Value relevance of value-at-risk disclosure
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 29 (2007)
Issue (Month): 4 (November)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
Market risk; Value-at-risk; Value relevance; Earnings-returns relation; Stock return volatility; G18; M41;
Find related papers by JEL classification:
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- M41 - Business Administration and Business Economics; Marketing; Accounting - - Accounting - - - Accounting
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February.
- Li Wang & Pervaiz Alam & Stephen Makar, 2005. "The Value-Relevance of Derivative Disclosures by Commercial Banks: A Comprehensive Study of Information Content Under SFAS Nos. 119 and 133," Review of Quantitative Finance and Accounting, Springer, vol. 25(4), pages 413-427, December.
- Ruey Tsay & Yi-Mien Lin & Hsiao-Wen Wang, 2008. "Residual income, value-relevant information and equity valuation: a simultaneous equations approach," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 331-358, November.
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