Value relevance of mandated market risk exposure disclosure : value-at-risk.
Sin, June Weiwei.
Goh, Cher Yan.
Date of Issue2004
College of Business (Nanyang Business School)
This paper investigates the value relevance of Value-at-Risk. It was found that Value-at-Risk is associated with weaker earnings-returns relation. Investors perceive the earnings of firms with considerable market risk exposure to be less persistent and thus lower their expected rate of returns.
Final Year Project (FYP)
Nanyang Technological University