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Showing 1 - 20 of 20 Journals sorted alphabetically
Construction Management and Economics     Hybrid Journal   (Followers: 24)
Engineering Economist, The     Hybrid Journal   (Followers: 4)
ICSID Review : Foreign Investment Law Journal     Hybrid Journal   (Followers: 15)
International Journal of Entrepreneurship and Small Business     Hybrid Journal   (Followers: 26)
International Journal of Portfolio Analysis and Management     Hybrid Journal   (Followers: 3)
International Journal of Social Entrepreneurship and Innovation     Hybrid Journal   (Followers: 18)
International Journal of Strategic Engineering Asset Management     Hybrid Journal   (Followers: 3)
Investment Analysts Journal     Hybrid Journal   (Followers: 1)
Investment Management and Financial Innovations     Open Access   (Followers: 1)
Journal of Credit Risk     Full-text available via subscription   (Followers: 1)
Journal of Finance and Investment Analysis     Open Access   (Followers: 4)
Journal of Investment Compliance     Hybrid Journal  
Journal of Money, Credit and Banking     Hybrid Journal   (Followers: 116)
Journal of Operational Risk     Full-text available via subscription   (Followers: 3)
Journal of Risk and Financial Management     Open Access   (Followers: 8)
Journal of Taxation of Investment     Full-text available via subscription   (Followers: 1)
Journal of the Economics of Ageing     Hybrid Journal   (Followers: 1)
Quaderni europei sul nuovo welfare     Free  
Technology and Investment     Open Access  
The Journal of Finance     Hybrid Journal   (Followers: 183)
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Journal of Risk and Financial Management
Number of Followers: 8  

  This is an Open Access Journal Open Access journal
ISSN (Print) 1911-8066 - ISSN (Online) 1911-8074
Published by MDPI Homepage  [84 journals]
  • JRFM, Vol. 15, Pages 188: Forecasting a Stock Trend Using Genetic
           Algorithm and Random Forest

    • Authors: Rebecca Abraham, Mahmoud El Samad, Amer M. Bakhach, Hani El-Chaarani, Ahmad Sardouk, Sam El Nemar, Dalia Jaber
      First page: 188
      Abstract: This paper addresses the problem of forecasting daily stock trends. The key consideration is to predict whether a given stock will close on uptrend tomorrow with reference to today’s closing price. We propose a forecasting model that comprises a features selection model, based on the Genetic Algorithm (GA), and Random Forest (RF) classifier. In our study, we consider four international stock indices that follow the concept of distributed lag analysis. We adopted a genetic algorithm approach to select a set of helpful features among these lags’ indices. Subsequently, we employed the Random Forest classifier, to unveil hidden relationships between stock indices and a particular stock’s trend. We tested our model by using it to predict the trends of 15 stocks. Experiments showed that our forecasting model had 80% accuracy, significantly outperforming the dummy forecast. The S&P 500 was the most useful stock index, whereas the CAC40 was the least useful in the prediction of daily stock trends. This study provides evidence of the usefulness of employing international stock indices to predict stock trends.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-19
      DOI: 10.3390/jrfm15050188
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 189: On the Asymptotic Behavior of the Optimal
           Exercise Price Near Expiry of an American Put Option under Stochastic

    • Authors: Wenting Chen, Song-Ping Zhu
      First page: 189
      Abstract: The behavior of the optimal exercise price of American puts near expiry has been well studied under the Black–Scholes model as a result of a series of publications. However, the behavior of the optimal exercise price under a stochastic volatility model, such as the Heston model, has not been reported at all. Adopting the method of matched asymptotic expansions, this paper addresses the asymptotic behavior of American put options on a dividend-paying underlying with stochastic volatility near expiry. Through our analyses, we are able to show that the option price will be quite different from that evaluated under the Black–Scholes model, while the leading-order term of the optimal exercise price remains almost the same as the constant volatility case if the spot volatility is given the same value as the constant volatility in the Black–Scholes model. Results from numerical experiments also suggest that our analytical formulae derived from the asymptotic analysis are quite reasonable approximations for options with remaining times to expiry in the order of days or weeks.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-19
      DOI: 10.3390/jrfm15050189
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 190: An Application of Portfolio Mean-Variance and
           Semi-Variance Optimization Techniques: A Case of Fiji

    • Authors: Ronald Ravinesh Kumar, Peter Josef Stauvermann, Aristeidis Samitas
      First page: 190
      Abstract: In this paper, we apply the Markowitz portfolio optimization technique based on mean-variance and semi-variance as measures of risk on stocks listed on the South Pacific Stock Exchange, Fiji. We document key market characteristics and consider monthly returns data from SEP-2019 to FEB-2022 (T = 30) of 17/19 listed companies on the stock exchange to construct various portfolios like 1/N (naïve), maximum return, and market and minimum-variance with and without short-selling constraints. Additionally, we compute each stock’s beta using the market capitalization-weighted stock price index data. We note that well-diversified portfolios (market portfolio and minimum-variance portfolio) with short-selling constraints have relatively higher expected returns with lower risk. Moreover, well-diversified portfolios perform better than the naïve and maximum portfolios in terms of risk. Moreover, we find that both the mean-variance and the semi-variance measures of risk yields a unique market portfolio in terms of expected returns, although the latter has a lower standard deviation and a higher Sharpe ratio. However, for the minimum-variance portfolios and market portfolios without short selling, we find relatively higher returns and risks using the mean-variance than the semi-variance approach. The low beta of individual stock indicates the low sensitivity of its price to the movement of the market index. The study is an initial attempt to provide potential investors with some practical strategies and tools in developing a diversified portfolio. Since not all the portfolios based on mean-variance and the semi-variance analyses are unique, additional methods of investment analysis and portfolio construction are recommended. Subsequently, for investment decisions, our analysis can be complemented with additional measures of risk and an in-depth financial statement/company performance analysis.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-19
      DOI: 10.3390/jrfm15050190
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 191: Distributed Renewable Energy Management: A Gap
           Analysis and Proposed Blockchain-Based Architecture

    • Authors: Annegret Henninger, Atefeh Mashatan
      First page: 191
      Abstract: The heterogeneous and decentralized nature of renewable energy sources is too much to handle for traditional and centralized IT grid infrastructure. Blockchain technology can address many of the associated challenges. This paper provides an overview of the state-of-the-art technology layers of grid system infrastructure, a proposed future state using blockchain technology, and gap analysis. The paper also contributes a set of architectural requirements for a blockchain-enabled future state and a proposed hybrid architecture using blockchain technology, verifiable credentials, and smart contracts. This architecture can uniquely support the technology layers critical to renewable energies, including system architecture, registries, grid management, billing, privacy, and interoperability.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-20
      DOI: 10.3390/jrfm15050191
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 192: The Profitability of Technical Analysis during
           the COVID-19 Market Meltdown

    • Authors: Camillo Lento, Nikola Gradojevic
      First page: 192
      Abstract: This article explores the profitability of technical trading rules around the COVID-19 pandemic market meltdown for the S&P 500 index, Bitcoin, Comex gold spot, crude oil WTI, and the VIX. Trading rule profits are estimated from January to May 2020, including three sub-periods, on a high-frequency data set. The results reveal that the trading rules can beat the buy-and-hold trading strategy. However, only the Bollinger Bands and trading range break-out rules become profitable after transaction costs during the market crash. Moreover, it is found that composite trading signals effectively improve the profitability of technical analysis around the COVID-19 market crash.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-20
      DOI: 10.3390/jrfm15050192
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 193: Machine Learning Applications to Land and
           Structure Valuation

    • Authors: Michael Mayer, Steven C. Bourassa, Martin Hoesli, Donato Scognamiglio
      First page: 193
      Abstract: In some applications of supervised machine learning, it is desirable to trade model complexity with greater interpretability for some covariates while letting other covariates remain a “black box”. An important example is hedonic property valuation modeling, where machine learning techniques typically improve predictive accuracy, but are too opaque for some practical applications that require greater interpretability. This problem can be resolved by certain structured additive regression (STAR) models, which are a rich class of regression models that include the generalized linear model (GLM) and the generalized additive model (GAM). Typically, STAR models are fitted by penalized least-squares approaches. We explain how one can benefit from the excellent predictive capabilities of two advanced machine learning techniques: deep learning and gradient boosting. Furthermore, we show how STAR models can be used for supervised dimension reduction and explain under what circumstances their covariate effects can be described in a transparent way. We apply the methodology to residential land and structure valuation, with very encouraging results regarding both interpretability and predictive performance.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-20
      DOI: 10.3390/jrfm15050193
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 194: Deposit Competition, Interbank Market, and Bank

