Multivariate crash risk

• 成果类型: Article
• 署名作者: Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian
• 署名单位: University of Massachusetts System; University of Massachusetts Amherst; University of Mannheim; University of Neuchatel
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.07.016
• 发表日期: 2022
• 页码: 129-153
• 关键词: Asset pricing; Nonlinear dependence; Crash aversion; Downside risk; Tail risk; Lower tail dependence; copulas

摘要

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 ex-pected 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. Ex-tending 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 fac-tor zoo.(c) 2021 Elsevier B.V. All rights reserved.