U.S. Stock Market Crash Risk, 1926-2006
NBER Working Paper No. 14913
---- 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.