In this study, I develop 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 nancial crisis, indicating that investors are willing to pay high … financial and industrial sectors. At the same time, crash risk premia on the market index remained at pre-crisis levels. I …

This paper describes results from a new experiment studying determinants and effects of economic risk-taking. In each … higher are the returns but also the higher is the risk of a crash and a loss. This setup permits us to investigate how … transparency and incentive structures – two issues intensively debated in policy circles – affect risk taking and vulnerability to …

We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array … to many considerations and cannot be explained by established pricing factors or alternative risk or illiquidity measures …

We extend Jin and Myers’ (2006) model to derive the relation between stock price crash risk and operating leverage (i … price crash risk increases, and (ii) the negative effect of crash risk on operating leverage is more pronounced when firms … that higher crash risk leads to a less sticky cost behavior. In addition, crash-risk-driven operating deleveraging …