Record Details

Risk Measurement of Equity Markets and Private Investor Behaviour

Trends Economics and Management

View Archive Info
 
 
Field Value
 
Title Risk Measurement of Equity Markets and Private Investor Behaviour
Risk Measurement of Equity Markets and Private Investor Behaviour
 
Creator Škapa, Stanislav
 
Subject —
—
Risk; return; equity; bootstrap; robust approach; behaviour; loss aversion
G17; D11
 
Description —
Purpose of this article: The aim of this paper is to evaluate and determine risk profile of equities markets and conclude consequency for private investor portfolios. There is summarized broad issue of risk measuremen with a focuse on downside risk measurement principle and giving into context with expected utility theory and loss aversion theory.
Methodology/methods: The suitable statistical methods (mainly robust statistical methods) have been used for estimation of selected characteristics and ratios. There is used a computer intensive method (a bootstrap method) for estimating risk characteristics for equity markets, indicators and ratios.
Scientific aim: The main scientific aim is to use a complex of more sophisticated and theoretically advanced statistical techniques and apply them on on the finding of the expected utility theory and the loss aversion theory.
Findings: A main finding should be reckon a using of results of loss aversion theory applied into empirical evidence of risk profile of equity markets which led to the finding that more reliable and more suitable evaluation of risk of equity markets is downside risk and Sortino ratio from the perpective of private investor.
Conclusion: Using downside risk measurement is revealing as it lays bare the “true” risk of investing in stock markets mainly for risk averse private investors. A bootstrap method with down side risk metric can evaluate risk in more appropriate way, and it is also more suitable if statistical characteristics do not fulfil a normal distribution assumption (mostly because of fat tails or outliers). And lastly in general, investors in emerging market (e.g. Visegrad´s countries) are rewarded with higher return, but if things go wrong, the damage can be severe and detrimental to performance.
 
Publisher www.fbm.vutbr.cz
 
Contributor —
—
 
Date 2013-11-04
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
—
—
 
Format application/pdf
 
Identifier https://trends.fbm.vutbr.cz/index.php/trends/article/view/120
 
Source TRENDY EKONOMIKY A MANAGEMENTU; Vol 5, No 8 (2011); 85 - 96
Trends Economics and Management; Vol 5, No 8 (2011); 85 - 96
2336-6508
1802-8527
 
Language ces
 
Relation https://trends.fbm.vutbr.cz/index.php/trends/article/view/120/106