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Title: Value-at-risk, informativeness of earnings.
Authors: Lim, Benjamin Wan Heng.
Wee, Wei Siang.
Koh, Chin Meng.
Keywords: DRNTU::Business::Finance::Risk management
Issue Date: 2003
Abstract: Our paper examines the relationship between S&P500 firms’ 10-K market risk disclosures in terms of Value-at-risk (VaR), mandated by SEC Financial Reporting Release No.48 in 1997, and the informativeness of earnings. Our results show that earnings informativeness decrease with the increasing magnitude of the VaR figures disclosed.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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