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Autoren: 
Chabi-Yo, Fousseni
Huggenberger, Markus
Weigert, Florian
Datum: 
2021
Schriftenreihe/Nr.: 
CFR Working Paper No. 21-07
Zusammenfassung: 
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.
Schlagwörter: 
Asset pricing
Non-linear dependence
Crash aversion
Downside risk
Tail risk
Lower tail dependence
Copulas
JEL: 
C58
G01
G11
G12
G17
Dokumentart: 
Working Paper

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