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Misestimating Value (at Risk) James A. Kaplan CFA GMI Ratings

Explore the impact of ignoring key measures of value on value at risk estimation in corporate governance. Study focuses on companies with significant price declines and their market value characteristics from 2009-2011.

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Misestimating Value (at Risk) James A. Kaplan CFA GMI Ratings

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  1. Misestimating Value (at Risk)James A. Kaplan CFAGMI Ratings

  2. Natural vs. Man-Made Black Swan Events

  3. Russell 3000 Index Return Distribution2009-2011 Monthly Data in any portion of a one-yr period

  4. AGR: A Key Measure of Value The Quality of Accounting and Corporate Governance

  5. Characteristics of Companies with 70%+ Price Decline, by AGRMinimum Market Value of $250M, 2009-2011

  6. Incidence of Price Drops of at least 70% by AGR

  7. Market Value by AGR Companies with 70%+ Price Drop

  8. Beta by AGR Companies with 70%+ Price Drop

  9. Sector Distribution of Companies with 70%+ Price Drop

  10. Summary: Ignoring Key Measures of Value Misestimates Value at Risk

  11. +1 877-479-7500 info@gmiratings.com www.gmiratings.com

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