    • Authors: Bo Jiang, Hector Tzavellas, Xiaoying Yang
      First page: 194
      Abstract: In this paper, we study how the interbank market could impact deposit competition and bank profits. We first document two stylized facts: the net interbank funding ratio is negatively correlated with net interest margin (NIM), as well as with the cost-to-income ratio (CIR). To rationalize these two facts, we embed the interbank market into a BLP model framework. The model is calibrated using Chinese listed banks’ data. A counterfactual experiment reveals that shutting down the interbank market will lead to a decline in NIM and bank profits. Our results indicate that the interbank market can facilitate specialization and reduce the intensity of deposit competition.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-20
      DOI: 10.3390/jrfm15050194
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 195: Causality between Financial Development and
           Foreign Direct Investment in Asian Developing Countries

    • Authors: Huy Tiet Pham, Christopher Gan, Baiding Hu
      First page: 195
      Abstract: This study investigated the linkages between foreign direct investment (FDI) and financial development measured by banks and stock markets in 30 Asian developing countries from 1986 to 2019. We used a bivariate model with Granger causality tests to test the reverse causality between FDI and financial development and multivariate models with the system generalized method of moments (GMM) estimator to identify how one factor affected the other. Our Granger test results showed a bidirectional linkage between FDI and financial development. Using the system GMM estimator, we showed that greater financial development drew more inward FDI to host countries. Similarly, local financial markets benefited from FDI by improving capital mobilization and financial services and products to intensify economic activity. Our findings suggest that, to attract FDI, policymakers should improve local banks and the stock market environment with strong institutional backgrounds to enhance foreign investors’ confidence and provide incentives to increase cross-border investments in host economies.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-20
      DOI: 10.3390/jrfm15050195
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 196: A Comparative Analysis of the Economic
           Sustainability of Cultural Work in the UK since the COVID-19 Pandemic and
           Examination of Universal Basic Income as a Solution for Cultural Workers

    • Authors: Cécile Doustaly, Vishalakshi Roy
      First page: 196
      Abstract: The COVID-19 pandemic and related lockdowns across the world have greatly affected an already vulnerable cultural economy and the structural precarity of many cultural workers. After documenting the impacts of the pandemic in the cultural sector and the effectiveness of governmental responses in the UK and in Europe, the article focuses on the visual arts and explores calls for reforms of the cultural economy. While the UK government’s recovery plan went against the country’s cultural policy tradition due to the plan’s interventionist and financially generous nature, it disproportionally benefitted organisations rather than individuals working in the sector, especially in England. The study, conducted on visual arts workers in the UK, shows that many were unable to access these financial recovery schemes and fell through the cracks of the complex criteria set for these funds. This article informs the current debate on measures that are potentially more economically sustainable and wellbeing protective than those currently in place for cultural workers, such as Universal Basic Income. Its applicability is explored with reference to the historic French and recent Irish examples.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-21
      DOI: 10.3390/jrfm15050196
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 197: Credit Risk, Regulatory Costs and Lending
           Discrimination in Efficient Residential Mortgage Markets

    • Authors: David Nickerson
      First page: 197
      Abstract: Significant differences in loan terms between demographically distinct groups of borrowers in the United States are often interpreted as evidence of systematic ethnic, racial or gender discrimination by lenders. The appearance and interpretation of such discrimination has long been a controversial issue in public policy and has significant implications for both the economic efficiency and equity of credit markets. Arising from concern for borrowers disadvantaged by such discrimination, the design and implementation of regulations preventing the disparate treatment of demographically distinct groups by lenders are generally considered to have enhanced the equality of access to credit. Unfortunately, existing research has not examined whether this gain in social equity comes at a cost in efficiency borne by all market participants. The reliance on adverse selection or moral hazard in current models of limited lending and credit rationing poses difficulties in empirical testing for the presence and magnitude of such costs. This paper offers a novel theoretical framework in which lending discrimination can endogenously arise in the presence of value-maximizing lenders competing in an economy with complete markets, common knowledge and arbitrage-free pricing. By avoiding the reliance of current models on the exogenous presence of adverse selection or moral hazard, this framework allows potential efficiency costs to beexamined in a market environment without an ex ante assumption of informational market failure. Owing to the presence of common knowledge among participants, we first show how equilibrium loan terms to borrowers in different demographic classes can diverge in such an efficient environment. We then apply the properties exhibited in market equilibria to measure the potential costs of misallocating credit risk owing to the type of regulations observed in actual credit markets.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-21
      DOI: 10.3390/jrfm15050197
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 198: The Performance and Diversification Potential of
           Non-Listed Value-Add Real Estate Funds in Japan

    • Authors: Martin Hoesli, Graeme Newell, Muhammad Jufri Bin Marzuki, Rose Neng Lai
      First page: 198
      Abstract: In the aftermath of the COVID-19 pandemic, non-core investments are gaining traction amongst institutional investors due to the shifting preference towards investment vehicles that position higher on the risk–return curve. Non-listed value-add real estate funds in Japan are one such vehicle. This research develops a comprehensive bespoke benchmark total return index using the ANREV database to reflect the performance of Japan-focussed non-listed value-add real estate funds. We compare the performance of such funds with that of other asset classes and perform portfolio and regression analyses. We conclude that there are several advantages to investing in those funds, including: (1) strong absolute total return performance, (2) competitive risk-adjusted performance, and (3) significant portfolio diversification potential in a mixed-asset portfolio context. The strategic implications for real estate investors are also assessed.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-22
      DOI: 10.3390/jrfm15050198
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 199: An Assessment of the Association between
           Political Orientation and Financial Risk Tolerance

    • Authors: John Grable, Dee Warmath, Eun Jin Kwak
      First page: 199
      Abstract: The purpose of this paper is to present findings from research that was undertaken to answer the following questions. First, to what extent is political orientation associated with financial risk tolerance, and second, to what degree is political orientation predictive of changes in risk tolerance across periods' Using panel collected before and after the 2020 U.S. presidential election, it was determined that the strength of affiliation with the Republican and Democratic Parties was descriptive of cross-sectional financial risk tolerance. Republicans were found to exhibit greater risk tolerance compared with Democrats. Across periods, the risk tolerance of Republicans was less stable, whereas the financial risk tolerance of Democrats was more stable. A significant decrease in risk tolerance was observed for those affiliating as a Republican pre-election to post-election. When political orientation was measured on a scale, the decrease in risk tolerance across periods for Republicans was significant. The risk tolerance of those affiliating as a Democrat increased across the periods but at a lower rate than in the drop in scores among Republicans. When viewed across the variables of interest in this study, political orientation was found to be an important descriptor of FRT.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-24
      DOI: 10.3390/jrfm15050199
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 200: Simulation-Based Business Valuation: Methodical
           Implementation in the Valuation Practice

    • Authors: Dietmar Ernst
      First page: 200
      Abstract: The simulation-based company valuation values a company on the basis of the risks actually present in the company without having to derive them from the capital market data. The simulation-based company valuation takes into account the market imperfections, such as the probability of insolvency or the lack of diversification, and fulfils the legal requirements and auditing standards for a company valuation. The simulation-based company valuation is an alternative to the CAPM-based company valuation, which, under the assumption of perfect capital markets, derives the risks through capital market comparisons. A simulation-based business valuation has many advantages and is particularly suitable for valuing medium-sized companies, start-ups, companies in a crisis, and for integrating country-specific risks into business valuations. Due to the internationally widespread use of the CAPM, a simulation-based company valuation is still rarely used in practice. This article shows which valuation formulas are necessary for the application of a simulation-based company valuation. These are used for both the certainty equivalent method and for the risk premium method. In a concrete and valuation example, the simulation-based business planning and company valuation is carried out, and the derived valuation formulas are applied in a way that allows a transfer to concrete valuation cases in practice. It is shown that the certainty equivalent method and the risk premium method lead to identical company values.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-26
      DOI: 10.3390/jrfm15050200
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 201: The Impact of Migration on Vietnam Household
           Living Standards

