We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tail-sensitive stocks as well as options,...

We investigate whether investors receive compensation for holding stocks with strong systematic liquidity risk in the form of extreme downside liquidity (EDL) risk. Following the logic of Acharya and Pedersen (2005), we capture a stock's EDL risk by the lower tail dependence between (i)...

We examine whether investors receive a compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower tail dependence with the market based on copulas. Stocks with strong contemporaneous crash sensitivity clearly outperform stocks with weak crash...

Since the pioneering work of Embrechts and co-authors in 1999, copula models have enjoyed steadily increasing popularity in finance. Whereas copulas are well studied in the bivariate case, the higher-dimensional case still offers several open issues and it is far from clear how to construct...

This paper examines whether investors receive a compensation for holding stocks with a strong sensitivity to extreme market downturns in a worldwide sample covering 40 different countries. I find that stocks with strong crash sensitivity earn higher average returns than stocks with weak crash...

This study examines the relationship between the proportion of women in top management positions of banks and the financial performance of these institutions. Using prudential data from supervisory reporting for all credit institutions in the Grand-Duchy of Luxembourg from 1999 to 2013, we find...

Glode (2011) shows, both theoretically and empirically, that U.S. equity mutual funds have a systematically better performance during periods of economic downturn and that investors are willing to pay higher fund fees for this recession insurance. In this paper, we test these hypotheses...

We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries...

Risk aversion functions extracted from observed stock and option prices can be negative, as shown by Aiuml;t-Sahalia and Lo (2000), Journal of Econometrics 94: 9-51; and Jackwerth (2000), The Review of Financial Studies 13(2), 433-51. We rationalize this puzzle by a lack of conditioning on latent...