Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Results found: 4

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  downside risk
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Publication available in full text mode
Content available

A theoretical approach to quantitative downside risk measurement methods

100%
CIBULSKIENÉ D., BRAZAUSKAS M.
Central and Eastern European Journal of Management and Economics (CEEJME)
|
2016
|
issue 2
105-123
EN
Evaluating the results of the investment portfolio it is important to take into account not only the expected profitability, but also the risk. Risk measurement is based on the historical data applying various methods. The methods, that take into account the downside volatility, measures risk most effectively. The importance of these methods is emphasized by the empirical research. There are three main downside risk types: downside or asymmetric risk, tail risk, drawdown risk. The paper describes and compares the different risk measurement methodologies and criteria. Market risk measurement methods must meet four basic risk measurement axioms: positive homogeneity, subadditivity, monotonicity, transitional invariance. These axioms represent only a part of evaluating methods for tail risk and drawdown risk. Having conducted empirical studies the scientists have shown that empirical research is becoming more and more popular involving the use of a downside risk measurement methods. This popularity can be explained by the fact that based on the research results the downside risk measurement methodologies help increase the efficiency of investment portfolio.
2
Publication available in full text mode
Content available

Risk Disclosure and Firm Value: Evidence from the United Kingdom

100%
Tache M.
Central European Economic Journal
|
2021
|
vol. 8
|
issue 55
EN
The International Accounting Standard Board (IASB) aimed to increase the decision usefulness of firms’ risk disclosures with the 2007 introduction of the International Financial Reporting Standards (IFRS) 7. Specifically, listed firms were mandated to provide information to the market on both their (1) exposure and (2) risk management, which are associated with holding their financial instruments. This study investigates whether IFRS 7 financial instruments and their disclosures are associated with firm valuation. Using data on premiumlisted United Kingdom (UK) companies, for the period 2007–2019, I find evidence that firm value (proxied by Tobin's Q) is negatively associated with the quantity of IFRS 7 interest and credit risk disclosures. I further find that the market value decreases with the presence of quantitative information tabulated in the disclosures. The findings of this study have important implications for the IASB's standard-setting process.
3
Publication available in full text mode
Content available

Market and Accounting Risk Factors of Asset Pricing in the Classical and Downside Approaches

89%
Rutkowska-Ziarko A., Markowski L.
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
|
2020
|
vol. 54
|
issue 2
EN
Theoretical background: The variability of the company’s profitability is the result of the accompanying risk. To compare the profitability of many companies, relative profitability measures, which include profitability ratios, are more convenient. This article analyses market and accounting risk factors of CAPM. Risk was considered in variance and downside framework. Market betas, accounting betas were used in an extended version of the asset pricing model. Additionally, the influence of profitability ratios, such as ROA and ROE on the average rate of return on the capital market are considered.Purpose of the article: The main purpose of this study is to test the standard and extended CAPM relations between systematic risk measures and mean returns for single companies quoted on the Polish capital market and equally-weighted portfolios in two approaches: variance and downside risk.Research methods: The research based on individual securities and portfolios, compares the one-factor risk-return relationships with two-factor ones estimated using mean returns in cross-sectional regressions. The regressors were expressed in absolute terms and classical and downside beta coefficients. The sample includes companies differing in terms of size and across different industries.Main findings: Portfolios with higher classical or downside market betas generate higher mean returns. The negative risk premium for accounting betas for variance and downside risk was identified. It is not in accordance with our earlier study of the Polish construction sector, where a positive and significant risk premium for downside accounting betas was found. The highest explanatory power of rates on returns on the Polish capital market were found for average ROA and ROE. This confirms the results of the previous studies on the Polish capital market for food and construction sectors.
4
Publication available in full text mode
Content available

The development of downside accounting beta as a measure of risk

75%
Rutkowska-Ziarko A., Pyke C.
Economics and Business Review
|
2017
|
vol. 3(17)
|
issue 4
55-65
EN
This paper develops a new method for measuring market risk called downside accounting beta (DAB). To test the validity of DAB the method is applied to the financial data for 14 food companies listed on the Warsaw Stock Exchange during a 6-year period. DAB calculates how changes in the profitability of the whole sector affects the profitability of a given company. The paper concludes that when calculating DAB using Return on Assets (ROA) and Return on Equity (ROE) there is a positive correlation with market betas. The practical implication of this research is that investors, owners and managers can use DAB to calculate the systematic risk of companies not listed on stock markets and consequently to identify the levels of risk associated with companies within the sector.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.