Arbeitspapier
Extreme downside risk in asset returns
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%.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Working Paper ; No. 2019-46
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Asset Pricing; Trading Volume; Bond Interest Rates
Portfolio Choice; Investment Decisions
- Thema
-
Asset pricing
Econometric and statistical methods
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ergun, Lerby M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2019
- DOI
-
doi:10.34989/swp-2019-46
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:25 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ergun, Lerby M.
- Bank of Canada
Entstanden
- 2019
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