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Florian Weigert
Former Member
Title
Prof. Dr.
Last Name
Weigert
First name
Florian
Phone
+41 71 224 7014
Now showing
1 - 5 of 5
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PublicationCrash Sensitivity and Cross-Section of Expected Stock ReturnsThis paper 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 weak LTD serve as a hedge during crises, but, overall, stocks with strong LTD have higher average future returns. This effect cannot be explained by traditional risk factors and is different from the impact of beta, downside beta, coskewness, and cokurtosis. Our findings are consistent with results from the empirical option pricing literature and support the notion that investors are crash-averse.Type: journal articleJournal: Journal of Financial and Quantitative AnalysisVolume: 53Issue: 3
Scopus© Citations 78 -
PublicationTail Risk in Hedge Funds : A Unique View from Portfolio HeldingsWe develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tail-sensitive stocks as well as options, drive tail risk. Moreover, managerial incentives and discretion as well as exposure to funding liquidity shocks are important determinants of tail risk. We find evidence that is consistent with funds being able to time tail risk exposure prior to the recent financial crisis.Type: journal articleJournal: Journal of Financial EconomicsVolume: 125Issue: 3
Scopus© Citations 81 -
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PublicationExtreme Downside Liquidity RiskWe merge the literature on downside return risk with that on systematic liquidity risk and introduce the concept of extreme downside liquidity (EDL) risk. We show that the cross-section of expected stock returns reflects a premium for EDL risk. Strong EDL risk stocks deliver a positive risk premium of more than 4% p.a. as compared to weak EDL risk stocks. The effect is more pronounced after the market crash of 1987. It is not driven by linear liquidity risk or by extreme downside return risk, and it cannot be explained by other firm characteristics or other systematic risk factors.