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ERN: Stock Market Risk (Topic)最新文献

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Exploring the Empirical Properties Among Different Credit Risk Indicators for EMU Corporate Index 探讨欧洲货币联盟企业指数不同信用风险指标的实证性质
ERN: Stock Market Risk (Topic) Pub Date : 2010-08-01 DOI: 10.2139/ssrn.1962857
A. Carboni
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引用次数: 0
Evidence for Weak Form Efficiency in Stock Markets: The Case of Colombo Stock Exchange 股票市场弱形式效率的证据:以科伦坡证券交易所为例
ERN: Stock Market Risk (Topic) Pub Date : 2010-05-01 DOI: 10.2139/ssrn.2534900
S. Fernando, P. Jayasinghe
{"title":"Evidence for Weak Form Efficiency in Stock Markets: The Case of Colombo Stock Exchange","authors":"S. Fernando, P. Jayasinghe","doi":"10.2139/ssrn.2534900","DOIUrl":"https://doi.org/10.2139/ssrn.2534900","url":null,"abstract":"With increased movement of investments across international boundaries owing to the integration of world economies, the understanding of efficiency of the emerging markets is also gaining greater importance. This paper investigates the weak form efficiency of the Colombo Stock Ex-change by analyzing returns on the two key indices of the exchange which are the All Share Price Index and the Milanka Price Index over a long term period commencing from the year 1985 up to the year 2009. Weak form efficiency is tested subjecting both the indices using returns both on a daily as well as a monthly basis testing the random walk hypothesis using four techniques of Autocorrelation and the use of a non-parametric test which is the runs test. Results of these tests prove that based on the daily returns that the market is weak form inefficient. When considering the monthly returns the runs test states that the market is efficient while Q statistic gives mixed results. The other tests are in line with the daily returns. The paper also considers anomalous behaviour in the Colombo Stock Exchange, with the intention of possibly identifying a day-of-the-week effect or a month-of-the-year-effect.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"88 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2010-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73397982","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Retail Loans and Basel II: Using Portfolio Segmentation to Reduce Capital Requirements 零售贷款和巴塞尔协议II:利用投资组合分割降低资本要求
ERN: Stock Market Risk (Topic) Pub Date : 2006-08-01 DOI: 10.2139/ssrn.2001386
D. Kaltofen, Stephan Paul, Stefan Stein
{"title":"Retail Loans and Basel II: Using Portfolio Segmentation to Reduce Capital Requirements","authors":"D. Kaltofen, Stephan Paul, Stefan Stein","doi":"10.2139/ssrn.2001386","DOIUrl":"https://doi.org/10.2139/ssrn.2001386","url":null,"abstract":"The key concept underlying the Basel II framework for risk measurement and corresponding equity capital standards is that the existing regulations pertaining to credit risk will be individualised through reference to the internal ratings of banks. In accordance with the regulatory guidelines, Daniel Kaltofen, Stephan Paul and Stefan Stein develop an ‘optimised segmentation approach’ with regard to the credit default event and measure the implications for regulatory capital requirements. As regards methodology, they present an innovative technique and test it on a data set of approximately 413,000 motor vehicle loans. By classifying loans according to selective predictors of default, the authors find that banks can achieve significant savings in terms of ensuring a lower regulatory capital requirement. This provides banks with the opportunity to increase lending capacity. The technique overcomes the disadvantages of the more familiar standard methods used in today’s bank risk management and delivers more robust results.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"477 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2006-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85297650","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
On the Risk-Return Relation in International Stock Markets, Forthcoming 国际股票市场的风险收益关系研究，即将出版
ERN: Stock Market Risk (Topic) Pub Date : 2006-05-01 DOI: 10.2139/ssrn.903818
Hui Guo
{"title":"On the Risk-Return Relation in International Stock Markets, Forthcoming","authors":"Hui Guo","doi":"10.2139/ssrn.903818","DOIUrl":"https://doi.org/10.2139/ssrn.903818","url":null,"abstract":"We investigate the risk-return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indices. In contrast with CAPM, realized variance by itself provides negligible information about future excess stock market returns; however, we uncover a positive and significant risk-return tradeoff in many countries after controlling for the (U.S.) consumption-wealth ratio. U.S. realized variance is also significantly related to future international stock market returns; more importantly, it always subsumes the information content of its local counterparts. Our results indicate that stock market variance is an important determinant of the equity premium.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"35 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2006-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76143981","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Specification and Estimation of Production Risk, Risk Preferences and Technical Efficiency 生产风险、风险偏好与技术效率的规范与评估
ERN: Stock Market Risk (Topic) Pub Date : 2002-02-01 DOI: 10.1111/1467-8276.00239
S. Kumbhakar
{"title":"Specification and Estimation of Production Risk, Risk Preferences and Technical Efficiency","authors":"S. Kumbhakar","doi":"10.1111/1467-8276.00239","DOIUrl":"https://doi.org/10.1111/1467-8276.00239","url":null,"abstract":"This article deals with specification and estimation of risk preferences, production risk, and technical inefficiency. It makes contribution in three separate areas of production economics. First, we model producers' attitude toward risk and derive risk preference functions (without assuming any parametric form of the utility function and any distribution of the error term representing production risk) when risk arises from production uncertainty and technical inefficiency. Second, the standard production risk model is extended to accommodate technical inefficiency and producers' attitude toward risk. Finally, the technical efficiency model is generalized to accommodate production risk and producers' attitude toward risk. Copyright 2002, Oxford University Press.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"92 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2002-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75101024","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 243
The Information Content of Standard & Poor's Common Stock Ranking Changes 标准普尔普通股排名信息含量的变化
ERN: Stock Market Risk (Topic) Pub Date : 1991-08-01 DOI: 10.2307/3665657
J. Felton, Pu Liu, Douglas Hearth
{"title":"The Information Content of Standard & Poor's Common Stock Ranking Changes","authors":"J. Felton, Pu Liu, Douglas Hearth","doi":"10.2307/3665657","DOIUrl":"https://doi.org/10.2307/3665657","url":null,"abstract":"This study examines the information content of Standard & Poor's common stock ranking changes. Since prior studies find Standard & Poor's common stock rankings provide investors with a measure of risk, a ranking change may signify a change in risk. Common stock ranking changes made by Standard & Poor's may provide investors with a low-cost means of predicting the direction of future market risk. Internal memoranda containing ranking changes from June 1985 through May 1987 were obtained directly from Standard & Poor's. Using a sample of 191 upgrades and 582 downgrades, results indicate that mean portfolio betas change following Standard & Poor's memorandum dates for ranking changes.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"1991-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87349328","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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