Purpose – The purpose of this paper is to focus on the performance of three alternative value-at-risk (VaR) models to provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed and emerging stock market indices over the time...

Purpose – The purpose of this paper is to test the hypothesis that the nationality of ownership affects investment through its interaction with return expectations and cash flow and to answer the question whether this is due to asymmetric information or managerial discretion problems....

Purpose – The purpose of this paper is to propose and test a method for selecting a portfolio of public firms which can be used for computing the cost of equity capital for a non-public firm or division of a firm. Design/methodology/approach – This method relies on cluster analysis and a...

Purpose – The purpose of this paper is to investigate the asymptotic distribution of the extreme daily stock returns in African stock markets over the period 1996-2007 and examine the implications for downside risk measurement. Design/methodology/approach – Extreme value theory methods are...

Purpose – The purpose of this paper is to examine whether stock dividend announcements create value for companies traded on the Nigerian stock market and to ascertain the nature of the information such announcements convey. Design/methodology/approach – A standard event study methodology,...

Purpose – This paper aims to provide upper-level accounting and/or finance students with a review of the intricacies of option pricing, discounted cash flow (DCF) capital budgeting decision models, various types of real options, how risk analysis of long-term capital investments can be...

Purpose –This paper seeks to show optimal strategies for firms to cope with analysis and management of risks. Design/methodology/approach - Empirical and experimental studies on gender differences in risk analysis and risk management are reported and assessed. Findings - Women appear less...

Purpose - The purpose of this paper is to examine the risk-incentive effect of CEO stock options in the banking industry. Design/methodology/approach - For a sample of industrial mergers, Williams and Rao find that the risk-incentive effect of CEO stock options is associated with higher...

Purpose -This paper aims to examine the contemporary association between accounting information and a number of measures of systematic (beta) risk that incorporate dynamic market features. The goal is to determine the fundamental accounting drivers of beta and to assess whether their explanatory...

Purpose - Prior work claims that the CAPM is mis-specified based on evidence that beta and idiosyncratic variables such as size, book-to-market, and price-earnings ratios combine to explain average cross-sectional variation in stock returns. This paper set out to reexamine this research by...