Value relevance of mandated market risk exposure disclosure : value-at-risk.

• Main Authors: Sentosa, Adi., Sin, June Weiwei., Goh, Cher Yan.
• Other Authors: Lim, Chee Yeow
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Risk management
• Online Access: http://hdl.handle.net/10356/9339
• Institution: Nanyang Technological University

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.