Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
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Cited by:
- Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020.
"Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications,"
Journal of Banking & Finance, Elsevier, vol. 115(C).
- Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers 20-01, University of Cologne, Centre for Financial Research (CFR).
- Ergun, Lerby M., 2023. "Extreme downside risk in the cross-section of asset returns," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Lee, Kuan-Hui & Yang, Cheol-Won, 2022. "The world price of tail risk," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
- Alcock, Jamie & Sinagl, Petra, 2022. "International determinants of asymmetric dependence in investment returns," Journal of International Money and Finance, Elsevier, vol. 122(C).
- Mohammad Q. M. Momani, 2018. "Revisiting the momentum factor in the U.K. stock market," Economics Bulletin, AccessEcon, vol. 38(1), pages 528-531.
- Ruenzi, Stefan & Weigert, Florian, 2018.
"Momentum and crash sensitivity,"
Economics Letters, Elsevier, vol. 165(C), pages 77-81.
- Ruenzi, Stefan & Weigert, Florian, 2017. "Momentum and Crash Sensitivity," Working Papers on Finance 1801, University of St. Gallen, School of Finance.
- Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
- Zaremba, Adam & Cakici, Nusret & Demir, Ender & Long, Huaigang, 2022. "When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns," Journal of Financial Stability, Elsevier, vol. 58(C).
- Harris, Richard D.F. & Nguyen, Linh H. & Stoja, Evarist, 2019. "Systematic extreme downside risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 128-142.
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