CORDIS Project
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This project examines the relationship between extreme returns and expected returns in international stock markets. It analyzes historical data to understand how downside risks and maximum returns influence investment behavior and portfolio management.
This proposal is related to the relationship between extreme returns and expected returns for international stock markets.
For the first part, I will focus on the minimum daily return on the aggregate market over various historical time windows.
The negative of this variable can be interpreted as a measure of Value at Risk and a significantly positive relation between this measure and expected market returns will provide evidence for the importance of downside risk in determining index returns.…
SABANCI UNIVERSITESI
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