    • Authors: Ngoc Hung Pham, Manh Dung Tran, Anh Duc Le, Thuy Linh Le
      First page: 201
      Abstract: This study is conducted to investigate the impact of migration on living standards of households with migrants in the context of Vietnam. Data were collected from the results of Vietnam Household Living Standards in the time series. Blinder–Oaxaca decomposition was employed to decompose the source of differences in income between households with migrants and households without migrants. The results show that households with migrants in the multiyear dataset had a higher income than nonmigrant households, and migration had different impacts on expenditure at different quantiles. By conducting quantile regression, migration had positive impacts on expenditures at the 10% and 50% quantile, but no impact at the 90% quantile. Based on the findings, some implications in policies for managers, such as appropriate policies for poor workers in order to improve their living standards, especially poor households in rural or mountainous areas, are proposed.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-26
      DOI: 10.3390/jrfm15050201
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 202: Risk Management of Startups of Innovative

    • Authors: Taliat Bielialov
      First page: 202
      Abstract: The activation of the startup movement is one of the fundamental preconditions for the transition from innovation to a startup ecosystem, the development of which is impossible without special innovation structures that help startups promote innovative products on the market. The purpose of this article is to modernize the process of promoting innovative products on the market in the form of startups, taking into account the trends of the innovative development of the modern economy. The following methods are used in the article: situational and design approaches; methods of simulation and structural−functional modeling—to determine the potential market demand for innovative products and plan the process of their promotion to the market; and BPMN notation—to formalize the integration links between actors in the process of promoting innovative products on the market. As a result, a scheme for assessing the economic efficiency of innovative product market promotion process management was developed that sorts out several indicators at each stage of the innovation process, which allows one to increase the clarity and completeness of the promotion process management while reducing costs. The system of risk management of innovative products has been studied using the example of the promotion of the innovative startup Hideez Technology Ltd on the market in Europe and the USA. This has allowed the company to benefit economically from implementing the results, reaching USD 20,000. In conclusion, the sequence of actions for making management decisions during the implementation of the strategy for innovative product promotion process management was defined.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-27
      DOI: 10.3390/jrfm15050202
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 203: The Impact of Corporate Governance and Political
           Connectedness on the Financial Performance of Lebanese Banks during the
           Financial Crisis of 2019–2021

    • Authors: Hani El-Chaarani, Rebecca Abraham
      First page: 203
      Abstract: The Lebanese banking sector has become risky due to political and economic crises. At such times, corporate governance mechanisms ensure objectivity of assessment and rationality in decision making. We examine the impact of internal corporate governance mechanisms on the performance of Lebanese banks, with political involvement in the administration and ownership of the banks. We used linear regression on a sample of 194 bank-year observations from 2016 to 2021. The presence of independent members on boards of directors, and ownership concentration due to family ownership, had positive effects on bank return on assets, return on equity, liquidity levels, and loans issued. Efficient control, along with the presence of audit, and compliance committees reduced risk by increasing capital adequacy and reducing non-performing loans. Both administrative political connections and ownership political connections increased return on assets, increased return on equity, increased liquidity levels, and increased loans to deposits, while increasing non-performing loans. Agency conflicts suggest that granting loans due to political pressure increased non-performing loans.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-28
      DOI: 10.3390/jrfm15050203
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 204: Stock Market Synchronization: The Role of
           Geopolitical Risk

    • Authors: Kazi Sohag, Rogneda Vasilyeva, Alina Urazbaeva, Valentin Voytenkov
      First page: 204
      Abstract: Given the importance of stock market synchronization for international portfolio diversification, we estimate the degrees of co-movements among US, Chinese and Russian markets. By applying the TVP-VAR approach, we measure total and bivariate synchronization indices utilizing daily data from 1998 to 2021. Our analysis demonstrates that the total connectedness index (TCI) is 26.15% among the three markets. We find that the US market is the highest volatility contributor, whereas the Russian market is the highest receiver. Since stock market synchronization is exposed to geopolitical risk, at the second stage, we apply the Quantile-on-Quantile framework to measure the response of total and bilateral connectedness indices to geopolitical risk (GPR). The findings affirm our proposition that GPR impedes TCI when it has a bullish state and a higher quantile of GPR. The response of bilateral connectedness is negative towards GPR concerning US–China and US–Russian pairs. However, the degree of connectedness between Russian and Chinese stock markets is less responsive to GPR.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-28
      DOI: 10.3390/jrfm15050204
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 205: Were Culture and Heritage Important for the
           Resilience of Tourism in the COVID-19 Pandemic'

    • Authors: Krešimir Jurlin
      First page: 205
      Abstract: The unprecedented impact of the COVID-19 on the world tourism is clear and obvious. Still, modelling the impact on individual countries faces many problems from data availability to the multitude of underlying variables rather difficult to capture. This study used simple and multiple regression to research possible effects of the recent pandemic to the fall in the volume of tourism in 20 European countries, throughout the 20-month period. The results of this study were rather surprising showing that the relative fall in tourism cannot be explained only by incidence of COVID-19 by countries, while in multiple regression by adding the variables of distance of travel and composition of tourism by facilities coefficients of determination were very low. Adding variables of natural and cultural heritage as well as of cultural activities somewhat improved the baseline model with the best fitting variable of culture visits adding 11.8 percentage points to the explanatory power of the model, while culture employment and culture consumption added a possibly important 5.6 and 2.6 points, respectively. Although these findings are in line with recent literature of resilience and changes in tourism due to pandemic, a more thorough research is needed to further investigate these relations.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-29
      DOI: 10.3390/jrfm15050205
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 206: What’s Different about Bank Holding

    • Authors: Ralph Chami, Thomas F. Cosimano, Jun Ma, Celine Rochon
      First page: 206
      Abstract: We develop a dynamic model of a BHC that encompasses both a trading desk and a loan desk, and explore the role of risk attitude and overleveraging by the trading desk. We trace the impact of monetary policy and market innovations on bank behavior in the presence of Basel III type regulations. We show that the value of the BHC is enhanced by operating both desks. We explore alternative regulatory remedies to ongoing efforts to ring-fence the proprietary trading business, and show that regulations that target bank governance can mitigate possible rogue trading and the overleveraging problem.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-29
      DOI: 10.3390/jrfm15050206
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 207: Vague Pension Future: Empirical Evidence from
           the Israeli Radical Privatized Market

    • Authors: Ishay Wolf, Smadar Levi
      First page: 207
      Abstract: We examine the future benefits of the Israeli privatized pension system, which is considered as a model of transition to funded pension systems worldwide. This research is based on an extensive database obtained from one of the largest traditional private funds in the market. The results paint a concerning picture regarding the adequacy of benefits and quality of life in old age. Israel’s radical privatized pension model signals a warning to other nations. We show that, even with high returns, most individuals cannot handle the magnitude of financial and labor risks accumulated during their career and retirement. We recommend more balanced government intervention as well as the use of risk-sharing mechanisms such as providing minimum pension guarantee and strengthening the unfunded social security pillar.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-30
      DOI: 10.3390/jrfm15050207
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 208: An Investigation of the Link between Major
           Shareholders’ Behavior and Corporate Governance Performance before
           and after the COVID-19 Pandemic: A Case Study of the Companies Listed on
           the Iranian Stock Market

    • Authors: Rezvan Pourmansouri, Amir Mehdiabadi, Vahid Shahabi, Cristi Spulbar, Ramona Birau
      First page: 208
      Abstract: One of the basic functions of establishing corporate governance (CG) in companies is improving performance and increasing value for shareholders. Expanding the company’s value will ultimately increase the shareholders’ wealth. Therefore, it is natural for shareholders to seek to improve their performance and increase the company’s value. If CG mechanisms cannot perform this function in companies, they do not have the necessary efficiency and effectiveness and, therefore, cannot improve the efficiency of companies. This article investigatedthe connection between the power of major shareholders and the modality of CG of companies listed on the Iranian capital market before and after the COVID-19 pandemic. The statistical sample of the research included120 companies listed on the Tehran Stock Exchange for the selected period from 2011 to 2021. The results showed that the concentration of ownership is harmful to adopting corporate governance (GCG) practices. In particular, the high level of voter ownership concentration weakens the corporate governance system (CGS). The results of this study, which was conducted using panel analysis, revealed that the concentration of ownership impairsthe quality of CGS, and major shareholders cannot challenge the power of the main shareholder; it alsonegatively affected the quality of businessboards, both during and before the COVID-19 pandemic. The competitiveness and voting rights of the major shareholders negatively affectedthe quality of board composition before and after the COVID-19 pandemic. The concentration of voter ownership also negatively affected the quality of CGS, both during and before COVID-19, and the competitiveness and voting rights of major shareholders before COVID-19. This concentration positively affected the quality of CGS after the COVID-19 pandemic.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-30
      DOI: 10.3390/jrfm15050208
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 209: How the Closure of a U.S. Tax Loophole May
           Affect Investor Portfolios

