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- W3122087145 endingPage "1100" @default.
- W3122087145 startingPage "1059" @default.
- W3122087145 abstract "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." @default.
- W3122087145 created "2021-02-01" @default.
- W3122087145 creator A5050646837 @default.
- W3122087145 creator A5056676965 @default.
- W3122087145 creator A5088083059 @default.
- W3122087145 date "2018-06-01" @default.
- W3122087145 modified "2023-10-11" @default.
- W3122087145 title "Crash Sensitivity and the Cross Section of Expected Stock Returns" @default.
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- W3122087145 doi "https://doi.org/10.1017/s0022109018000121" @default.
- W3122087145 hasPublicationYear "2018" @default.
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