Grant detail

402/09/P154 Financial risk measurement for evaluating stock market efficiency

Principal investigator: Jiří Novák M.Sc., Ph.D., Deloitte Corporate Chair
Collaborators:
Description: The aim of the proposed project is to analyze various dimensions of financial risk in the context of capital markets, to empirically evaluate the importance of alternative risk proxies and to investigate what implications different ways of risk measurement have on tests of stock market efficiency. Efficient use of available information by capital markets and adequate assessment of relevant risks have profound consequences for eliminating economic waste. Existing research has shown that capturing risk is rather complex and as a consequence stock markets often fail to adequately incorporate economic information into stock prices. The project analyzes how efficiently stock markets process economic information, it investigates to what extent the established risk proxies are universal, re-examines the methodology of assessing the quality of common risk proxies and proposes ways to improve financial risk measurement. The potential results from this project have important implications both for financial investors and for stock market regulators.
Participation:
Work in grant:
Web link:
Finance: Grantová agentura České republiky (GAČR), Czech Science Foundation
End date: 31.12.2011
Publications:

Accounting Conservatism and Transitory Earnings in Value and Growth Strategies

CAPM Beta, Size, Book-to-Market and Momentum in Realized Stock Returns

Empirical Risk Factors in Realized Stock Returns

Ethical vs. Non-Ethical – Is There a Difference? Analyzing Performance of Ethical and Non-Ethical Investment Funds

The Adoption of IFRS 3: The Effects of Managerial Discretion and Stock Market Reactions

Conferences:

Partners

Deloitte
McKinsey & Company
Moneta Money Bank

Sponsors

CRIF
ČSOB