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Extreme movements of the main stocks traded in the Eurozone: an analysis by sectors in the 2000's decade

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  • Emma M. Iglesias
  • María Dolores Lagoa Varela

Abstract

We have analysed extreme movements of the main stocks traded in the Eurozone by sectors in the 2000's decade. We find several patterns. First , we can classify firms by sector according to their different estimated Value-at-Risk (VaR) values but we cannot find differences according to their geographical situation. Second , we find sectors where companies have very high (telecommunications and banking) and very low (petroleum, utilities, energy and consumption) estimated VaR values. Other sectors such as industry are very heterogeneous. Third , we get differences when we analyse the correlation between average return and VaR estimates: higher average return is found in firms with smaller risk in extreme events in the banking and consumption subsectors; however, higher return with higher estimated VaR values occurs in the utilities (electricity and gas) subsector, being less attractive for very risk-averse investors. Finally , our results show that very risk-averse investors that are looking for high average return and low estimated VaR should choose the following firms classified by sector: Danone and Sanofi-Aventis (consumption), Bbva (financial services), Eni Spa and Iberdrola (petroleum and energy) and Telefonica (technology and telecommunications).

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File URL: http://hdl.handle.net/10.1080/09603107.2012.697121
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 22 (2012)
Issue (Month): 24 (December)
Pages: 2085-2100

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Handle: RePEc:taf:apfiec:v:22:y:2012:i:24:p:2085-2100

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