00000nam 2200000zi 4500 9.882824 CaOODSP 20221107170411 m o d f cr |n||||||||| 191211t20192019oncd obs f000 0 eng d CaOODSP eng rda CaOODSP n-cn--- FB3-5/2019-46E-PDF Ergun, Lerby M., author. Extreme downside risk in asset returns / Lerby M. Ergun. [Ottawa] : Bank of Canada = Banque du Canada, 2019. ©2019 1 online resource (ii, 35 pages) : colour charts. text txt rdacontent computer c rdamedia online resource cr rdacarrier Bank of Canada staff working paper, 1701-9397 ; 2019-46 "December 2019." Includes bibliographical references (pages 21-23). "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. Stocks Rate of return. Actions (Titres de société) Taux de rendement. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2019-46. (CaOODSP)9.806221 PDF 1.24 MB https://publications.gc.ca/collections/collection_2019/banque-bank-canada/FB3-5-2019-46-eng.pdf