The informativeness of risk factor disclosures : estimating the covariance matrix of stock returns using similarity measures
Lukas Tilmann and Martin Walther
| Year of publication: |
2023
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|---|---|
| Authors: | Tilmann, Lukas ; Walther, Martin J. |
| Published in: |
Journal of risk : JOR. - London : Infopro Digital Risk, ISSN 1755-2842, ZDB-ID 2091446-5. - Vol. 25.2023, 6, p. 1-23
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| Subject: | covariance matrix | information content | risk factor disclosures | similarity measures | textual analysis | Korrelation | Correlation | Kapitaleinkommen | Capital income | Informationswert | Information value | Unternehmenspublizität | Corporate disclosure | Risiko | Risk | Messung | Measurement | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2023.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014487222