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Extreme loss risk in financial turbulence – evidence from the global financial crisis
Uppal, Jamshed Y.; Mangla, Inayat Ullah - In: Managerial Finance 39 (2013), pp. 653-666
Purpose – This study aims to examine the stock returns distributions in ten countries in the periods before and after the global financial crisis (GFC) to evaluate how well the empirical distributions conformed to the extreme value theory (EVT) which underlies a family of risk management...
Persistent link: https://www.econbiz.de/10010709743
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Extreme loss risk in financial turbulence – evidence from the global financial crisis
Uppal, Jamshed Y.; Ullah Mangla, Inayat - In: Managerial Finance 39 (2013) 7, pp. 653-666
Purpose – This study aims to examine the stock returns distributions in ten countries in the periods before and after the global financial crisis (GFC) to evaluate how well the empirical distributions conformed to the extreme value theory (EVT) which underlies a family of risk management...
Persistent link: https://www.econbiz.de/10014940306
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The impact of the global financial crisis on firm-level risk of the S&P 500
Loviscek, Anthony; Riley, Elven - In: Managerial Finance 39 (2013), pp. 641-652
Purpose – This paper aims to assess the impact of the global financial crisis of 2007-09 on the risk structure of S&P 500 firms by examining their market, active, and residual risks before and during the crisis. Design/methodology/approach – The classic one-factor model is estimated for each...
Persistent link: https://www.econbiz.de/10010709761
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The impact of the global financial crisis on firm-level risk of the S&P 500
Loviscek, Anthony; Riley, Elven - In: Managerial Finance 39 (2013), pp. 641-652
Purpose – This paper aims to assess the impact of the global financial crisis of 2007-09 on the risk structure of S&P 500 firms by examining their market, active, and residual risks before and during the crisis. Design/methodology/approach – The classic one-factor model is estimated for each...
Persistent link: https://www.econbiz.de/10010691521
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The impact of the global financial crisis on firm‐level risk of the S&P 500
Loviscek, Anthony; Riley, Elven - In: Managerial Finance 39 (2013) 7, pp. 641-652
Purpose – This paper aims to assess the impact of the global financial crisis of 2007‐09 on the risk structure of S&P 500 firms by examining their market, active, and residual risks before and during the crisis. Design/methodology/approach – The classic one‐factor model is estimated for...
Persistent link: https://www.econbiz.de/10014940305
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Individual stock market risk and price valuation: the case of Titan S.A.
Maniatis, Paraschos - In: Managerial Finance 37 (2011) April, pp. 347-361
Purpose – The purpose of this study is twofold: to test the hypothesis that the closing prices of Titan S.A. stock can be approximated by a random walk; and to valuate the risk associated to this stock. The first question is equivalent to the efficient market hypothesis (EMH) and, therefore,...
Persistent link: https://www.econbiz.de/10009275398
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Analysis of currency impact on international investment
Shetty, Anand; Manley, John - In: Managerial Finance 32 (2006), pp. 5-13
Purpose – Aims to examine the currency impact on return, risk and market correlations from the perspective of both dollar and non-dollar-based investments. Design/methodolgy/approach - Monthly data on six stock index series and exchange rates from Financial Times Sources are used, covering the...
Persistent link: https://www.econbiz.de/10010741368
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Analysis of currency impact on international investment
Shetty, Anand; Manley, John - In: Managerial Finance 32 (2006) 1, pp. 5-13
Purpose – Aims to examine the currency impact on return, risk and market correlations from the perspective of both dollar and non‐dollar‐based investments. Design/methodology/approach – Monthly data on six stock index series and exchange rates from Financial Times Sources are used,...
Persistent link: https://www.econbiz.de/10014939841
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Individual stock market risk and price valuation: the case of Titan S.A.
Maniatis, Paraschos - In: Managerial Finance 37 (2011) 4, pp. 347-361
Purpose – The purpose of this study is twofold: to test the hypothesis that the closing prices of Titan S.A. stock can be approximated by a random walk; and to valuate the risk associated to this stock. The first question is equivalent to the efficient market hypothesis (EMH) and, therefore,...
Persistent link: https://www.econbiz.de/10014940164
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VaR and time-varying volatility: a comparative study of three international portfolios
Obi, Pat; Sil, Shomir - In: Managerial Finance 39 (2013), pp. 625-640
-at-risk (VaR). This risk metric calculates the worst case loss for a business in the course of its daily transactions. To ensure … that the calculated VaR reflects emerging risk characteristics, this paper introduces an approach that incorporates time …-varying volatility. Design/methodology/approach – This study uses the GARCH technique to calculate the volatility metric with which VaR …
Persistent link: https://www.econbiz.de/10010709754