poor risk sharing. Using a unique data set on Canadian futures markets, a simple inventory cost estimate is 300% above the … and imperfect risk sharing explain up to 8% of depth variability …

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …