Market capitalization and Value-at-Risk

被引:36
作者
Dias, Alexandra [1 ]
机构
[1] Univ Leicester, Sch Management, Leicester LE1 7RH, Leics, England
关键词
Market capitalization; Quantitative risk management; Value-at-Risk; Financial crises; FORECASTS; TIME;
D O I
10.1016/j.jbankfin.2013.04.015
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The potential of economic variables for financial risk measurement is an open field for research. This article studies the role of market capitalization in the estimation of Value-at-Risk (VaR). We test the performance of different VaR methodologies for portfolios with different market capitalization. We perform the analysis considering separately financial crisis periods and non-crisis periods. We find that VaR methods perform differently for portfolios with different market capitalization. For portfolios with stocks of different sizes we obtain better VaR estimates when taking market capitalization into account. We also find that it is important to consider crisis and non-crisis periods separately when estimating VaR across different sizes. This study provides evidence that market fundamentals are relevant for risk measurement. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码:5248 / 5260
页数:13
相关论文
共 32 条
[21]   THE CROSS-SECTION OF EXPECTED STOCK RETURNS [J].
FAMA, EF ;
FRENCH, KR .
JOURNAL OF FINANCE, 1992, 47 (02) :427-465
[22]   Improving the value at risk forecasts: Theory and evidence from the financial crisis [J].
Halbleib, Roxana ;
Pohlmeier, Winfried .
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2012, 36 (08) :1212-1228
[23]  
Kuester K., 2006, J FINANC ECON, V4, P53, DOI DOI 10.1093/JJFINEC/NBJ002
[24]   Robust Value at Risk Prediction [J].
Mancini, Loriano ;
Trojani, Fabio .
JOURNAL OF FINANCIAL ECONOMETRICS, 2011, 9 (02) :281-313
[25]  
McNeil A.J., 2000, Journal of Empirical Finance, V7, P271, DOI 10.1016/S0927-5398(00)00012-8
[26]  
Morgan J P., 1996, Technical Document, V4th
[27]  
PICKANDS J, 1975, ANN STAT, V3, P119
[28]   The hidden dangers of historical simulation [J].
Pritsker, M .
JOURNAL OF BANKING & FINANCE, 2006, 30 (02) :561-582
[30]   PERSUASIVE EVIDENCE OF MARKET INEFFICIENCY [J].
ROSENBERG, B ;
REID, K ;
LANSTEIN, R .
JOURNAL OF PORTFOLIO MANAGEMENT, 1985, 11 (03) :9-16