English, Article edition: AN EMPIRICAL ASSESSMENT OF DIFFERENT RISK MEASURES FOR STOCKS TRADED ON THE ASE Petros MESSIS; George BLANAS

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Bookmark: http://trove.nla.gov.au/version/158134
Physical Description
  • article
Language
  • English

Edition details

Title
  • AN EMPIRICAL ASSESSMENT OF DIFFERENT RISK MEASURES FOR STOCKS TRADED ON THE ASE
Author
  • Petros MESSIS
  • George BLANAS
Physical Description
  • article
Notes
  • This paper examines three different measures of risk, the standard deviation, the correlation coefficient and the beta coefficient. The measures are compared with each other in relation to the way with which they estimate the risk, using the Spearman’s rank correlation coefficient. The results show that the risk is valued differently in every case. The same rank correlation coefficient is being used to form portfolios with relative stable beta coefficients in order to minimize the variation of the associated risk. The results showed that a relationship exists to beta coefficients between stocks that can give useful information about the portfolio diversification, as it is possible for portfolios with relative constant coefficients and higher returns in relation to risk they undertake to be formed.
  • risk measures, Spearman’s rank correlation, stability of beta coefficient, portfolio diversification
  • RePEc:dug:journl:y:2009:i:1:p:5-15c:dug:journl:y:2009:i:1:p:5-15
Language
  • English
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