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| 01845nam 2200337zi 4500 |
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| 001 | 9.882824 |
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| 003 | CaOODSP |
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| 005 | 20221107170411 |
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| 006 | m o d f |
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| 007 | cr |n||||||||| |
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| 008 | 191211t20192019oncd obs f000 0 eng d |
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| 040 | |aCaOODSP|beng|erda|cCaOODSP |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2019-46E-PDF |
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| 100 | 1 |aErgun, Lerby M., |eauthor. |
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| 245 | 10|aExtreme downside risk in asset returns / |cLerby M. Ergun. |
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| 264 | 1|a[Ottawa] : |bBank of Canada = Banque du Canada, |c2019. |
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| 264 | 4|c©2019 |
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| 300 | |a1 online resource (ii, 35 pages) : |bcolour charts. |
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| 336 | |atext|btxt|2rdacontent |
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| 337 | |acomputer|bc|2rdamedia |
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| 338 | |aonline resource|bcr|2rdacarrier |
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| 490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2019-46 |
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| 500 | |a"December 2019." |
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| 504 | |aIncludes bibliographical references (pages 21-23). |
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| 520 | 3 |a"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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| 650 | 0|aStocks|xRate of return. |
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| 650 | 6|aActions (Titres de société)|xTaux de rendement. |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2019-46.|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s1.24 MB|uhttps://publications.gc.ca/collections/collection_2019/banque-bank-canada/FB3-5-2019-46-eng.pdf |
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