Financial risk measurement for evaluating stock market efficiency
Project goals
The aim of the proposed project is to analyze various dimensions of financial risk in the context of capital markets, to empirically evaluate the importance of alternative risk proxies and to investigate what implications different ways of risk measurement have on tests of stock market efficiency. Efficient use of available information by capital markets and adequate assessment of relevant risks have profound consequences for eliminating economic waste. Existing research has shown that capturing risk israther complex and as a consequence stock markets often fail to adequately incorporate economic information into stock prices. The project analyzes how efficiently stock markets process economic information, it investigates to what extent the established risk proxies are universal, re-examines the methodology of assessing the quality of common risk proxies and proposes ways to improve financial risk measurement. The potential results from this project have important implications both for financial investors and for stock market regulators.
Keywords
Public support
Provider
Czech Science Foundation
Programme
Post-graduate (doctorate) grants
Call for proposals
Postdoktorandské granty 9 (SGA02009GA1PD)
Main participants
—
Contest type
VS - Public tender
Contract ID
402/09/P154
Alternative language
Project name in Czech
Měření finančního rizika pro hodnocení efektivity kapitálových trhů
Annotation in Czech
Cílem navrhovaného projektu je analyzovat dimenze finančního rizika na kapitálových trzích, empiricky vyhodnotit význam jednotlivých rizikových proměnných a zkoumat jaké jsou důsledky různých způsobů měření rizika pro testy efektivity kapitálových trhů.
Scientific branches
Completed project evaluation
Provider evaluation
U - Uspěl podle zadání (s publikovanými či patentovanými výsledky atd.)
Project results evaluation
The project gone according to plan both in terms of expertise and in terms of disbursement of funds.
Solution timeline
Realization period - beginning
Jan 1, 2009
Realization period - end
Dec 31, 2011
Project status
U - Finished project
Latest support payment
Apr 16, 2011
Data delivery to CEP
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data delivery code
CEP12-GA0-GP-U/03:3
Data delivery date
May 2, 2016
Finance
Total approved costs
815 thou. CZK
Public financial support
815 thou. CZK
Other public sources
0 thou. CZK
Non public and foreign sources
0 thou. CZK
Basic information
Recognised costs
815 CZK thou.
Public support
815 CZK thou.
100%
Provider
Czech Science Foundation
CEP
AH - Economics
Solution period
01. 01. 2009 - 31. 12. 2011