dependence
Crash aversion
Downside risk
Tail risk
Lower tail dependence
Copulas
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chabi-Yo, Fousseni
Huggenberger, Markus
Weigert, Florian
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Chabi-Yo, Fousseni
- Huggenberger, Markus
- Weigert, Florian
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2021
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