Abstract

http://ssrn.com/abstract=2011746
 
 

Citations (1)



 
 

Footnotes (25)



 


 



Crash Sensitivity and the Cross-Section of Expected Stock Returns


Fousseni Chabi-Yo


Ohio State University (OSU) - Fisher College of Business

Stefan Ruenzi


University of Mannheim - Department of International Finance

Florian Weigert


University of St. Gallen - School of Finance

December 27, 2015

University of St.Gallen, School of Finance Research Paper No. 2013/24

Abstract:     
This paper 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 weak LTD serve as a hedge during crises, but, overall, stocks with strong LTD have higher average future returns. This effect cannot be explained by traditional risk factors and is different from the impact of beta, downside beta, coskewness, and cokurtosis. Our findings are consistent with results from the empirical option pricing literature and support the notion that investors are crash-averse.

Number of Pages in PDF File: 56

Keywords: Asset Pricing, Asymmetric Dependence, Copulas, Coskewness, Downside Risk, Tail Risk, Crash Aversion

JEL Classification: C12, G01, G11, G12, G17


Open PDF in Browser Download This Paper

Date posted: February 27, 2012 ; Last revised: February 12, 2016

Suggested Citation

Chabi-Yo, Fousseni and Ruenzi, Stefan and Weigert, Florian, Crash Sensitivity and the Cross-Section of Expected Stock Returns (December 27, 2015). University of St.Gallen, School of Finance Research Paper No. 2013/24. Available at SSRN: http://ssrn.com/abstract=2011746 or http://dx.doi.org/10.2139/ssrn.2011746

Contact Information

Fousseni Chabi-Yo
Ohio State University (OSU) - Fisher College of Business ( email )
2100 Neil Avenue
Columbus, OH 43210-1144
United States
614 292 8477 (Phone)
HOME PAGE: http://fisher.osu.edu/fin/faculty/chabi-yo/

Stefan Ruenzi (Contact Author)
University of Mannheim - Department of International Finance ( email )
L9, 1-2
Mannheim, 68131
Germany
Florian Weigert
University of St. Gallen - School of Finance ( email )
Rosenbergstrasse 52
St.Gallen, CH-9000
Switzerland
Feedback to SSRN


Paper statistics
Abstract Views: 3,347
Downloads: 897
Download Rank: 17,213
Citations:  1
Footnotes:  25

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.266 seconds