Analisis Perubahan Penerapan Manajemen Risiko di PT ABC Mengacu pada Permen B…

Edisi

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ISBN/ISSN

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Deskripsi Fisik

xii, 83 p. : il. ; 30 cm.

Judul Seri

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No. Panggil

T 673/23

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power. Our key innovation is that this covariance is measured across the left tail states of the individual stock return distribution, not across those of the market return as in standard systematic…

Cash Flow and Discount Rate Risk in Up and Down Markets: What is Actually Pri…

We test whether asymmetric preferences for losses versus gains affect the prices of cash flow versus discount rate risk. We construct a return decomposition distinguishing cash flow and discount rate betas in up and down markets. Using U.S. data we find that downside cash flow and discount rate betas carry the largest premia. Downside cash flow risk is priced…

Multinationality and downside risk : the roles of option portfolio and organi…

Multinational operations confer firms a portfolio of switching options that offer potential operating flexibility in the context of input cost variability, helping firms reduce downside risk. We suggest that two conditions may shape the relationship between multinationality and downside risk. When subadditivity is present in a firm's option portfolio, such as when the firm operates affiliates i…

Pengaruh kinerja tata kelola terhadap downside risk perusahaan : Studi empiri…

Penelitian ini melakukan analisis pengaruh dari peran efektivitas tata kelola perusahaan yang terdiri dari efektivitas dewan komisaris dan efektivitas komite audit, dalam mengurangi masalah keagenan yang dinotasikan dalam bentuk persentase downside risk perusahaan. Penelitian ini menggunakan regresi berganda untuk melihat pengaruh dari kedua efektivitas tata kelola perusahaan sebagai variabel i…