    • Authors: Christoph Frei, Liam Welsh
      First page: 209
      Abstract: In the United States, exchange-traded funds can defer capital gains taxes of their investors by taking advantage of a legal loophole. To quantify the impact of this tax loophole on investor portfolios, we study a rank-dependent expected utility model. We develop an approximation formula for the sensitivity of the optimal investment strategy with respect to changes in the expected asset returns. By applying this approximation formula, we are able to quantitatively estimate how much investor portfolios may change depending on the investment horizon if the tax loophole is closed.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-05-04
      DOI: 10.3390/jrfm15050209
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 210: Introduction to the Special Issue
           ‘Transnational and Transdisciplinary Lessons of COVID-19 from the
           Perspective of Risk and Management’

    • Authors: Alistair Cole, Julien S. Baker, Emilie Tran, Yang Gao
      First page: 210
      Abstract: Rarely has scientific research been as solicited as in the past two years, as societies struggle to cope with the coronavirus [...]
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-05-05
      DOI: 10.3390/jrfm15050210
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 211: Climate Insurance for Agriculture in Europe: On
           the Merits of Smart Contracts and Distributed Ledger Technologies

    • Authors: Reimund Schwarze, Oleksandr Sushchenko
      First page: 211
      Abstract: Climate insurance has become a crucial issue due to the increasing number of climate-related catastrophic events and the associated losses for the economy in general and insurance companies in particular. The extremely hot and dry summers of 2018 and 2019 in some European countries highlighted existing weaknesses in European agricultural insurance mechanisms, with farmers having to wait for months before compensation payments could be made. Our paper compares features of yield-based insurance and index-based insurance (IBI) in agriculture in the light of new developments and trends in information technology (IT). The results show that applying Distributed Ledger Technologies (DLT) in combination with IBI could not only resolve existing problems but also facilitate the development of innovative risk management tools under the EU’s Common Agricultural Policy (CAP) post-2020 reform.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-05-05
      DOI: 10.3390/jrfm15050211
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 212: Modelling Seasonal Short-Run Effects in
           Time-Series Tourism Prices

    • Authors: Sergej Gricar, Stefan Bojnec
      First page: 212
      Abstract: The paper’s primary purpose is to better monitor shocks; therefore, reliable scientific methods should be used to predict, monitor, and implement those events. In this paper, tourism prices are studied as an economic, I(2) and social phenomenon for better performance. The selection of inadequacies in price time series is analysed. The state-of-the-art proposed methodology step of nominal to real prices is based on monthly data using the cointegrated-vector-autoregressive model (CVAR). This is the key feature selection on time-series properties in the economy and supported software(s). An attempt at a CVAR model with five seasonally unadjusted macroeconomic variables is developed. It introduces a meaningful, genuine and indispensable new data vector of transformed variables, and this stepwise process is more appropriate against the wrong model specification. The results for the period of economic crises show that the proposed model is reliable from nominal to real prices, and the researchers implement normality to price modelling in its econometric mock-up phase. Overall, the proposed model predicts testable events for up to 48-months.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-05-06
      DOI: 10.3390/jrfm15050212
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 213: Attributes of Business Incubators: A Conjoint
           Analysis of Venture Capitalist’s Decision Making

    • Authors: Michele Manconi, Salvatore Bellomo, Anna Nosella, Lara Agostini
      First page: 213
      Abstract: Startups contribute significantly to the economic development of a country. Despite their importance and promising future, they are extremely fragile, mainly for their lack of tangible and intangible resources. Since this can be obtained through an incubation process, business incubators (BIs) could have a significant impact on the survival rate of startups. Once defined their core structure and value proposition, there are other players, such as venture capitalists who could guarantee the funds necessary to make the startup’s business grow over time. Drawing on the resource-based view theory, this research explores whether some BIs could represent a certification of startup quality for venture capitalists (VCs). Specifically, we investigate whether some specific attributes of BIs increase the probability that a VC funds startups after being incubated; to this purpose, we carry out an experiment on a European sample of VCs. Results demonstrate that some characteristics of the BI can produce a sort of certification effect to the incubated startups, increasing the probability of being funded by VCs.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-05-06
      DOI: 10.3390/jrfm15050213
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 214: An Investigation of the Beta Anomaly in Emerging
           Markets: A South African Case

    • Authors: Mabekebeke Segojane, Godfrey Ndlovu
      First page: 214
      Abstract: High-risk stocks tend to provide lower returns than low-risk stocks on a risk-adjusted basis. These results (referred to as the low-beta anomaly) run counter to theoretical expectations. This paper examines the beta anomaly in one of the largest emerging markets in Africa, the Johannesburg Stock Exchange (JSE). It employs both time-series and cross-sectional econometric techniques to analyze the risk–return relationship implied by the CAPM, using data that span over 5 years and 220 companies. To check for robustness, the analysis period was extended to 10 years, and we also applied the Fama–French three-factor model. The findings suggest the existence of the beta anomaly and a negatively sloped SML, indicating that beta is not the only determinant of risk in the South African stock market. We also found positive beta–idiosyncratic volatility (IVOL) correlations. However, after controlling for IVOL and the adverse effects of COVID-19 for an extended study period, the beta anomaly disappeared.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-05-08
      DOI: 10.3390/jrfm15050214
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 215: Non-Fungible Token: A Systematic Review and
           Research Agenda

    • Authors: Hong Bao, David Roubaud
      First page: 215
      Abstract: The popularity of the Non-Fungible Token (NFT) has risen rapidly since 2020, becoming one of the most popular applications in the Fintech field. However, there has so far been no attempt to perform a systematic review in this new area. Considering the items of the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA), this paper conducts a systematic review of the research work on NFT, published in journals indexed at the Web of Science and ScienceDirect until April 2022. The results reveal that there are 13 published articles in the targeted journals and they are mainly focused on the asset pricing area. The research gaps identified in the literature also can be the opportunity for future study. Thus, we lay down the research agenda for the future in several important but unanswered fields related to asset pricing, tokenomics, and risk and regulation.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-05-08
      DOI: 10.3390/jrfm15050215
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 216: Does Ownership Structure Moderate the
           Relationship between Systemic Risk and Corporate Governance' Evidence
           from Gulf Cooperation Council Countries

    • Authors: Ilyes Abidi, Mariem Nsaibi, Khaled Hussainey
      First page: 216
      Abstract: The objective of this paper is to empirically examine the moderating effect of ownership structure on the relationship between systemic risk and corporate governance. It complements prior research by studying the relationship between the proportion of capital held by state institutions and systemic risk. It also examines the internal governance mechanisms that mitigate systemic risk. For this purpose, this research used a dataset consisting of 22 banks from Gulf Cooperation Council (GCC) countries (10 Islamic banks and 12 conventional banks) over the period 2004–2018. We used a three-stage least squares (3SLS) regression to test our research hypotheses. The findings revealed that the structure of the board of directors (BOD) reduced systemic risk in the banking sector. In particular, we provide evidence that board composition and board meetings negatively affect systematic risk. In addition, we provide empirical evidence that the state plays a key role in moderating the relationship between governance mechanisms and systemic risk. As such, our paper provides significant contributions to the governance and corporate finance literature.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-05-12
      DOI: 10.3390/jrfm15050216
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 217: Nudges and Networks: How to Use Behavioural
           Economics to Improve the Life Cycle Savings-Consumption Balance

    • Authors: David Blake
      First page: 217
      Abstract: Many people find it difficult to start and maintain a retirement savings plan. We show how nudges can be used both to encourage people to save enough to provide an acceptable standard of living in retirement and to draw down their accumulated pension fund to maximize retirement spending, without the risk of either running out of money or leaving unintended bequests. Networks can help too, particularly employer-based networks. However, the nudges and networks are more likely to be effective if they have legislative backing and support.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-05-13
      DOI: 10.3390/jrfm15050217
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 218: Theories of Crowdfunding and Token Issues: A

