NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

U.S. Stock Market Crash Risk, 1926-2006

David S. Bates

NBER Working Paper No. 14913
Issued in April 2009

---- Acknowledgements -----

I am grateful for comments on earlier versions of the paper from seminar participants at Iowa, Turin, Birkbeck, McGill’s 2008 Risk Management Conference, the 18th Annual Derivatives Securities and Risk Management Conference in Arlington, VA, and Princeton’s 2008 Conference on Implied Volatility Models. I also thank Ken French for providing the stock turnover data from French (2008). The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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