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Testing for Changes in Relative Risk

Author

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  • H. Y. Izan

    (Department of Accounting and Finance, The University of Western Australia. I would like to thank Peter Dodd and an anonymous referee for their comments.)

Abstract

The paper demonstrates a technique for testing for the approximate “timing†of significant changes in relative risk. This technique is useful in cases where we are interested to see whether the timing of such a change is related to certain events in history. It is applied here to changes in relative risk of banking stocks when a mandatory audit requirement was introduced.

Suggested Citation

  • H. Y. Izan, 1985. "Testing for Changes in Relative Risk," Australian Journal of Management, Australian School of Business, vol. 10(1), pages 39-48, June.
    • Handle: RePEc:sae:ausman:v:10:y:1985:i:1:p:39-48
    DOI: 10.1177/031289628501000103
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    Citations

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    Cited by:

    1. Brooks, Robert D. & Faff, Robert W. & Yew, Kee Ho, 1997. "A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 197-219, February.
    2. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 249-274.

    More about this item

    Keywords

    RELATIVE RISK; MANDATORY AUDIT REGULATION;

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