Crash aversion and extreme dependence structures in asset pricing:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2013
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VI, 201 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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| adam_text | Titel: Crash aversion and extreme dependence structures in asset pricing
Autor: Weigert, Florian
Jahr: 2013
Contents
List of Figures IV
List of Tables V
1 Introduction 1
1.1 Crash Aversion of Investors....................................................3
1.2 Lower Tail Dependence Coefficients............................................5
1.3 Outline of Thesis and Main Results............................................6
2 Crash Sensitivity and the Cross-Section of Expected Stock Returns 11
2.1 Introduction......................................................................11
2.2 Copula Methodology and Data ................................................17
2.2.1 Copulas..................................................................17
2.2.2 Computation of Tail Dependence Coefficients ........................19
2.2.3 Data and the Evolution of Aggregate Tail Dependence.......20
2.3 Crash Sensitivity and Realized Returns........................................23
2.3.1 Portfolio Sorts............................................................24
2.3.2 Multivariate Evidence..................................................28
2.3.3 Impact of LTD in Risk-, VaR-, and Conditional VaR-sorted Samples 30
2.3.4 Downside Beta vs. Lower Tail Dependence............................31
2.3.5 LTD and Momentum....................................................32
2.3.6 Simplifying the Tail Dependence Coefficient Estimation.......33
2.3.7 Additional Analyses and Robustness Checks..........................34
2.4 Persistence of LTD and Trading Strategy......................................39
2.4.1 Persistence of LTD......................................................39
2.4.2 Past LTD and Future Returns..........................................40
2.5 Conclusion....................................44
Appendix.......................................46
2.A Estimating Tail Dependence Coefficients................................46
2.B Brief Definitions and Data Sources of Main Variables.........53
Figures Tables...................................54
3 In Search of Cushion? Crash Aversion and the Cross-Section of Ex-
pected Stock Returns Worldwide 75
3.1 Introduction................................... 75
3.2 Measuring Crash Sensitivity and Stock Market Data............. 80
3.2.1 Measuring Crash Sensitivity...................... 80
3.2.2 Stock Market Data and the Evolution of Aggregate LTD......82
3.2.3 Returns of LTD-sorted Portfolios During Financial Crises......85
3.3 LTD and Realized Stock Returns Worldwide................. 86
3.3.1 Portfolio Sorts and Factor Models................... 86
3.3.2 Multivariate Regression Analysis................... 88
3.3.3 Country-specific LTD Premiums.................... 90
3.4 LTD Around the World: Determinants of the LTD Premium........ 91
3.4.1 Determinants of the LTD Premium.................. 91
3.4.2 LTD and Individualism......................... 95
3.5 Conclusion.................................... 99
Appendix.......................................101
3.A Estimating LTD.............................101
3.B Variable Definitions and Correlations..................106
3.C Additional Robustness Checks .....................114
Figures Tables...................................118
4 Extreme Downside Liquidity Risk 134
4.1 Introduction...................................134
4.2 Liquidity, EDL Risk and Data.........................139
4.2.1 Measuring Liquidity ..........................139
4.2.2 Measuring EDL Risk..........................141
4.2.3 Data and the Evolution of Aggregate EDL Risk...........143
4.3 EDL Risk and Future Returns.........................145
4.3.1 Univariate Portfolio Sorts .......................145
4.3.2 Bivariate Portfolio Sorts........................148
4.3.3 Factor Models..............................149
4.3.4 Multivariate Regressions........................150
4.3.5 Does the Magnitude of the Extreme Downside Matter?.......152
4.3.6 Temporal Differences in the EDL Risk Premium...........153
4.4 Robustness Checks...............................154
4.4.1 Liquidity Proxies............................154
4.4.2 Estimation Procedures.........................156
4.4.3 Weighting Scheme ...........................157
4.4.4 Regression Methods and Adjusted Returns..............157
4.5 Conclusion....................................159
Appendix.......................................160
4.A Liquidity Measures............................160
4.B Estimating Tail Dependence Coefficients................167
4.C Brief Definitions and Data Sources of Main Variables.........172
Figures Tables...................................176
Bibliography 191
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| spelling | Weigert, Florian 1981- Verfasser (DE-588)1021225916 aut Crash aversion and extreme dependence structures in asset pricing Florian Weigert 2013 VI, 201 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mannheim, Univ., Diss., 2013 Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Risikoaversion (DE-588)4205948-3 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf Kurssturz (DE-588)4466441-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfoliomanagement (DE-588)4115601-8 s Risikoaversion (DE-588)4205948-3 s Aktienkurs (DE-588)4141736-7 s Kurssturz (DE-588)4466441-2 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026858543&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Weigert, Florian 1981- Crash aversion and extreme dependence structures in asset pricing Portfoliomanagement (DE-588)4115601-8 gnd Risikoaversion (DE-588)4205948-3 gnd Aktienkurs (DE-588)4141736-7 gnd Kurssturz (DE-588)4466441-2 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4205948-3 (DE-588)4141736-7 (DE-588)4466441-2 (DE-588)4113937-9 |
| title | Crash aversion and extreme dependence structures in asset pricing |
| title_auth | Crash aversion and extreme dependence structures in asset pricing |
| title_exact_search | Crash aversion and extreme dependence structures in asset pricing |
| title_full | Crash aversion and extreme dependence structures in asset pricing Florian Weigert |
| title_fullStr | Crash aversion and extreme dependence structures in asset pricing Florian Weigert |
| title_full_unstemmed | Crash aversion and extreme dependence structures in asset pricing Florian Weigert |
| title_short | Crash aversion and extreme dependence structures in asset pricing |
| title_sort | crash aversion and extreme dependence structures in asset pricing |
| topic | Portfoliomanagement (DE-588)4115601-8 gnd Risikoaversion (DE-588)4205948-3 gnd Aktienkurs (DE-588)4141736-7 gnd Kurssturz (DE-588)4466441-2 gnd |
| topic_facet | Portfoliomanagement Risikoaversion Aktienkurs Kurssturz Hochschulschrift |
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