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• W2100034874 abstract "This paper 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 weak LTD serve as a hedge during crises, but, overall, stocks with strong LTD have higher average future returns. This effect cannot be explained by traditional risk factors and is different from the impact of beta, downside beta, coskewness, and cokurtosis. Our findings are consistent with results from the empirical option pricing literature and support the notion that investors are crash-averse." @default.
• W2100034874 created "2016-06-24" @default.
• W2100034874 creator A5050646837 @default.
• W2100034874 creator A5056676965 @default.
• W2100034874 creator A5088083059 @default.
• W2100034874 date "2012-01-01" @default.
• W2100034874 modified "2023-10-03" @default.
• W2100034874 title "Extreme Dependence Structures and the Cross-Section of Expected Stock Returns" @default.
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• W2100034874 doi "https://doi.org/10.2139/ssrn.2011746" @default.
• W2100034874 hasPublicationYear "2012" @default.
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