    • Authors: Anton Miglo
      First page: 218
      Abstract: Entrepreneurial, innovative and small- and medium-sized firms experience difficulties with raising funds using traditional debt and equity. Consequently, they are constantly looking for new strategies of financing. The latest inventions are crowdfunding and token issues. In contrast to traditional ways of raising funds these innovations: (1) use modern technology (online transactions, blockchain, etc.) much more actively; (2) are usually quicker in reaching potential investors/funders; (3) use more active network benefits such as, for example, a large number of interactions between investors/funders and between funders and firms. These changes are so significant that some experts list them among the top business inventions of the 21st century. This article provides a review of the growing number of theoretical papers in the areas of crowdfunding and token issues, compares their findings with empirical evidence and discusses directions for future research. The research shows that a large gap exists between the theoretical literature and empirical literature.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-05-13
      DOI: 10.3390/jrfm15050218
      Issue No: Vol. 15, No. 5 (2022)
  • JRFM, Vol. 15, Pages 146: Monetary Policy Shocks in Open Economies and the
           Inflation Unemployment Trade-Off: The Case of the Euro Area

    • Authors: Antonio Ribba
      First page: 146
      Abstract: In this paper, we show that in order to obtain a sound identification of Euro Area monetary policy shocks, one needs to deal with the interaction of the European Central Bank and the US Federal Reserve. In other words, a proper identification of monetary policy shocks for an open economy like the Euro Area requires consideration of the US policy rate. Indeed, when we exclude the Federal Funds Rate from an estimated VAR model including a set of Euro Area variables, i.e., Eonia, inflation and unemployment, we detect a wrong sign in the response of inflation to contractionary monetary policy shocks. Moreover, even adding the world price of oil does not help to overcome the problem. Instead, for a sample covering the period 1999–2019, when the Federal Funds Rate and the Euro–Dollar exchange rate are added to the VAR model inflation shows statistically non-significant effects for two years and thereafter decreases. Under this specification of the model, a clear and significant unemployment inflation trade-off emerges. These conclusions are confirmed by using industrial production instead of the unemployment rate in the VAR model.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-23
      DOI: 10.3390/jrfm15040146
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 147: A Singular Stochastic Control Approach for
           Optimal Pairs Trading with Proportional Transaction Costs

    • Authors: Haipeng Xing
      First page: 147
      Abstract: Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction costs. To find optimal strategies that determine optimally both trade times and number of shares in a pairs trading process, we use a singular stochastic control approach to study an optimal pairs trading problem with proportional transaction costs. Assuming a cointegrated relationship for a pair of stock log-prices, we consider a portfolio optimization problem that involves dynamic trading strategies with proportional transaction costs. We show that the value function of the control problem is the unique viscosity solution of a nonlinear quasi-variational inequality, which is equivalent to a free boundary problem for the singular stochastic control value function. We then develop a discrete time dynamic programming algorithm to compute the transaction regions, and show the convergence of the discretization scheme. We illustrate our approach with numerical examples and discuss the impact of different parameters on transaction regions. We study the out-of-sample performance in an empirical study that consists of six pairs of U.S. stocks selected from different industry sectors, and demonstrate the efficiency of the optimal strategy.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-23
      DOI: 10.3390/jrfm15040147
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 148: Shareholder Activism and Its Impact on
           Profitability, Return, and Valuation of the Firms in India

    • Authors: Sudam Shingade, Shailesh Rastogi, Venkata Mrudula Bhimavarapu, Abhijit Chirputkar
      First page: 148
      Abstract: The paper’s prime objective is to understand the impact of Shareholder activism on firm performance. This study is conducted in a unique setup where traditional activist investors such as pension funds and hedge funds are not present. However, the activism cases are increasing yearly in an emerging economy like India. We have created a comprehensive shareholder activism index (sha index) using multiple activisms and corporate governance factors. To measure firm performance, we have used valuation (Tobin’s Q and Market capitalization), profitability (operating profit margin and net profit margin), and return ratios (Return on capital and return on equity). Panel data analysis (PDA) is employed for the current study as it overcomes the shortcomings of the time series analysis and cross-sectional studies. The sample comprises 37 listed firms’ data for FY2017 to FY2020. Chosen firms have experienced activism instances at least once during the 2017–2020 period. As per our analysis, shareholder activism has a significant negative impact on valuation measured in market capitalization and profitability estimated by operating profit margin. Activism primarily impacts the other four parameters negatively, but it is insignificant. India is in the nascent stage of activism, partly explaining the insignificance of the effects of shareholder activism on firm performance. Also, activist investors are targeting companies. These attacks are not fructifying desired outcomes as promoters own over 50% stake in the listed companies. The latest data for FY2021 has not been considered for the study as covid-19 impacted the businesses during the financial year. Also, we cannot capture activism instances that are not reported in regulatory filings. Unlike past research in this area, we have used a comprehensive activism index as a proxy of activism and have employed PDA instead of event studies to assess the impact on firm performance. Also, this is the first such empirical study conducted in an emerging economy setup where neither large hedge nor pension funds are present.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-23
      DOI: 10.3390/jrfm15040148
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 149: Non-Parametric Statistic for Testing Cumulative
           Abnormal Stock Returns

    • Authors: Seppo Pynnonen
      First page: 149
      Abstract: Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes modifications to the existing approaches to improve robustness to cross-sectional correlation of returns arising from calendar time overlapping event windows. Simulations show that the proposed rank test is well specified in testing CARs and is robust towards both complete and partial overlapping event windows.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-23
      DOI: 10.3390/jrfm15040149
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 150: The Effect of Index Option Trading on Stock
           Market Volatility in China: An Empirical Investigation

    • Authors: Kai Wu, Yi Liu, Weiyang Feng
      First page: 150
      Abstract: In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a panel data evaluation approach. Based on the cross-sectional dependence among international stock indices and macroeconomic indicators, we estimate the counterfactual volatility of the SSE 50 index and find that the introduction of index options reduces stock market volatility significantly in the long term. The primary findings are robust to alternative econometric models, including principal component analysis, GARCH-family model, and LASSO regression. The results of this paper suggest that the introduction of SSE index options provides investors with risk management tools and improves price discovery in the stock market.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-24
      DOI: 10.3390/jrfm15040150
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 151: Predicting Inflation—A Holistic

    • Authors: Kujtim Avdiu, Stephan Unger
      First page: 151
      Abstract: The quantity equation is a well-established, theoretic, long-run concept that has been criticized for a variety of reasons, i.e., that no precise statements about causality or dynamics between money growth and inflation can be inferred from its components. These shortcomings can be tackled by estimating inflation based upon a holistic approach and the performance of a ceteris paribus analysis for various levels of quantity and velocity of money, as well as GDP. By testing the validity of the quantity equation, it is possible to evaluate possible effects of elevated budget deficits, unprecedented expansions of the monetary base caused by global lockdowns, and a crash in global productivity, on inflation. The main findings of this paper suggest that the level of productivity is the main driver of inflation. The quantity and velocity of money only play a subordinate role in the determination of the inflation level. If inflation is holistically seen as a function of the quantity and velocity of money, as well as general economic productivity, the level of inflation can be very well explained by comparing the supply side with general economic productivity.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-28
      DOI: 10.3390/jrfm15040151
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 152: The Effects of Carbon Emissions and Agency Costs
           on Firm Performance

    • Authors: Muhammad Nurul Houqe, Solomon Opare, Muhammad Kaleem Zahir-ul-Hassan, Kamran Ahmed
      First page: 152
      Abstract: Carbon emissions and agency costs can have an impact on firms’ financial performance. However, limited attention has been paid to the combined and gradual effects of these two factors on firms’ performance. We explore the separate and combined effects of carbon emissions and agency costs on firms’ financial performance by utilizing data from 2323 US firms that disclosed their environmental information to CDP from 2007 to 2016. The results indicate that firms with higher carbon emissions experience lower performance as the market reacts negatively. Further, firms with both higher carbon emissions and higher agency costs have lower performance. We also investigated year-on-year change in firm performance and found that, keeping agency costs constant, a change in carbon emissions leads to lower performance. Overall, the findings suggest that when the market responds negatively to firms’ environmental decisions, high agency costs exacerbate the adverse effect of high carbon emissions on firm performance.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-28
      DOI: 10.3390/jrfm15040152
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 153: The Impact of ESG Ratings on the Systemic Risk
           of European Blue-Chip Firms

