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Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...
Persistent link: https://www.econbiz.de/10012589196
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Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019
its expected shortfall and its multivariate lower tail dependence with the systematic factors of the Carhart (1997) model …
Persistent link: https://www.econbiz.de/10011993538
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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
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Crash Sensitivity and the Cross-Section of Expected Stock Returns
Chabi-Yo, Fousseni - 2017
sensitivity of stocks by their lower tail dependence (LTD) with the market based on copulas. We find that stocks with strong LTD …
Persistent link: https://www.econbiz.de/10012975434
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Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...
Persistent link: https://www.econbiz.de/10012585546
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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