Risk and trading on London's alternative investment market : the stock market for smaller and growing companies /: the stock market for smaller and growing companies. (2015)

• Record Type: Book
• Further Information: Note: John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells.
• Authors: Board, John (John L. G.); Dufour, Alfonso; Hartavi, Yusuf; Sutcliffe, Charles M. S; Wells, Stephen, 1951-
• Contents: 1. Abstract 2. Introduction 3. Activities 4. Interviews 5. Literature Review 5.1. Background on AIM 5.2. Literature Review of Empirical Studies of Small Cap Markets 5.3. Initial Public Offerings 5.4. Delisting 5.5. Risk 5.6. Other Empirical Studies 5.7. Conclusions 6. Empirical Analysis 6.1. Data Preparation and Sample Selection 6.2. Adjustments to the Data 6.3. Survivorship Bias 7. Preliminary Data Analysis 7.1. Market Value 7.2. Industry Groupings 7.3. Age 7.4. Liquidity 8. Volatility Estimation 8.1. Volatility Estimates Based on Daily Representative Prices 8.1.1. Standard Deviation 8.1.2. Garman-Klass 8.1.3. Squared Returns 8.2. Volatility Estimates Based on Intraday Prices 8.2.1. Sum of Squared Returns 8.2.2. Daily Garman-Klass 8.2.3. Rogers-Satchell Volatility Estimator 8.2.4. Yang-Zhang Volatility Estimator 8.3. Period 8.4. Portfolios 9. Basic Analysis of Relative Volatility 10. Relative Risk Allowing for Size, Age or Liquidity 10.1. Size 10.2. Industry 10.3. Age 10.4. Liquidity and Market Volatility 11. Portfolio Effects 55 12. Regression Analyses with Multiple Variables 12.1. Regression Model 12.2. Regression Results 13. Market-Switching Stocks 13.1. Switching Stocks 13.2. Relative Volatility Analysis for Market Switching Stocks 13.3. Switchers' Risk Relative to the Market 14. GARCH Analysis of Switchers 14.1. Introduction to GARCH 14.2. GARCH Results 15. Conclusions 16. References Appendix.
• Edition: 2015
• Publisher Details: Basingstoke : Palgrave Macmillan
• Publication Date: 2015
• Extent: 1 online resource, illustrations (black and white)
• Subjects: 332.64241; Stock exchanges -- England -- London
• Languages: English
• ISBNs: 9781137361318; 9781137361301
• Related ISBNs: 9781137361295
• Notes: Note: Description based on CIP data; item not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.