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Extreme downside risk in asset returns
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| Authors and Corporations: | |
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| Type of Resource: | E-Book |
| Language: | English |
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| Series: |
Bank of Canada: Staff working paper ; 2019, 46 (December 2019)
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| Source: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Summary: | Does extreme downside risk require a risk premium in the pricing of individual assets? Extreme downside risk is a conditional measure for the co-movement of individual stocks with the market, given that the state of the world is extremely bad. This measure, derived from statistical extreme value theory, is non-parametric. Extreme down-side risk is used in double-sorted portfolios, where I control for the five Fama-French and various non-linear asset pricing factors. I find that the average annual excess return between high- and lowexposure stocks is around 3.5%. |
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| Physical Description: | 1 Online-Ressource (circa 39 Seiten); Illustrationen |