Abstract
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.
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