Aziz, Tariq; Ansari, Valeed Ahmad - In: International Journal of Emerging Markets 12 (2017) 2, pp. 384-399
Purpose The purpose of this paper is to examine the role of value-at-risk (VaR) in the cross-section of stock returns in the Indian stock market during the period 1999-2014. Design/methodology/approach The paper follows the methodology of Bali and Cakici (2004) to investigate the relationship...
