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- W2554916078 abstract "In this study, I implement a novel methodology to extract crash risk premia from options and stock markets. I document a dramatic increase in crash risk premia after the 2008/2009 financial crisis, indicating that investors are willing to pay high insurance to hedge against crashes in individual stocks. My results apply to all sectors but are most pronounced for the financial sector. At the same time, crash risk premia on the market index remained at pre-crisis levels. I theoretically explain this puzzling feature in an economy where investors face short-sale constraints. Under short-sale constraints, prices are less informationally efficient which can explain the increase in downside risk in individual stocks. In the data, I document a strong link between proxies of short-sale constraints and crash risk premia." @default.
- W2554916078 created "2016-11-30" @default.
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- W2554916078 date "2017-01-01" @default.
- W2554916078 modified "2023-10-14" @default.
- W2554916078 title "Crash Risk in Individual Stocks" @default.
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- W2554916078 doi "https://doi.org/10.2139/ssrn.2862372" @default.
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