This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH, and we empirically confirm that stocks with high MCRASH earn significantly higher future returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk measures, or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to determine the cross-section of expected stock returns without further expanding the factor zoo.

本文研究了多元崩盘风险 (MCRASH)，定义为暴露于多个系统因素的极端实现，是否在预期股票收益的横截面中定价。我们推导出 MCRASH 具有正溢价的扩展线性模型，并且我们凭经验证实，具有高 MCRASH 的股票比具有低 MCRASH 的股票获得显着更高的未来回报。溢价不是由线性因子敞口、替代的下行风险度量或股票特征来解释的。将基于市场的崩盘风险定义扩展到其他公认的因素有助于确定预期股票收益的横截面，而无需进一步扩大因素区。