학회소식
[2015년 제 1차] Probability of Extreme Loss and the Cross-Section o
작성자 : 관리자
조회수 : 936
게시일 :
2015-12-30
Motivated by the recently documented cross-sectional patterns related to extreme payoffs from assets, we examine the relation between the predicted probability of future extreme loss and stock returns in the cross-section. We find that stocks with a high
