Ergun, Lerby M. (2023) Extreme downside risk in the cross-section of asset returns. International Review of Financial Analysis, 90. ISSN 1057-5219
Full text not available from this repository.Abstract
Extreme movements in financial markets are not always reflected equally in individual stocks. Identifying which firms are unable to absorb shocks is a challenge. This paper considers extreme downside risk, an extension to Ang et al.’s (2006) downside risk framework, and the value in separating the sensitivity between extreme and non-extreme downside risk. I find that the cross-sectional average annual excess return between high and low extreme downside exposure stocks is around 3.9%. The extension differentiates itself for young firms or firms that have not experienced a severe crisis, where the risk premium ranges from 2.4% to 10.4%.
| Item Type: | Article |
|---|---|
| Official URL: | https://www.sciencedirect.com/journal/internationa... |
| Additional Information: | Crown Copyright © 2023 Published by Elsevier Inc |
| Divisions: | Systemic Risk Centre |
| Subjects: | H Social Sciences > HG Finance |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions |
| Date Deposited: | 29 Aug 2024 15:00 |
| Last Modified: | 22 Nov 2024 01:27 |
| URI: | http://eprints.lse.ac.uk/id/eprint/125286 |
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