Abstract
We propose new systematic tail risk measures constructed using two different approaches. The first is a non-parametric measure that captures the tendency of a stock to crash at the same time as the market, while the second is based on the sensitivity of stock returns to innovations in market crash risk. Both tail risk measures are associated with a significantly positive risk premium after controlling for other measures of downside risk, including downside beta, coskewness and cokurtosis. Using the new measures, we examine the relevance for investors of the tail risk premium over different horizons.
Original language | English |
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Pages (from-to) | 128-142 |
Number of pages | 15 |
Journal | Journal of International Financial Markets, Institutions and Money |
Volume | 61 |
Early online date | 25 Feb 2019 |
DOIs | |
Publication status | Published - 1 Jul 2019 |
Research Groups and Themes
- AF Financial Markets
Keywords
- Asset pricing
- Comoments
- Systematic risk
- Tail risk
- Value at Risk
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Dive into the research topics of 'Systematic extreme downside risk'. Together they form a unique fingerprint.Profiles
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Professor Richard D F Harris
- School of Accounting and Finance - Business School - Professor of Finance
Person: Academic