Crash sensitivity and the cross section of expected stock returns
Fousseni Chabi-Yo, Stefan Ruenzi, and Florian Weigert
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Chabi-Yo, Fousseni ; Ruenzi, Stefan ; Weigert, Florian |
| Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 53.2018, 3, p. 1059-1100
|
| Subject: | Asset Pricing | Asymmetric Dependence | Copulas | Crash Aversion | Downside Risk | Tail Risk | Finanzkrise | Financial crisis | Risikoaversion | Risk aversion | Kapitalmarktrendite | Capital market returns | Multivariate Verteilung | Multivariate distribution | USA | United States | 1980-2014 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S0022109018000121 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011930029