Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210786 
Authors: 
Year of Publication: 
2019
Series/Report no.: 
Bank of Canada Staff Working Paper No. 2019-46
Publisher: 
Bank of Canada, Ottawa
Abstract: 
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, derived from 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 lowexposure stocks is around 3.5%.
Subjects: 
Asset pricing
Econometric and statistical methods
JEL: 
C14
G12
G11
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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