associated with abnormally high future stock price crash risk. The association between seasoned equity offerings and crash risk … relative to firms that have not recently issued equity. Our findings of elevated crash risk and diminished jump risk, when …

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 …

We investigate whether non-GAAP earnings disclosures increase stock price crash risk. Consistent with the notion that … increases crash risk. We also find that managers use income-increasing non-GAAP reporting as a substitute for withholding bad …

We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array … to many considerations and cannot be explained by established pricing factors or alternative risk or illiquidity measures …

This paper investigates whether analysts' optimism affects the stock crash risk. Analysts' optimism can increase stock … crash risk either by inducing overvaluation or by providing managers an opportunity to withhold bad news. Using analysts … stock crash risk. Further, such a positive impact is more pronounced for firms with opaque information environment and for …

Previous studies rarely discuss the effect of margin trading on future stock price crash risk, though margin trading is … crash risk. Our empirical results show that neither margin-buying activity nor margin debt are associated with future crash … risk, rejecting mechanisms of both “liquidity provision” and “fire sales”. In contrasts, stocks with more margin …

Previous studies rarely discuss the effect of margin trading on future stock price crash risk, though margin trading is … crash risk. Our empirical results show that neither margin-buying activity nor margin debt are associated with future crash … risk, rejecting mechanisms of both “liquidity provision” and “fire sales”. In contrasts, stocks with more margin …

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …