exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility … builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes …

dimension of systemic risk and financial constraints as a key determinant of persistence. …

economic agents could be particularly concerned about severe tail risk, rather than just mean returns. Motivated by present … component of earnings, and gives an economically and statistically significant estimate of crash risk while improving on …

We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between … idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their … when the market risk premium is high. The negative covariance between the equity beta and the market risk premium causes …

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 …