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Systematic extreme downside risk
16 references·2 citing·27 second hop
Systematic extreme downside risk (2019)Systematic extreme downside riskCoVaR (2016)CoVaRIdiosyncratic risk and the cross-section of expected stock returns (2008)Idiosyncratic risk and the cr…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Coherent Measures of Risk (1999)Coherent Measures of RiskOn Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The equity risk premium a solution (1988)The equity risk premium a sol…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Tail event-based sovereign credit risk transmission network during COVID-19 pandemic (2021)Tail event-based sovereign cr…International Tail Risk Connectedness: Network and Determinants (2019)International Tail Risk Conne…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)… and the Cross-Section of Expected Returns (2015)Asset Prices in an Exchange Economy (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Presidential Address: Discount Rates (2011)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Introductory Econometrics for Finance (2008)Multifactor Explanations of Asset Pricing Anomalies (1996)Asset pricing with liquidity risk (2005)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2016CoVaR2,395 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1988The equity risk premium a solution1,397 cited
  • 2008Idiosyncratic risk and the cross-section of expected stock returns

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  • 2021Tail event-based sovereign credit risk transmission network during COVID-19 pandemic35 cited
  • 2019International Tail Risk Connectedness: Network and Determinants29 cited