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%.
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Canada Staff Working Paper ; No. 2019-46
- Classification
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Wirtschaft
Semiparametric and Nonparametric Methods: General
Asset Pricing; Trading Volume; Bond Interest Rates
Portfolio Choice; Investment Decisions
- Subject
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Asset pricing
Econometric and statistical methods
- Event
-
Geistige Schöpfung
- (who)
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Ergun, Lerby M.
- Event
-
Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
-
2019
- DOI
-
doi:10.34989/swp-2019-46
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Ergun, Lerby M.
- Bank of Canada
Time of origin
- 2019
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