Risk of public family firms
Risk of public family firms

Summary/Abstract: This article tests the Value at Risk (VaR) model and its improvements to measure the risk approach of family firms and their nonfamily peers at the Warsaw Stock Exchange. The paper analyses the construction portfolio of firms listed at the Warsaw Stock Exchange between 2006 and 2012. This time period was used to compare the performance of these two portfolios in three sub-periods: during the crisis times as well as before and after the crisis. This article is based on historical and parametric Value of Risk to compare the performance of these two portfolios. In addition, it uses the Conditional Value at Risk to exhibit what happens beyond Value at Risk. This article finds that by using historical Value at Risk, family firms were on average less risky than their nonfamily peers before the latest crisis of 2008-2009. In the crisis, family firms bore more risk whereas after the crisis they were almost equally risky as nonfamily firms.

• Details
• Contents