We hypothesize that the quality of market risk disclosure mandated by the U.S. Securities and Exchange Commission Financial Reporting Release No. 48 (FRR No. 48) provides useful information for assessing risk management effectiveness. Measuring risk disclosure quality as the degree of...

This paper studies the issue of modeling conditional covariance for a mixed-asset portfolio consisting of stock, bond, and REITs. We examine the performances of six commonly used covariance estimators. We find that no single estimator delivers the best performance when a wide range of...

Purpose – The purpose of this paper is to explore whether financial risk management (FRM) can improve enterprise value in China's current economic environment. Design/methodology/approach – A theoretical model is constructed which decomposes firms by different combinations expressed by cash...