Crash risk in individual stocks

Paola Pederzoli (University of Geneva and Swiss Finance Institute)

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The methodology takes the form of a trading strategy, a skewness swap. The return on the strategy shows a significant positive skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on short-selling, measured by high short-interest ratios and low ETF ownership, are key drivers of the idiosyncratic skewness risk premium

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Year of publication:	April 19, 2018
Authors:	Pederzoli, Paola
Publisher:	Geneva : Swiss Finance Institute
Subject:	Skewness risk premium \| financial crisis \| short-selling constraints \| Risikoprämie \| Risk premium \| Finanzkrise \| Financial crisis \| Theorie \| Theory \| Risiko \| Risk \| Börsenkurs \| Share price \| Kapitaleinkommen \| Capital income

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Extent:	1 Online-Ressource (circa 68 Seiten) Illustrationen
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. no 18, 31 Swiss Finance Institute Research Paper ; No. 18-31 Job market paper
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3151975 [DOI]
Classification:	G01 - Financial Crises ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011899675