    • Authors: Mustafa Hakan Eratalay, Ariana Paola Cortés Ángel
      First page: 153
      Abstract: There are diverging results in the literature on whether engaging in ESG related activities increases or decreases the financial and systemic risks of firms. In this study, we explore whether maintaining higher ESG ratings reduces the systemic risks of firms in a stock market context. For this purpose we analyse the systemic risk indicators of the constituent stocks of S&P Europe 350 for the period of January 2016–September 2020, which also partly covers the COVID-19 period. We apply a VAR-MGARCH model to extract the volatilities and correlations of the return shocks of these stocks. Then, we obtain the systemic risk indicators by applying a principle components approach to the estimated volatilities and correlations. Our focus is on the impact of ESG ratings on systemic risk indicators, while we consider network centralities, volatilities and financial performance ratios as control variables. We use fixed effects and OLS methods for our regressions. Our results indicate that (1) the volatility of a stock’s returns and its centrality measures in the stock network are the main sources contributing to the systemic risk measure, (2) firms with higher ESG ratings face up to 7.3% less systemic risk contribution and exposure compared to firms with lower ESG ratings and (3) COVID-19 augmented the partial effects of volatility, centrality measures and some financial performance ratios. When considering only the COVID-19 period, we find that social and governance factors have statistically significant impacts on systemic risk.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-28
      DOI: 10.3390/jrfm15040153
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 154: The MAX Effect in an Oil Exporting Country: The
           Case of Norway

    • Authors: Muhammad Kashif, Thomas Leirvik
      First page: 154
      Abstract: This paper assesses the effects of investors’ lottery-seeking behavior on expected returns in the Norwegian equity market, a relatively small equity market dominated by the energy industry. We use the MAX factor defined as maximum daily return over the previous month as the proxy of investors’ preference for lottery-like stocks. Despite evidence from recent literature that MAX has a negative relationship with the expected returns in other developed European markets, we find that the relationship is generally insignificant in Norway; however, it becomes more nuanced when we control for the state of the oil market. The dominance of firms related to the oil industry, which have experienced tremendous growth over the last couple of decades, masks the effect to a large extent. Conditional regressions show that the MAX effect is only significant in the Norwegian stock market when the oil market is in the bearish state.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-29
      DOI: 10.3390/jrfm15040154
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 155: Multifactor Market Indexes

    • Authors: Wei Liu, James W. Kolari
      First page: 155
      Abstract: This paper combines the CRSP market index with multiple factors to create a single multifactor market index. Empirical tests of different multifactor market indexes indicate that: (1) Sharpe ratios substantially increase and GRS test statistics decrease as multifactors are incrementally added to the CRSP index; and (2) the resultant multifactor market indexes are significantly priced in cross-sectional tests of associated beta loadings with t-values exceeding 3.0 in most cases.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-30
      DOI: 10.3390/jrfm15040155
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 156: COVID-19—A Black Swan for Foreign Direct
           Investment: Evidence from European Countries

    • Authors: Eglantina Hysa, Erinda Imeraj, Nerajda Feruni, Mirela Panait, Valentina Vasile
      First page: 156
      Abstract: This study aims to reconsider the role of foreign direct investment determinants for European national development and to analyze the impacts of the pandemic situation caused by COVID-19. Foreign direct investment is a source of development; therefore, this study includes empirical applications, specifically the random effect model, for EU countries, during the pandemic period. This study provides some valuable conclusions regarding the changes caused by the main determinants of foreign direct investment, such as unemployment, interest rates, economic growth, inflation, and business confidence. Additionally, the proxies of COVID-19 are the number of cases and number of deaths, both appearing to positively contribute to FDI outflow, the former with a higher impact than the latter. Based on the availability of the data, this paper deals with 22 European Union countries for Q1, Q2, and Q3 of 2020. Data for all the chosen variables were not available for the fourth quarter (Q4); thus, this period was not considered, which constitutes a limitation of this study, but confirms the need for robust FDI inflows to support the sustainable post-pandemic development recovery of less-developed EU countries. As the need for external funding sources, i.e., FDI inflow, grows in times of crisis, governments should take suitable measures to uplift the confidence of socially responsible foreign investors during difficult times generated by black swan events. There is almost no detailed research regarding the impact of COVID-19 on FDI flows received by European Union countries.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-30
      DOI: 10.3390/jrfm15040156
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 157: Antecedents of Behavioural Intention to Adopt
           Internet Banking Using Structural Equation Modelling

    • Authors: Shivani Inder, Kiran Sood, Simon Grima
      First page: 157
      Abstract: Technology is emerging as an as an important banking mode for customers, and although almost all the banks in India are offering Internet Banking, India faces problems related to the digital divide, e-frauds, and high rates of interest, amongst other things. This is causing concern in banks, which are trying to persuade people to adopt their online banking services. Therefore, the aim with this study is to determine the antecedents of behavioural intentions to adopt e-banking in an emerging economy such as India. We did this by administering a questionnaire with 34 questions and nine constructs to which participants responded using a Likert scale of 1 to 5, 1 being strongly disagree and 5 strongly agree. All constructs used in this questionnaire were adapted from literature related to the antecedents of behavioural intentions to adopt e-banking. We received 436 valid responses, which we analysed using Cronbach’s alpha, Confirmatory Factor Analysis, and Structural Equation Modelling. Results show that Performance Expectancy, Hedonic Motivation, Experience, Habit and Attitude, Perceived Website Usability, and Security and Reliability positively influence the intention to adopt Internet Banking, suggesting that policymakers and bankers should focus on improving website usability and hedonic enjoyment while focusing on Internet Banking performance, security, and dependability. In addition, Effort Expectations, Social Influence, Facilitating Conditions, and Trust resulted as not significant influencing factors of Internet Banking usage; Indians appear to find Internet Banking straightforward to use, perceive it as a breeze, and believe they are backed by solid support systems and organisational infrastructures. Moreover, trust is not a driving factor for Indians to adopt Internet Banking because they already perceive it as a trustworthy exercise.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-31
      DOI: 10.3390/jrfm15040157
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 158: The Impact of Quality of Public Administration
           on Local Economic Growth in Vietnam

    • Authors: Thanh Hung Pham, Thi Thanh Hang Hoang, Eleftherios I. Thalassinos, Hoang Anh Le
      First page: 158
      Abstract: This study examines how the quality of public administration influenced local economic growth in Vietnam from 2011 to 2019. Based on previous studies, we evaluate this impact through the Cobb–Douglas function includes government capital, thereby examining both the individual and interactive effects of local government expenditures and quality of public administration on local economic growth in Vietnam. The system GMM method (SGMM) was used to estimate the model with data collected from 61 provinces and cities in Vietnam in the period 2011–2019. The findings suggest that local government expenditures and quality of public administration positively influence local economic growth in Vietnam. Thereby, the authors propose policy implications to improve the efficiency of local government expenditures on local economic growth in Vietnam in terms of public administration.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-31
      DOI: 10.3390/jrfm15040158
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 159: Homebuyer Purchase Decisions: Are They Anchoring
           to Appraisal Values or Market Prices'

    • Authors: Ka-Shing Cheung, Chung-Yim Yiu, Yihan Guan
      First page: 159
      Abstract: Price discovery is an important research topic in real estate due to the heterogeneous nature of housing attributes and relatively thin trading activities compared to other assets. In Commonwealth countries, including New Zealand, governments usually conduct periodic appraisals for the purpose of collecting rates and levies. Such official appraisal values of properties, also known as capital values (CVs), are considered a price anchor for market participants in their negotiation processes. Real estate agents often use these appraisal values to advertise their listings and negotiate transaction prices. In this study, we aim to make an initial attempt to study the influence of CV on market prices using Granger causality tests and a hedonic pricing model. To test the lead-lag relationships, three million housing transactions from 1990 to 2020 in New Zealand are used to construct the capital values (CVs) and transacted prices (TPs) indices in both primary and secondary housing markets. The Granger causality test suggests that the indices of TPs and CVs have a bi-directional lead-lag relationship in the secondary housing market, whereas the relationship does not follow in the primary market where the information on CVs is unavailable. The results imply the existence of a CV anchoring effect. Such anchoring effects are also contingent on the timeliness of price anchors, which is consistent with the availability heuristic from behavioural economics.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-31
      DOI: 10.3390/jrfm15040159
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 160: Inferences from Portfolio Theory and Efficient
           Market Hypothesis to the Impact of Social Media on Sovereign Debt:
           Colombia, Ecuador, and Peru

    • Authors: Esteban Serrano-Monge
      First page: 160
      Abstract: For three countries of similar economic characteristics, I ratify previous studies of the impact of fundamental macroeconomic and foreign exchange variables influencing country risk, as captured by the Emerging Market Bond Index (EMBI). I contribute to existing research, first by calculating a proxy of risk I call endogenous risk that analyzes the quarterly variability of economic activity, and second, by calculating a variable of sentiment from Twitter activity. I gauge the impact of both on the country risk metric in addition to variables in existing research about the determinants of country risk. Foreign exchange variables are the most significant determinants of risk for the countries of Colombia and Peru, which actively manage their currency, while Ecuador’s country risk is mostly affected by endogenous risk and macroeconomic fundamentals.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-31
      DOI: 10.3390/jrfm15040160
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 161: Household Portfolio Allocations: Evidence on
           Risk Preferences from the Household, Income, and Labour Dynamics in
           Australia (HILDA) Survey Using Tobit Models

