This study documents a puzzling historical trend in crash risk for US-listed firms: between 1950 and 2019, the firm-year occurrences of idiosyncratic stock price crashes rose from 5.5% to an astonishing 27%. The vastness literature notoriously attributes agency reasons, i.e. self-interested executives who strategically camouflage bad news via financial reporting opacity overinvestment channels....

Over the past decade, applications of statistical physics methods to economics have attracted considerable interest in the physical and economics science communities. In particular, the suggested similarities between the market crash and a phase transition, and market crashes as critical point phenomena, have held the promise of understanding the dynamics of market crashes and the possibility b...

This study investigates whether and how financial constraints on firms affect the risk of their stock price crashing. We find strong evidence that increase future crash risk. finding is robust to using two quasi-natural experiments control for potential endogeneity. also provide suggest bad news hoarding default explain financially constrained firms. Cross-sectional analysis reveals positive re...

market crash is a phenomenon which occurs in stock markets occasionally and leads to loss of the investors’ wealth and assets in a relatively short period of time. therefore, attempts for prediction of this phenomenon are of much importance for the investors, financial institutions and government. to this date, numerous and varied studies have been carried out for predicting and modeling  stock...

We review recent results on the new concept of worst-case portfolio optimization, i.e. we consider the determination of portfolio processes which yield the highest worst-case expected utility bound if the stock price may have uncertain (down) jumps. The optimal portfolios are derived as solutions of non-linear differential equations which itself are consequences of a Bellman principle for worst...

different areas of modern financial tools and processes activities contain the matters like innovations in financial tools engineering and risk management. derivatives and especially stock exchange option is part of this innovation. among all numerical procedures in calculating the value of derivatives and the risk sensitivity parameters of option, binomial models are widely used. in this stud...

We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits staggered implementation Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system, which induces a reduction disagreement. Consistent with models disagreement, EDGAR inclusion helps resolve around information events, leading to stock price corrections. The fo...