VaR and the cross-section of expected stock returns: an emerging market evidence
In this paper we investigate the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in a less developed stock market – Taiwan's stock market. The main purpose is to examine whether the Valu...
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| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Vilnius Gediminas Technical University
2014-07-01
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| Schriftenreihe: | Journal of Business Economics and Management |
| Schlagworte: | |
| Online Zugang: | https://journals.vgtu.lt/index.php/JBEM/article/view/3026 |