风险价值和最大回撤与股票市场波动不同吗

Q4 Business, Management and Accounting

Journal of Applied Business Research Pub Date : 2018-02-14 DOI:10.19030/JABR.V34I2.10121

Soohun Kim

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引用次数: 1

摘要

衡量风险是许多资产定价模型的关键组成部分。尽管波动性是最广泛使用的风险度量，但风险值（VaR）和最大提款量（MDD）也被视为替代风险度量。本文质疑VaR和MDD是否包含股票市场波动性的额外信息。实证分析是以韩国股市上市的股票为样本进行的。通过根据三个风险度量构建投资组合，检验了横截面的可预测性。主要发现如下：；（1）收益模式在所有度量中都是钟形的，（2）VaR和MDD在调节波动性后不会捕获额外的风险因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Are Value At Risk And Maximum Drawdown Different From Volatility In Stock Market

Measuring risk is the key component in many asset pricing models. Although volatility is the most widely used measure for the risk, Value at Risk (VaR) and Maximum drawdown (MDD) are also considered as alternative risk measure. This article questions whether VaR and MDD contain additional information to volatility in equity market. The empirical analysis is conducted using the stocks listed in Korean stock market. By constructing portfolios in accordance with three risk measures, cross-sectional predictability is tested. The primary findings are as follow; (1) the return patterns are bell shaped in all measures and (2) VaR and MDD do not capture additional risk factors after conditioning volatility.

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来源期刊

Journal of Applied Business Research Business, Management and Accounting-Business and International Management

CiteScore

0.60

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Business Research (JABR) welcomes articles in all areas of applied business and economics research. Both theoretical and applied manuscripts will be considered for publication; however, theoretical manuscripts must provide a clear link to important and interesting business and economics applications. Using a wide range of research methods including statistical analysis, analytical work, case studies, field research, and historical analysis, articles examine significant applied business and economics research questions from a broad range of perspectives. The intention of JABR is to publish papers that significantly contribute to these fields.