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...