    • Authors: Safdar Ullah Khan, Satyanarayana Ramella, Habib Ur Rahman, Zulfiqar Hyder
      First page: 161
      Abstract: This study investigates intrahousehold risk preferences in household portfolio decision-making. Most household finance data are collected at the household level, and it is challenging to come up with an explanation of risk-taking decisions and have a direction on the within-household bargaining mechanisms. We provide these challenging pieces of evidence by applying a Tobit model on panel data taken from waves 2 to 6 of HILDA surveys. Overall, the results indicate that the risk-taking attitude of partners matters in household portfolio allocations. Risk-averse males and their female counterparts invest less in risky assets. Compared with the no-conflict (identical risk preferences) group, male partners with risk-loving behaviour tend to invest more in risky assets. Further, individual risk preferences are sensitive to fluctuations in equity and housing markets in Australia. Taken together, one of the crucial implications of our findings for future research is that household-bargaining models should, perhaps, give more bargaining power to risk-loving males, offering an additional explanation for the determinants of risk-taking behaviour of households. Understanding the risk-taking attitudes of households is important for future work to understand the fraction of households that end up with a negative net worth in recessions or crisis conditions, such as financial crises, pandemics, and wars.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-01
      DOI: 10.3390/jrfm15040161
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 162: Mean Reversions in Major Developed Stock
           Markets: Recent Evidence from Unit Root, Spectral and Abnormal Return

    • Authors: James Nguyen, Wei-Xuan Li, Clara Chia-Sheng Chen
      First page: 162
      Abstract: We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from the Wharton Research Data Services database and a comprehensive set of traditional and recent statistical methods. We specifically employed a variety of traditional linear and nonlinear tests, latest multiple-break unit root tests and spectral analysis to test the efficient market hypothesis. Our results show that these stock markets generally are inefficient. We further explored whether the departure from market efficiency can be used to generate profitable trades and found that abnormal returns exist in all three markets. We found evidence of abnormal returns associated with the break dates identified in the models which are correlated with major historical events around the world. Our findings have important implications for investors and policymakers.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-01
      DOI: 10.3390/jrfm15040162
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 163: Digital Twin: Financial Technology’s Next
           Frontier of Robo-Advisor

    • Authors: Muhammad Anshari, Mohammad Nabil Almunawar, Masairol Masri
      First page: 163
      Abstract: This research examines the concept of a robo-advisor with digital twin capabilities for personal financial management. Using an exploratory study, the researchers developed an interactive and interpretive model that analyses the most critical variables to consider when designing the next level of financial robo-advisor through integrating digital twin concepts and applications. Primarily, it conducts an assessment and then reviews the data to propose a model that can serve as a baseline for future research. Related literature was explored, including peer-reviewed journal articles, case studies, periodicals, newspaper articles, and books. This study aims to assess the concept of digital twin (DT) as the next frontier of robo-advisor as a new wave of intelligent financial advisors in supporting the personalisation and customisation of financial technology (FinTech) services and management. Individuals who use a DT-enabled robo-advisor may find a significantly greater value for their financial management and well-being. A robo-advisor with DT enabled will no longer be an ad hoc financial advisory service but will evolve into a comprehensive and dynamic financial advisory service for users. The research presents several critical insights on financial robo-advisory with DT capabilities, transforming and optimising smart financial advisory.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-02
      DOI: 10.3390/jrfm15040163
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 164: Theoretical Investigation on the Optimal
           Contracting for Directors Holding Multiple Directorships

    • Authors: Guoyu Lin, Anna Bergman Brown
      First page: 164
      Abstract: This paper is the first (to our knowledge) to analytically model the optimal contracting for a member of the board of directors who holds multiple directorships. Prior literature has found conflicting evidence on the overall effect of multiple directorships on shareholder welfare: busy board members are usually detrimental to firm operating performance due to the limited time and effort they are able to devote to each board; however, multiple directorships can be beneficial to firms if the board members gain knowledge and expertise through their multiple appointments. The objective of our study is to expand the research on the effects of multiple directorships on shareholder welfare by modeling the relationship between optimal incentives (pay–performance sensitivity) and the number of directorships. Modeling within the Linear–Exponential–Normal framework, and solving using Subgame-Perfect Nash Equilibrium, we find that this relationship is positive when efforts across directorships are either substitutive or complementary, which highlights another potential significant downside to multiple directorships: companies need to offer high incentive-based pay to compete for directors’ efforts, leading to high-risk premia and welfare loss to shareholders. Our results may be of interest to policy makers considering setting limits on the number of board seats that may be held by directors at public companies, as well as shareholders considering appointing directors with multiple appointments.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-04
      DOI: 10.3390/jrfm15040164
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 165: Time to Assess Bias in Machine Learning Models
           for Credit Decisions

    • Authors: Liming Brotcke
      First page: 165
      Abstract: Focus on fair lending has become more intensified recently as bank and non-bank lenders apply artificial-intelligence (AI)-based credit determination approaches. The data analytics technique behind AI and machine learning (ML) has proven to be powerful in many application areas. However, ML can be less transparent and explainable than traditional regression models, which may raise unique questions about its compliance with fair lending laws. ML may also reduce potential for discrimination, by reducing discretionary and judgmental decisions. As financial institutions continue to explore ML applications in loan underwriting and pricing, the fair lending assessments typically led by compliance and legal functions will likely continue to evolve. In this paper, the author discusses unique considerations around ML in the existing fair lending risk assessment practice for underwriting and pricing models and proposes consideration of additional evaluations to be added in the present practice.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-05
      DOI: 10.3390/jrfm15040165
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 166: Xenocentrism and Formal Education: Evaluating
           Its Impact on the Behavior of Chilean Consumers

    • Authors: Luis J. Camacho, Patricio Ramírez-Correa, Cristian Salazar-Concha
      First page: 166
      Abstract: Understanding social behavior and explaining its implications is essential when examining consumer xenocentric behavior. This study evaluated the direct effects of consumer xenoncentrism on product attitude and purchase intention of imported products and analyzed the moderating impact of formal education on xenocentric consumer behavior considering groups with higher and low formal education levels. Structural equation modeling technique and multigroup analysis based on samples collected from Chilean consumers were used to analyze the research model. There were 295 effective online questionnaires (42.4% females and 57.6% males). This study’s findings suggest that consumer xenocentric effects are directly related to imported products’ product attitude (G: R2 = 0.254; L: R2 = 0.121; H: R2 = 0.327) and purchase intention (G: R2 = 0.454; L: R2 = 0.469; H: R2 = 0.365). In addition, findings exhibit that xenocentric consumer behaviors are more significant when associated with formal educational level (G: 0.575; L: 0.640; H: 0.443). Therefore, as education levels increase, the xenocentric effect also increases. An important application of these findings is that education in emerging countries and developing economies should strengthen local production valorization and promote marketing strategies that foster the sustainable consumption of products manufactured in their own countries.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-06
      DOI: 10.3390/jrfm15040166
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 167: An Early Warning System for Currency Crises in
           Emerging Countries

    • Authors: Lutfa Tilat Ferdous, Khnd Md Mostafa Kamal, Amirul Ahsan, Nhung Hong Thuy Hoang, Munshi Samaduzzaman
      First page: 167
      Abstract: In this study we develop an early warning system (EWS) to forecast currency crises in emerging countries in Asia and Latin America, using logit regression on monthly data from 1992 to 2011. We found that macroeconomic and institutional variables are valuable indicators for forecasting crises. Our results show that a low level of export growth, current account surplus/GDP, GDP growth, a high level of real exchange rate growth, import growth, and short-term debt/reserves can explain the advent of a possible currency crisis. We found that a poor law and order scenario and high external conflict can lead to a currency crisis. Additional findings include high government stability and the absence of internal conflict, which contribute to an absence of democracy, ultimately leading to a currency crisis. The policy-makers can consider taking the effective pre-emptive actions to prevent the currency crises occurring in the future.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-06
      DOI: 10.3390/jrfm15040167
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 168: What If' Electricity as Money

