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

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Chabi-Yo, Fousseni
  • Huggenberger, Markus
  • Weigert, Florian
  • University of Cologne, Centre for Financial Research (CFR)

Entstanden

  • 2021

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