Markus Huggenberger

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Prof. Dr.
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Huggenberger
First name
Markus
Email
markus.huggenberger@unisg.ch
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+41 71 224 7962

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    Item type:Publication,
    Multivariate crash risk
    (2022)
    Chabi-Yo, Fousseni
    ;
    Huggenberger, Markus  
    ;
    Weigert, Florian  
    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.
    Type:journal article
    Journal:Journal of Financial Economics
    Volume:145
    Issue:1
    URL:https://doi.org/10.1016/j.jfineco.2021.07.016
    DOI:10.1016/j.jfineco.2021.07.016
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/109218
    Scopus© Citations 25