THE REVIEW OF ASSET PRICING STUDIES · VOL. 6, NO. 1 · June 2016

崩盘规避和全球横截面股票预期收益

作者：Florian Weigert (University of St. Gallen - Swiss Institute of Banking and Finance)

摘要：本文研究了在包含40多个国家的样本中，投资者持有对市场极端低迷显著敏感的股票是否能够获得收益补偿的问题。在全球范围内，具有显著市场崩盘敏感性的股票年平均收益率超过7％，高于具有较弱市场崩盘敏感性的股票。这种效应在地区子样本中是稳健的，并且没有被系统风险因子和其他的企业特征因素所解释。本文表明，在负向市场偏度、人均收入高、Hofstede个人主义指数排名高的国家中，这种风险溢价更加明显。

关键词：资产定价，市场崩溃厌恶，国际金融，尾部风险

Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide

Florian Weigert (University of St. Gallen - Swiss Institute of Banking and Finance)

ABSTRACT

This 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.

Keywords: Asset Pricing, Crash Aversion, International Finance, Tail Risk

原文链接：http://xueshu.baidu.com/s?wd=paperuri%3A%28b7be302bfba3a232de92f04d230a5e48%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fpapers.ssrn.com%2Fabstract%3D2309538&ie=utf-8&sc_us=14259342407848003142

翻译：景薇