Case study on measuring stock market risk

These apparently disparate events have at least three things in common:

Case study on measuring stock market risk

This paper presents a logistic regression model to measure risk management of receivable accounts on some selected firms from drug industry listed on Tehran Stock Exchange. The proposed study of this paper considers the effects of different variables such as current ratio, quick ratio, working capital on total assets and cash flow on economic value added.

We gather the necessary information of 29 firms over the period The results of our survey indicate that the proposed model of this paper is capable of forecasting high profit firms with a probability of How to cite this paper Ahmadi, M.

A case study of Tehran Stock Exchange. Management Science Letters3 6 A study on the effect of interest rate on performance of stock exchange: Management Science Letters, 3 5 A study of the effect of change on ownership structure on enterprise value of privatized firms: Evidence from Tehran Stock Exchange.

A study on the relationship between capital structure and the performance of production market: A case study of firms listed on Tehran Stock Exchange. Management Science Letters, 3 4 Forecasting stock price using grey-fuzzy technique and portfolio optimization by invasive weed optimization algorithm.

Decision Science Letters, 2 3 A study on relationship between capital employed efficiency and operating cash flow: A study on relationship between institutional investors and earnings management: Evidence from the Tehran Stock Exchange.

The relationship between top management turnover with earnings management and default risk and earnings forecast error in the Tehran Stock Exchange.QUMT Case Study – Measuring Stock Market Risk One measure of the risk or volatility of an individual stock is the standard deviation of the total return (capital appreciation plus dividends) over several periods of time.

The measure of market risk used by portfolio managers is the risk contribution of a single stock to a well-diversified portfolio and is called a "Financial Beta (b)." Betas have the following interpretation: A beta of one means the stock has the same risk as the overall market (benchmark) portfolio.

It is a relative measure: beta is the relation between an investment's systematic risk and the market risk. If a stock or a portfolio has a beta equal to 1, it means that it has as much systematic risk as there is risk in the market.

The Treynor ratio uses a portfolio's "beta" as its risk. Beta measures the volatility of an investment relative to the stock market, generally the S&P index, which is given a beta of one. In this paper, we estimate and test several default risk models using new and unique data on corporate defaults in the German stock market.

Case study on measuring stock market risk

While defaults were extremely rare events in the s, they have been a characteristic feature of the German stock market since the early s. QUMT Case Study – Measuring Stock Market Risk One measure of the risk or volatility of an individual stock is the standard deviation of the total return (capital appreciation plus dividends) over several periods of time/5.

Common Investment Valuation Ratios Industry averages Estimating Riskfree Rates The riskfree rate is a fundamental input to most risk and return models.
The Liquidity Ratios As an investor, you should determine whether or not you believe the efficient market hypothesis to be true.
Liquidity risk - Wikipedia