Systematic extreme downside risk

Richard Harris; Linh Nguyen; Evarist Stoja

doi:10.1016/j.intfin.2019.02.007

Systematic extreme downside risk

Richard Harris, Linh Nguyen, Evarist Stoja

School of Accounting and Finance

Research output: Contribution to journal › Article (Academic Journal) › peer-review

3 Citations (Scopus)

49 Downloads (Pure)

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
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	https://doi.org/10.1016/j.intfin.2019.02.007
Publication status	Published - 1 Jul 2019

Structured keywords

AF Financial Markets

Keywords

Asset pricing
Comoments
Systematic risk
Tail risk
Value at Risk

Access to Document

10.1016/j.intfin.2019.02.007

Full-text PDF (accepted author manuscript)
This is the author accepted manuscript (AAM). The final published version (version of record) is available online via Elsevier at https://www.sciencedirect.com/science/article/pii/S1042443117305814?via%3Dihub. Please refer to any applicable terms of use of the publisher.
Accepted author manuscript, 477 KBLicence: CC BY-NC-ND

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Professor Richard D F Harris
- richard.harris@bristol.ac.uk
- School of Accounting and Finance - Professor of Finance
Person: Academic

Cite this

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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.",

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AU - Stoja, Evarist

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KW - Asset pricing

KW - Comoments

KW - Systematic risk

KW - Tail risk

KW - Value at Risk

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JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

SN - 1042-4431

ER -

Systematic extreme downside risk

Abstract

Structured keywords

Keywords

Access to Document

Professor Richard D F Harris

Cite this