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Displaying results 1 to 7 of 7.

  1. Multivariate crash risk
    Author: Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian
    Published: February 2019
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    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 its... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 314
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    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 its expected shortfall and its multivariate lower tail dependence with the systematic factors of the Carhart (1997) model. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which is not explained by traditional linear factor models or by other downside risk measures. Our results indicate that accounting for the multivariate crash risk of established state variables helps to understand the cross-section of expected stock returns without further expanding the factor zoo

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Edition: This version: February 2019
    Series: Working papers on finance ; no. 2019, 01
    Subjects: Asset pricing; Non-linear dependence; Crash aversion; Downside risk; Tail risk; Lower tail dependence; Copulas
    Scope: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  2. Extreme downside risk and financial crises
    Author: Harris, Richard D. F.; Nguyen, Linh H.; Stoja, Evarist
    Published: 2015
    Publisher:  Bank of England, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; 547
    Subjects: Downside risk; Markov switching; financial crisis; value at risk; leverage effect; volatility feedback effect
    Scope: Online-Ressource (38 S.), graph. Darst.
  3. Capturing macroeconomic tail risks with bayesian vector autoregressions
    Author: Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
    Published: 28 July 2022
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    LZ 161
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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP17512
    Subjects: Forecasting; Downside risk; Asymmetries
    Scope: 1 Online-Ressource (circa 99 Seiten), Illustrationen
  4. Multivariate crash risk
    Author: Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian
    Published: 2021
    Publisher:  Centre for Financial Research, Cologne

    This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 142
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    This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm that stocks with high MCRASH earn significantly higher future returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk measures or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to determine the cross-section of expected stock returns without further expanding the factor zoo.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/235631
    Edition: This version: May 21, 2021
    Series: CFR working paper ; no. 21, 07
    Subjects: Asset pricing; Non-linear dependence; Crash aversion; Downside risk; Tail risk; Lower tail dependence; Copulas
    Scope: 1 Online-Ressource (circa 90 Seiten), Illustrationen
  5. Nowcasting tail risk to economic activity at a weekly frequency
    Author: Marcellino, Massimiliano; Clark, Todd E.; Carriero, Andrea
    Published: 31 August 2021
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    LZ 161
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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP16496
    Subjects: Forecasting; Downside risk; Pandemics; Big Data; Mixed frequency; Quantileregression
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  6. Growth-at-risk: Bayesian Approach
    Author: Szabo, Milan
    Published: 2020
    Publisher:  Czech National Bank, Economic Research Department, Praha

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 490
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Czech National Bank ; 2020, 3
    Subjects: Downside risk; fan charts; growth-at-risk; quantile regression
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  7. Heterogeneity in manufacturing growth risk
    Author: Opschoor, Daan; Dijk, Dick van; Franses, Philip Hans
    Published: [2021]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    We analyze output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multi-level quantile regression approach, we find strong heterogeneity in growth risk, particularly between the more vulnerable durable... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 432
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    We analyze output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multi-level quantile regression approach, we find strong heterogeneity in growth risk, particularly between the more vulnerable durable goods sector and the more resilient nondurable goods sector. Moreover, we show that industry characteristics significantly explain these differences. Large, or material intensive durable goods producing, or energy intensive nondurable goods producing industries are more vulnerable to adverse financial conditions, while industries engaging in labor hoarding, or with a high capital or overhead labor intensity are less susceptible.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/237769
    Series: Array ; TI 2021, 036
    Subjects: Downside risk; business cycle; quantile regression; manufacturing; financial conditions
    Scope: 1 Online-Ressource (circa 73 Seiten), Illustrationen