Crash Sensitivity and the Cross Section of Expected Stock Returns
Crash Sensitivity and the Cross Section of Expected Stock Returns
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DOI：
10.1017/s0022109018000121
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发表时间：
2018-06-01
影响因子：
3.9
通讯作者：
Weigert, Florian
中科院分区：
文献类型：
--
作者：
Chabi-Yo, Fousseni;Ruenzi, Stefan;Weigert, Florian
本文考察投资者是否因持有对崩盘敏感的股票而获得补偿。基于copulas，利用股票与市场的低尾依赖关系（LTD）来捕捉股票的崩盘敏感性。我们发现有限责任公司强的股票比有限责任公司弱的股票有更高的平均未来回报。这种效应不能用传统的风险因素来解释，也不同于beta、下行beta、余偏性、余峰度以及Kelly and Jiang（2014）的尾部风险beta的影响。因此，我们的发现与投资者厌恶崩盘的观点是一致的。
This article examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower-tail dependence (LTD) with the market based on copulas. We find that stocks with strong LTD have higher average future returns than stocks with weak LTD. This effect cannot be explained by traditional risk factors and is different from the impact of beta, downside beta, coskewness, cokurtosis, and Kelly and Jiang's (2014) tail risk beta. Hence, our findings are consistent with the notion that investors are crash-averse.