This article presents a study of extreme stock market price movements. According to the theory of extreme values, the nature of the distribution of extreme returns is known precisely, and it is independent of the process which generates the returns. Using an index of the most traded stocks on the New York Stock Exchange between 1885 and 1990, I empirically show that the extreme returns can be accounted for by a Fréchet distribution.
LONGIN, F. (1996). The Asymptotic Distribution of Extreme Stock Market Returns. Journal of Business, pp. 383-408.