We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of … returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk … measures or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock … risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between … climate risk and firm value. …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The … study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student … of both extreme value theory (EVT) models and other multivariate models. The author however discovers, in one instance …

affect financial performance. According to this theory, two event studies are conducted to analyze the impact of publishing …

focus to severe downside risk (i.e., crashes). I use the cointegrating relationship between the log S&P Composite Index and …. The price-versus-benchmark residual shows an improved, and economically meaningful, logit estimation of the likelihood of … in relation to fundamentals entails a higher risk of a crash. …

measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to …