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A Theoretically Defensible Measure of Risk: Using Financial Market Data from a Middle Income Context

Author

Listed:
  • Johannes W. Fedderke
  • Neryvia Pillay Bell
Abstract
While economic theory assumes that risk is of central importance in financial decision making, it is difficult to measure the uncertainty faced by investors. Commonly used empirical proxies for risk (such as the moving standard deviation of the returns on an asset) are not firmly grounded in economic theory. Risk measures have been developed by […]

Suggested Citation

  • Johannes W. Fedderke & Neryvia Pillay Bell, 2007. "A Theoretically Defensible Measure of Risk: Using Financial Market Data from a Middle Income Context," Working Papers 064, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:064
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    agriculture; climate change; Financial Markets; Risk and Uncertainty; shocks; uncertainty;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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