{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,23]],"date-time":"2026-10-23T10:41:33Z","timestamp":1792752093555,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":22,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Mapping option-implied risk-neutral crash probabilities into physical probabilities requires accounting for the systematic component of crash risk. We develop an option-implied lower bound using only the firm's own option smile and historical returns. A firm-specific transformation parameter governs the adjustment: more idiosyncratic crash risk keeps the bound closer to the risk-neutral probability, while more systematic crash risk moves it toward the Martin and Shi (2026) benchmark. Illustrative diffusion and jump economies show that the implementable bound closely tracks true physical crash probabilities. Empirically, our bound adds substantial predictive information beyond the Martin-Shi benchmark among firms with high idiosyncratic risk and delivers stronger out-of-sample forecasts at medium and longer horizons, consistent with the theoretical prediction.<\/jats:p>","DOI":"10.2139\/ssrn.7559218","type":"posted-content","created":{"date-parts":[[2026,10,5]],"date-time":"2026-10-05T18:24:16Z","timestamp":1791224656000},"source":"Crossref","is-referenced-by-count":0,"title":["One Smile Is Enough: Forecasting Individual-Stock Crashes"],"prefix":"10.2139","author":[{"given":"Aoxiang","family":"Yang","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Haoxi","family":"Liang","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","doi-asserted-by":"crossref","first-page":"169","DOI":"10.1093\/rfs\/hhp041","article-title":"Expected idiosyncratic 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paper"},{"key":"ref20","doi-asserted-by":"crossref","first-page":"1887","DOI":"10.1111\/jofi.12778","article-title":"What is the Expected Return on a Stock?","volume":"74","author":"Ian Wr Martin","year":"2019","journal-title":"The Journal of Finance"},{"key":"ref21","doi-asserted-by":"crossref","first-page":"1036","DOI":"10.1017\/S0022109025102445","article-title":"The crash risk in individual stocks embedded in skewness swap returns","volume":"61","author":"Paola Pederzoli","year":"2026","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"ref22","doi-asserted-by":"crossref","first-page":"325","DOI":"10.1016\/j.jfineco.2018.10.015","article-title":"An anatomy of the market return","volume":"132","author":"Paul Schneider","year":"2019","journal-title":"Journal of Financial 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