The Effect of Left Tail Risk on Expected Excess Returns and Its Consequences on the Persistence of Left Tail Returns
Objective: Left-tailed risk illustrates the probability of unfavorable events that could occur in a range wider than three variances of the distribution function. Although such events have a very low occurrence probability, they would cause significant losses in case of occurrence. This research aim...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2020-02-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_75557_24d8ec28afe42e1fd2d61a1691e85fe4.pdf |