An assessment of risk in thinner markets: the Belgian case

Hawawini, Gabriel (1979): An assessment of risk in thinner markets: the Belgian case. Published in: Journal of Economics and Business , Vol. 31, No. Spring/Summer (1979): pp. 196-201.

Abstract

This study uses the Market Model to assess the risk of securities in a thinner stock market, the Brussels Stock Exchange (Belgium) and compares the results to similar findings in French and U.S. stock exchanges.

• Item Type: MPRA Paper
• Language: English
• Keywords: Market Model; Risk of financial assets; Thinner markets; Comparative stock price behavior
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions

References

E. Altman, B. Jacquillat, and M. Levasseur "Comparative analysis of risk measures: France and the United States", J. of Finance, December 1974.

M. Blume "On the assessment of risk", J. of Finance, March 1971.

G. Pogue and B. Solnik "The Market Model applied to European common stocks: Some empirical results", J. of Financial and Quantitative Analysis, December 1974.