Huang, Wei; Liu, Qianqiu; Ghon Rhee, S.; Wu, Feng - In: Journal of Banking & Finance 36 (2012) 5, pp. 1492-1502
We propose a measure for extreme downside risk (EDR) to investigate whether bearing such a risk is rewarded by higher expected stock returns. By constructing an EDR proxy with the left tail index in the classical generalized extreme value distribution, we document a significantly positive EDR...