I need to forecast the risk value of investing in stock market. How do I calculate it?
Generally by the standard deviation of returns - an excel spread sheet can do it easily for you. The caveat is very carefully markets tricky nasty beasts with a mind of their own.
https://www.researchgate.net/publication/285590240_Sensitivity_Analysis_of_Macroeconomic_Variables_and_Stock_Returns_A_Cross-Country_Comparison_between_Bangladesh_and_India?ev=prf_pub
Book Sensitivity Analysis of Macroeconomic Variables and Stock Re...
Sharpe ratio which is the risk-adjusted return. It is calculated as the mean return divided by standard deviation. This can be done using excel.
Hi,
You may be interested by this paper:
International tests of a five-factor asset pricing model
Journal of Financial Economics March 2017, volume 123, Pages 441-463
Eugene F. Fama, Kenneth R. French
Best regards
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