A Real Value Risk Estimation Model for an Emerging Market

35 Pages Posted: 23 Jan 2015

See all articles by Sven Carlin

Sven Carlin

Amsterdam University of Applied Sciences - International Business School

Date Written: January 22, 2015

Abstract

This research aims to solve the ambiguities that arise from stock risk estimation of an emerging market. Risk is not defined as variability but as a possibility of loss or of a weaker than market performance. Stock risk is estimated through the analysis of the underlying business, respectively its real value. The research is conducted on the Croatian stock market and results show that stock risk can be better estimated through real value analysis than by the beta coefficient or by the Fama and French three factor model. A unique real value risk factor is created and proved robust in theory and applicable in practice.

Keywords: Stock risk, investment risk, real value, real value risk factor, CAPM, Fama & French, behavioural finance, efficient markets.

JEL Classification: G1, G12, G32

Suggested Citation

Carlin, Sven, A Real Value Risk Estimation Model for an Emerging Market (January 22, 2015). Available at SSRN: https://ssrn.com/abstract=2553858 or http://dx.doi.org/10.2139/ssrn.2553858

Sven Carlin (Contact Author)

Amsterdam University of Applied Sciences - International Business School ( email )

Fraijlemaborg 133
Amsterdam, 1102 CV
Netherlands

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