Crash Sensitivity and the Cross Section of Expected Stock Returns
研究投资者是否因持有对市场崩盘敏感的股票而获得补偿，发现与市场下尾相依性强的股票未来平均收益更高，且该效应无法被传统风险因子解释。
This article examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower-tail dependence (LTD) with the market based on copulas. We find that stocks with strong LTD have higher average future returns than stocks with weak LTD. This effect cannot be explained by traditional risk factors and is different from the impact of beta, downside beta, coskewness, cokurtosis, and Kelly and Jiang’s (2014) tail risk beta. Hence, our findings are consistent with the notion that investors are crash-averse.