On Estimation of Corporate Expected Returns and Earnings at Risk

摘要：

This paper researches into estimation of corporate expected returns and earnings at risk(EaR). We propose a three-step statistical methodology for the expected returns and EaR estimation and make a case study of PetroChina Company Limited PetroChina). The estimating results show that this methodology is both efficient and effective even though the economic environment of 2008 is so dramatically changed.Therefore, it can be used as a powerful tool for measuring risk in enterprise risk management practice.

作者: Changquan Huang

作者单位: Department of Planning and Statistics School of Economics, Xiamen University 361005 Xiamen, P.R.China

会议类型: 国际会议

会议名称: The 2010 International Conference on Computer Application and System Modeling(2010计算机应用与系统建模国际会议 ICCASM 2010)

会议地点: 太原

会议语种:英文

页码: 291-295

在线出版日期: 2010-10-22（万方平台首次上网日期，不代表论文的发表时间）