Quantitative risk management under systematic and systemic risks

Tang, Zhaofeng

doi:10.17077/etd.gqx5-2y7y

Cited by 1 publication

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“…In efficient markets, capacity information corresponds to the capability to generate information that could influence the expectations of investors. Measures of risk accounting that are linked to the uncertainty of business cash flows are directly related to systematic risks [7]. In another study, the minimum return on assets held by investors is influenced by market betas rather than fluctuation of the returns [8].…”

Section: Theoretical Basismentioning

confidence: 98%

Research on the Factors of Moderation in Enhancing Corporate Value

2023

AEMPS

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The link between systematic risk and the performance of firms was initially established. The systematic risk was investigated as a framework of CAPM, the Capital Asset Pricing Model, which is an efficient approach to risk assessment. The systematic risk is represented using the CAPMs coefficient (beta). Indicators of financial performance were used to analyze systematic risk. Such indicators comprise of operational efficiency, liquidity, profitability, market valuation, and financial leverage. The study comprises the analysis of Lululemon Company, its competitors, Nike and Adidas Companies, as well as the comparison to the NASDAQ and DAX index. Based on the results of the estimation, the systematic risk of companies is inversely related to profitability, market value, and efficiency indicators. Also, there exists a negative correlation between the systematic risks of one year compared to the previous years. The findings indicate a positive relationship between leverage and systematic risk, growth and systematic risk are not related.

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Section: Theoretical Basismentioning

confidence: 98%

Research on the Factors of Moderation in Enhancing Corporate Value

2023

AEMPS

View full text Add to dashboard Cite

show abstract

Quantitative risk management under systematic and systemic risks

Cited by 1 publication

References 0 publications

Research on the Factors of Moderation in Enhancing Corporate Value

Research on the Factors of Moderation in Enhancing Corporate Value

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