Crash Sensitivity and the Cross Section of Expected Stock Returns

被引：91
|
作者：
Chabi-Yo, Fousseni [1 ]
Ruenzi, Stefan [2 ]
Weigert, Florian [3 ]
机构：
[1] Univ Massachusetts, Isenberg Sch Management, Amherst, MA 01003 USA
[2] Univ Mannheim, Dept Finance, Mannheim, Germany
[3] Univ St Gallen, Swiss Inst Banking & Finance, St Gallen, Switzerland
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2018年 / 53卷 / 03期
关键词：
PROBABILITY WEIGHTING FUNCTIONS; PARTIAL MOMENT FRAMEWORK; MUTUAL FUND PERFORMANCE; ASSET PRICES; RARE DISASTERS; TAIL RISK; DISAPPOINTMENT AVERSION; MARKET EQUILIBRIUM; PRICING KERNELS; PROSPECT-THEORY;
D O I：
10.1017/S0022109018000121
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower-tail dependence (LTD) with the market based on copulas. We find that stocks with strong LTD have higher average future returns than stocks with weak LTD. This effect cannot be explained by traditional risk factors and is different from the impact of beta, downside beta, coskewness, cokurtosis, and Kelly and Jiang's (2014) tail risk beta. Hence, our findings are consistent with the notion that investors are crash-averse.
引用
收藏
页码：1059 / 1100
页数：42
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