Dias, Alexandra orcid.org/0000-0003-0210-552X and Pazzi, Silvia Equity Market Risk, Working Capital and Accruals Quality. Working Paper. (Unpublished)
Abstract
The relation between market risk and fundamentals is not yet completely understood. We investigate the role of working capital ratio (WCR) in the evaluation of market risk measured by Value-at-Risk (VaR). We find a strong positive relation between WCR and VaR. We show that the positive sign of the relation between WCR and VaR is due to a low quality of the accruals component of the WCR. In addition, we find that the WCR gives a significant advantage to investors in estimating portfolio market risk especially during the crisis period.
Metadata
Item Type: | Monograph |
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Authors/Creators: |
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Keywords: | working capital,information risk,risk management,Value-at-Risk,financial crises,accruals quality |
Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > The York Management School |
Depositing User: | Pure (York) |
Date Deposited: | 17 Apr 2024 10:01 |
Last Modified: | 30 Dec 2024 00:23 |
Status: | Unpublished |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:211545 |