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Crash Sensitivity and the Cross Section of Expected Stock Returns

Citations

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Cited by:

  1. Wu, Ying, 2019. "Asset pricing with extreme liquidity risk," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 143-165.
  2. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
  3. Weiß, Gregor N.F. & Scheffer, Marcus, 2015. "Mixture pair-copula-constructions," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 175-191.
  4. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2019. "Global downside risk and equity returns," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
  5. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications," Journal of Banking & Finance, Elsevier, vol. 115(C).
  6. Dai, Yingtong & Harris, Richard D.F., 2023. "Average tail risk and aggregate stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  7. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2017. "Tail risk in hedge funds: A unique view from portfolio holdings," Journal of Financial Economics, Elsevier, vol. 125(3), pages 610-636.
  8. Daniel Felix Ahelegbey, 2022. "Statistical Modelling of Downside Risk Spillovers," FinTech, MDPI, vol. 1(2), pages 1-10, April.
  9. Karl Friedrich Siburg & Christopher Strothmann & Gregor Wei{ss}, 2022. "Comparing and quantifying tail dependence," Papers 2208.10319, arXiv.org.
  10. Devdeepta Bose & Henning Cordes & Sven Nolte & Judith Christiane Schneider & Colin Farrell Camerer, 2022. "Decision Weights for Experimental Asset Prices Based on Visual Salience," Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5094-5126.
  11. Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel F. Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of the Iran Food Industry," Risks, MDPI, vol. 8(3), pages 1-17, July.
  12. Naeem, Muhammad Abubakr & Karim, Sitara & Tiwari, Aviral Kumar, 2022. "Quantifying systemic risk in US industries using neural network quantile regression," Research in International Business and Finance, Elsevier, vol. 61(C).
  13. Stoja, Evarist & Polanski, Arnold & Nguyen, Linh H. & Pereverzin, Aleksandr, 2023. "Does systematic tail risk matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  14. Asgar Ali & K. N. Badhani, 2023. "Tail risk, beta anomaly, and demand for lottery: what explains cross-sectional variations in equity returns?," Empirical Economics, Springer, vol. 65(2), pages 775-804, August.
  15. Finta, Marinela Adriana & Aboura, Sofiane, 2020. "Risk premium spillovers among stock markets: Evidence from higher-order moments," Journal of Financial Markets, Elsevier, vol. 49(C).
  16. Wang, Chen & Xiong, Xiong & Shen, Dehua, 2022. "Tail risks, firm characteristics, and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
  17. Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2022. "Value-at-risk and the cross section of emerging market hedge fund returns," Global Finance Journal, Elsevier, vol. 52(C).
  18. Alcock, Jamie & Sinagl, Petra, 2022. "International determinants of asymmetric dependence in investment returns," Journal of International Money and Finance, Elsevier, vol. 122(C).
  19. Liu, Jinjing, 2023. "A novel downside beta and expected stock returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
  20. Tsai, Jerry & Wachter, Jessica A., 2018. "Pricing long-lived securities in dynamic endowment economies," Journal of Economic Theory, Elsevier, vol. 177(C), pages 848-878.
  21. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2022. "Realized semibetas: Disentangling “good” and “bad” downside risks," Journal of Financial Economics, Elsevier, vol. 144(1), pages 227-246.
  22. Linh H. Nguyen & Linh X. D. Nguyen & Linzhi Tan, 2021. "Tail risk connectedness between US industries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3624-3650, July.
  23. Yang, Huan & Cai, Jun & Huang, Lin & Marcus, Alan J., 2021. "Bank stocks, risk factors, and tail behavior," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 203-229.
  24. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
  25. Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Risk," Papers 2208.14267, arXiv.org, revised Jun 2023.
  26. Faias, José Afonso, 2023. "Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation," Journal of Financial Markets, Elsevier, vol. 63(C).
  27. Braun, Alexander & Braun, Julia & Weigert, Florian, 2023. "Extreme weather risk and the cost of equity," CFR Working Papers 23-08, University of Cologne, Centre for Financial Research (CFR).
  28. Dumitrescu, Ariadna & Zakriya, Mohammed, 2021. "Stakeholders and the stock price crash risk: What matters in corporate social performance?," Journal of Corporate Finance, Elsevier, vol. 67(C).
  29. Li, Donghui & Xing, Lu & Zhao, Yang, 2022. "Does extended auditor disclosure deter managerial bad-news hoarding? Evidence from crash risk," Journal of Corporate Finance, Elsevier, vol. 76(C).
  30. Agnes Cheng, C.S. & Xie, Jing & Zhong, Yuxiang, 2023. "Common institutional blockholders and tail risk," Journal of Banking & Finance, Elsevier, vol. 148(C).
  31. Fjærvik, Thomas, 2023. "Crash risk in the Nordic Stock Market - a cross-sectional analysis," Discussion Papers 2023/5, Norwegian School of Economics, Department of Business and Management Science.
  32. Harris, Richard D.F. & Nguyen, Linh H. & Stoja, Evarist, 2019. "Systematic extreme downside risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 128-142.
  33. Tongshuai Qiao & Liyan Han, 2023. "COVID‐19 and tail risk contagion across commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 242-272, February.
  34. Lian, Ziying & Cai, Jun & Webb, Robert I., 2020. "Oil stocks, risk factors, and tail behavior," Energy Economics, Elsevier, vol. 91(C).
  35. Lu, Zhongjin & Murray, Scott, 2019. "Bear beta," Journal of Financial Economics, Elsevier, vol. 131(3), pages 736-760.
  36. José Afonso Faias & Juan Arismendi Zambrano, 2022. "Equity Risk Premium Predictability from Cross-Sectoral Downturns [International asset allocation with regime shifts]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(3), pages 808-842.
  37. Zhijun Hu & Ping‐Wen Sun, 2021. "Connectedness among stocks and tail risk: Evidence from China," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1179-1202, December.
  38. Nguyen, Linh Hoang & Lambe, Brendan John, 2021. "International tail risk connectedness: Network and determinants," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  39. Manuel Ammann & Sebastian Fischer & Florian Weigert, 2018. "Risk Factor Exposure Variation and Mutual Fund Performance," Working Papers on Finance 1817, University of St. Gallen, School of Finance, revised Nov 2018.
  40. Yuan, Ying & Wang, Haiying & Jin, Xiu, 2022. "Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19," International Review of Financial Analysis, Elsevier, vol. 83(C).
  41. Supper, Hendrik & Irresberger, Felix & Weiß, Gregor, 2020. "A comparison of tail dependence estimators," European Journal of Operational Research, Elsevier, vol. 284(2), pages 728-742.
  42. Hammadi Zouari, 2022. "On the Effectiveness of Stock Index Futures for Tail Risk Protection," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 38-52, May.
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