Systematic extreme downside risk

Research output: Contribution to journalArticle (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 languageEnglish
Pages (from-to)128-142
Number of pages15
JournalJournal of International Financial Markets, Institutions and Money
Volume61
Early online date25 Feb 2019
DOIs
Publication statusPublished - 1 Jul 2019

Structured keywords

  • AF Financial Markets

Keywords

  • Asset pricing
  • Comoments
  • Systematic risk
  • Tail risk
  • Value at Risk

Fingerprint Dive into the research topics of 'Systematic extreme downside risk'. Together they form a unique fingerprint.

Cite this