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New measures for forecasting extreme downside risk

https://doi.org/10.2139/ssrn.4867217
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Econometric Analysis of Panel Data
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Accounting-Based Downside Risk, Cost of Capital, and the Macroeconomy
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Accruals and price crashes
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The stochastic behavior of common stock variances Value, leverage and interest rate effects
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Expected stock returns and volatility
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No news is good news
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Lottery stocks and stop-loss rules
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A behavioral explanation for the negative asymmetric return–volatility relation
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Extreme downside risk and expected stock returns
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Short interest and stock price crash risk
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Mutual fund herding and stock price crashes
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Financial Distress Risk and Stock Price Crashes
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Volatility forecast comparison using imperfect volatility proxies
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Opaque financial reports, R2, and crash risk☆
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Corporate tax avoidance and stock price crash risk: Firm-level analysis
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Maxing out: Stocks as lotteries and the cross-section of expected returns
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Limits-to-arbitrage, investment frictions, and the asset growth anomaly
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Does realized skewness predict the cross-section of equity returns?
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Choosing factors
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Bear beta
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Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns
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Multivariate crash risk
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Technical trading rules, loss avoidance, and the business cycle
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Managerial Ability, Investment Efficiency and Stock Price Crash Risk
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Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices
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Arbitrage risk and the book-to-market anomaly
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Commonality in liquidity
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Rescaled variance and related tests for long memory in volatility and levels
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Testing for unit roots in heterogeneous panels
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An examination of market efficiency: Information order effects in a laboratory market
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Is There an Intertemporal Relation between Downside Risk and Expected Returns?
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Arbitrage Risk and Stock Mispricing
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Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion
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Crash Sensitivity and the Cross Section of Expected Stock Returns
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Investor Attention and Stock Returns
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Measuring Downside Risk – Realized Semivariance*
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A New Estimate of Transaction Costs
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Asymmetric Volatility and Risk in Equity Markets
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Stock Volatility and the Crash of '87
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A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets
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Trading Costs, Liquidity, and Asset Holdings
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Stock Prices and Volume
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Downside Risk
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
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All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
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Tail Risk and Asset Prices
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Comparing Cross-Section and Time-Series Factor Models
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An Augmented q -Factor Model with Expected Growth
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Socially responsible stock funds in Brazil
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Conditional Skewness in Asset Pricing Tests
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The High‐Volume Return Premium
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The Cross-Section of Expected Stock Returns
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The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias
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Measuring and Testing the Impact of News on Volatility
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
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The Limits of Arbitrage
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The Cross‐Section of Volatility and Expected Returns
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Stock Market Declines and Liquidity
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Price Momentum and Idiosyncratic Volatility
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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
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A Simple General Approach to Inference About the Tail of a Distribution
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Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
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Opacity, Crash Risk, and the Option Smirk Curve
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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
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Continuous Auctions and Insider Trading
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
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Leverage, Risk, Market Structure and Profitability
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Market Share and Rate of Return
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Conditional Heteroskedasticity in Asset Returns: A New Approach
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Risk, Inflation, and the Stock Market
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No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
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A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
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Liquidity and the 1987 stock market crash
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The Sharpe Ratio
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Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns
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Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
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Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
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All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
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Stocks as Lotteries: the Implications of Probability Weighting for Security Prices
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