Value relevance of mandated market risk exposure disclosure : value-at-risk.
This paper investigates the value relevance of Value-at-Risk. It was found that Value-at-Risk is associated with weaker earnings-returns relation. Investors perceive the earnings of firms with considerable market risk exposure to be less persistent and thus lower their expected rate of returns.
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/9339 |
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| Institution: | Nanyang Technological University |
| Summary: | This paper investigates the value relevance of Value-at-Risk. It was found that Value-at-Risk is associated with weaker earnings-returns relation. Investors perceive the earnings of firms with considerable market risk exposure to be less persistent and thus lower their expected rate of returns. |
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