I agree with the other posters that information is lost in the shadows. But it is important to understand that this happens even when the shadows are not "severely clipped." Here's an article that explains why:

http://www.luminous-landscape.com/tutorials/expose-right.shtml

In HDR, your most overexposed exposure should be such that the left edge of the histogram falls approximately 1/3 of the way to the right. This way, the camera records as much information in the shadows as it normally would in the midtones. You won't get the clumpy colors (a.k.a. posterization) that you get when you push the shadows too hard using levels, curves, or control points.

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