Crash Sensitivity and the Cross-Section of Expected Stock Returns
Year of publication: |
2013-03
|
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Authors: | Ruenzi, Stefan ; Weigert, Florian |
Institutions: | School of Finance, Universität St. Gallen |
Subject: | Asset Pricing | Asymmetric Dependence | Copulas | Crash Aversion | Downside Risk | Tail Risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 1324 75 pages |
Classification: | C12 - Hypothesis Testing ; G01 - Financial Crises ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G17 - Financial Forecasting |
Source: |
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In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
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Extreme Downside Liquidity Risk
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Agarwal, Vikas, (2015)
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In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
Weigert, Florian, (2013)
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