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~person:"Chabi-Yo, Fousseni"
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Chabi-Yo, Fousseni
Weigert, Florian
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1
Multivariate crash risk
Chabi-Yo, Fousseni
;
Huggenberger, Markus
;
Weigert, Florian
-
2021
returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative
downside
risk …
Persistent link: https://www.econbiz.de/10012589196
Saved in:
2
Multivariate crash risk
Chabi-Yo, Fousseni
;
Huggenberger, Markus
;
Weigert, Florian
-
2021
-
This version: May 21, 2021
returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative
downside
risk …
Persistent link: https://www.econbiz.de/10012585546
Saved in:
3
Multivariate crash risk
Chabi-Yo, Fousseni
;
Huggenberger, Markus
;
Weigert, Florian
- In:
Journal of financial economics
145
(
2022
)
1
,
pp. 129-153
Persistent link: https://www.econbiz.de/10013473731
Saved in:
4
Multivariate crash risk
Chabi-Yo, Fousseni
;
Huggenberger, Markus
;
Weigert, Florian
-
2019
-
This version: February 2019
is not explained by traditional linear factor models or by other
downside
risk measures. Our results indicate that …
Persistent link: https://www.econbiz.de/10011993538
Saved in:
5
Crash Sensitivity and the Cross-Section of Expected Stock Returns
Chabi-Yo, Fousseni
-
2017
and is different from the impact of beta,
downside
beta, coskewness, cokurtosis, and Kelly and Jiang (2014)'s tail risk …
Persistent link: https://www.econbiz.de/10012975434
Saved in:
6
Crash sensitivity and the cross section of expected stock returns
Chabi-Yo, Fousseni
;
Ruenzi, Stefan
;
Weigert, Florian
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
3
,
pp. 1059-1100
Persistent link: https://www.econbiz.de/10011930029
Saved in:
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