The effect of Size, Value and Idiosyncratic Risk Anomalies on the Relationship between Tail Risk and Stock Excess Returns
Capital market anomalies are caused by factors haven’t been considered in capital asset pricing models. The theories of extreme value are one of the arguments for explaining anomalies. On the basis of theory of extreme value, the tail risk is an adverse event that can have a negative impact on stock...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Ferdowsi University of Mashhad
2022-01-01
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| Series: | Iranian Journal of Accounting, Auditing & Finance |
| Subjects: | |
| Online Access: | https://ijaaf.um.ac.ir/article_41544_fa52ae827dedc80b3a910e7831f7662c.pdf |
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