Value at Risk and Stock Portfolio Liquidity

This paper examines the effects of liquidity on the stock and portfolio risk measure by Value at Risk (VaR). Using daily stock returns and firm market capitalization, empirical calculation of VaR that confirmed not yet succeeded to prove pattern of relations between risk and liquidity both individually and in the level of stock portfolios. Also this study clarified that stock portfolio diversification yet achieve risk reduction

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Year of publication:	2011
Authors:	Pasaribu, Rowland Bismark
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Liquidität \| Liquidity \| Theorie \| Theory

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Extent:	1 Online-Ressource (35 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Accounting and Management, Vol. 21, No. 2, pp. 105-127, August 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 14, 2010 erstellt
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G31 - Capital Budgeting; Investment Policy
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013125154