-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market … that both frequency-specific tail market risk and extreme volatility risks are significantly priced and our five …

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

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 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 …

convexity results in a 21% increase in a firm's crash risk after controlling for managerial price-increasing incentives. In … positive jump risk. We exploit an exogenous shock to compensation convexity, arising from a change in the expensing treatment … suggest that managerial equity compensation portfolios do not augment a firm's future idiosyncratic crash risk because they …