Extreme downside risk in asset returns / Lerby M. Ergun.: FB3-5/2019-46E-PDF
"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, derivedfrom 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 low-exposure stocks is around 3.5%"--Abstract.
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Extreme downside risk in asset returns / Lerby M. Ergun. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2019-46 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "December 2019." Includes bibliographical references (pages 21-23). |
| Publishing information | [Ottawa] : Bank of Canada = Banque du Canada, 2019. ©2019 |
| Author / Contributor | Ergun, Lerby M., author. |
| Description | 1 online resource (ii, 35 pages) : colour charts. |
| Catalogue number |
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| Subject terms | Stocks -- Rate of return. Actions (Titres de société) -- Taux de rendement. |
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