Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
研究了全球40个国家中，对极端市场下跌敏感的股票是否获得补偿，发现敏感股票年化收益高出7%以上，且该溢价在负偏态、高人均收入和个人主义国家更显著。
This paper examines whether investors receive compensation for holding stocks with a strong sensitivity to extreme market downturns in a sample covering forty countries. Worldwide, stocks with strong crash sensitivity deliver average returns of more than 7% p.a. higher than stocks with weak crash sensitivity. The effect is robust across geographical subsamples and is not explained by systematic risk factors and alternative firm characteristics. I show that the risk premium is particularly pronounced in countries that display negative market skewness, high income per capita, and rank high on Hofstede’s individualism index. Received July 2, 2015; accepted November 20, 2015 by Editor Raman Uppal.