on various methods of the optimal tail selection in risk measurement. The results indicate which method may be useful in … objective is to compare the methods and to identify those which can be recognized as useful in risk measurement. The results …

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 …