Weigert, FlorianFlorianWeigert2023-04-132023-04-132016https://www.alexandria.unisg.ch/handle/20.500.14171/10556910.1093/rapstu/rav019This 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.enAsset PricingCrash AversionInternational FinanceTail Riskjournal article