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An assessment of risk in thinner markets: the Belgian case

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  • Hawawini, Gabriel

Abstract

This study uses the Market Model to assess the risk of securities in a thinner stock market, the Brussels Stock Exchange (Belgium) and compares the results to similar findings in French and U.S. stock exchanges.

Suggested Citation

  • Hawawini, Gabriel, 1979. "An assessment of risk in thinner markets: the Belgian case," MPRA Paper 33971, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:33971
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    File URL: https://mpra.ub.uni-muenchen.de/33971/1/MPRA_paper_33971.pdf
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    References listed on IDEAS

    as
    1. Altman, Edward I & Jacquillat, Bertrand C & Levasseur, Michel, 1974. "Comparative Analysis of Risk Measures: France and the United States," Journal of Finance, American Finance Association, vol. 29(5), pages 1495-1511, December.
    2. Pogue, Gerald A. & Solnik, Bruno H., 1974. "The Market Model Applied to European Common Stocks: Some Empirical Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(6), pages 917-944, December.
    3. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
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    Cited by:

    1. Beer, Francisca Marie, 1997. "Estimation of risk on the Brussels Stock Exchange: Methodological issues and empirical results," Global Finance Journal, Elsevier, vol. 8(1), pages 83-94.

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    More about this item

    Keywords

    Market Model; Risk of financial assets; Thinner markets; Comparative stock price behavior;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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