    • Authors: David A. Gautschi, Heidi C. Gautschi, Christopher L. Tucci
      First page: 168
      Abstract: Responding to the influences of climate change, on the one hand, and selected benefits of digital technology, on the other hand, an energy transition of global scale appears to be underway. Many observers project that a significant element of the energy transition will be a growing dependence on electricity, a dependence possibly doubling by 2050. Such a transformation, however, would likely require re-configuring the architecture of complex, centralized electricity grids, an artifact of a context of more than a century ago. In concert with the energy transition, we argue to modify the objective of the electricity grid to enable efficient, pervasive optimization in local service areas that provides incentives for users to be efficient in their energy use. At the core of our argument is the presentation of economic incentives denominated in an electricity-backed commodity currency such that incumbent electricity generators could augment their economic purpose of electricity production and electricity distribution to include financial intermediation. A direct consequence of this institutional transformation is the opportunity for all users to generate wealth. There are others who have been inspired to conjure ways that energy could be a candidate currency. Our argument is distinctive, though, in exploiting how an institution (the power grid system) could be repositioned and how all agents in the system could benefit by the institutionalization of electricity as money.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-07
      DOI: 10.3390/jrfm15040168
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 169: Audit Committee Diversity, Analysts’
           Forecast Accuracy and Earnings Management: Evidence from Malaysia

    • Authors: Marziana Madah Marzuki
      First page: 169
      Abstract: This paper aims to investigate the effect of audit committee ethnicity, as part of the diverse cultures in Malaysia, on analysts’ forecast accuracy. In addition, this study investigates further the interactions between the unique cultures in Malaysia and earnings management to determine whether audit committee ethnicity still plays a role in earnings management. Based on 391 observations of firms followed by analysts from the year 2012 to 2014, our result indicates that firms dominated by Bumiputera audit committees have a higher analyst forecast error. In addition, we found that firms manage earnings to meet analysts’ forecasts, which is significant for firms dominated by Bumiputera audit committees. The results add new evidence on the effect of audit committee ethnicity on financial reporting quality in the multiracial country of Malaysia.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-07
      DOI: 10.3390/jrfm15040169
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 170: The Impact of Investment Efficiency on Firm
           Value and Moderating Role of Institutional Ownership and Board

    • Authors: Mahdi Salehi, Grzegorz Zimon, Arash Arianpoor, Fatemeh Eidi Gholezoo
      First page: 170
      Abstract: This study investigates the impact of investment efficiency on firm value with a moderating role of institutional ownership and board independence for companies listed on the Tehran Stock Exchange (TSE). The information from 177 companies in 2014–2021 was examined. Tobin’s Q is a common measure for firm value, and it is a market-based measure and provides a good tool of comparison. The results show that investment efficiency has an impact on firm value. In addition, institutional ownership and board independence moderate this impact. There is a gap between the impact of investment efficiency on firm value and the moderating role of institutional ownership and board independence. This gap creates an opportunity for carrying out in-depth research on those variables. Since the impact of investment efficiency on firm value emphasizing the role of institutional ownership and board independence has not been studied, the study’s findings can show the importance and necessity of this study and fill the gap in this field.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-07
      DOI: 10.3390/jrfm15040170
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 171: Deployment of Interpretive Structural Modeling
           in Barriers to Industry 4.0: A Case of Small and Medium Enterprises

    • Authors: Pankaj Goel, Raman Kumar, Harish Kumar Banga, Swapandeep Kaur, Rajesh Kumar, Danil Yurievich Pimenov, Khaled Giasin
      First page: 171
      Abstract: Small and medium enterprises (SMEs) are vital contributors and significant drivers of any manufacturing sector. The Industry 4.0 (I 4.0) revolution has made the global economy highly competitive and automated, requiring Indian SMEs to adapt more quickly. Therefore, this study aimed to identify the barriers to implementing I 4.0, simplifying the complex interrelationship among such barriers with the help of a suitable model, categorizing them as independent and dependent ones, and, ultimately, leveling the same drivers, autonomous linkages, and dependent forces. The present investigation thoroughly examined the existing literature and summarized the list of barriers into fifteen significant barriers to the smooth establishment of Industry 4.0 in India. The identified barriers were analyzed with the help of Interpretive Structural Modeling (ISM) Diagraph and Cross-Impact Matrix Multiplication Applied to Classification (MICMAC) analysis. This study was able to explore the interrelationship among these barriers. The study has found found a lack of support from stakeholders, and insufficient managerial support emerged as a major factor neglected by Indian SMEs. However, uncertainty in the predicted demand for products, the lack of an alternate solution to the technological breakdown, and doubt about the sustainability of Industry 4.0 (relating to its potential to lead to unemployment in society, etc.) are significant contingent barriers. These barriers can impact the other strategic choices related to the successful implementation of Industry 4.0. This study’s observations can help decision-makers make strategic decisions to manage the barriers affecting Industry 4.0 in Indian SMEs. This research revealed a scope that can be extended to other South Asian and developing nations. The results of the present work can be further studied with structural equation modeling (SEM) and multiple regression analysis (MRA).
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-07
      DOI: 10.3390/jrfm15040171
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 172: Best-Arm Identification Using Extreme Value
           Theory Estimates of the CVaR

    • Authors: Dylan Troop, Frédéric Godin, Jia Yuan Yu
      First page: 172
      Abstract: We consider a risk-aware multi-armed bandit framework with the goal of avoiding catastrophic risk. Such a framework has multiple applications in financial risk management. We introduce a new conditional value-at-risk (CVaR) estimation procedure combining extreme value theory with automated threshold selection by ordered goodness-of-fit tests, and we apply this procedure to a pure exploration best-arm identification problem under a fixed budget. We empirically compare our results with the commonly used sample average estimator of the CVaR, and we show a significant performance improvement when the underlying arm distributions are heavy-tailed.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-08
      DOI: 10.3390/jrfm15040172
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 173: COVID-19 Impact on the Sport Sector Economy and
           Athletic Performance

    • Authors: Huw D. Wiltshire, Rashmi Supriya, Julien S. Baker
      First page: 173
      Abstract: As COVID-19 continues to impact global health, and educational, financial, commercial institutions, sport, in particular, has not been spared [...]
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-09
      DOI: 10.3390/jrfm15040173
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 174: Model Selection and Post Selection to Improve
           the Estimation of the ARCH Model

    • Authors: Marwan Al-Momani, Abdaljbbar B. A. Dawod
      First page: 174
      Abstract: The Autoregressive Conditionally Heteroscedastic (ARCH) model is useful for handling volatilities in economical time series phenomena that ARIMA models are unable to handle. The ARCH model has been adopted in many applications that contain time series data such as financial market prices, options, commodity prices and the oil industry. In this paper, we propose an improved post-selection estimation strategy. We investigated and developed some asymptotic properties of the suggested strategies and compared with a benchmark estimator. Furthermore, we conducted a Monte Carlo simulation study to reappraise the relative characteristics of the listed estimators. Our numerical results corroborate with the analytical work of the study. We applied the proposed methods on the S&P500 stock market daily closing prices index to illustrate the usefulness of the developed methodologies.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-10
      DOI: 10.3390/jrfm15040174
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 175: A Survey of the Accounting Industry on Holdings
           of Cryptocurrencies in Xiamen City, China

    • Authors: Huqin Yan, Kejia Yan, Rakesh Gupta
      First page: 175
      Abstract: This is the first survey conducted in China on the holding of cryptocurrencies. Although cryptocurrencies have existed in the world for more than a decade, because the exchange of cryptocurrencies is banned in China, there is no guidance on the holding of cryptocurrencies in China’s accounting standards. Moreover, although the exchange of cryptocurrencies is prohibited by the Chinese government, holdings of cryptocurrencies by Chinese entities and individuals cannot be prevented. Thus, we conducted a survey in investors’ attitudes towards cryptocurrencies in Xiamen City, a special economic zone (SEZ) and a pilot free trade zone (FTZ) in China. The survey respondents commonly defined cryptocurrencies as investments (45%), inventories (19%), and intangible assets (36%). A total of 84% of respondents stated that the value of a cryptocurrency should be represented by a fair value. These results are similar to those obtained in a survey by The Digital Assets Accounting Consortium (DAAC), but different to the tentative agenda decision of the International Financial Reporting Standards Interpretations Committee (IFRSIC). Additionally, 65% of respondents stated that they prefer to accept cryptocurrencies as cash equivalent currencies, and these cash equivalent currencies were considered to have two main functions: a medium of exchange (56%) and a monetary unit for pricing goods and services (52%).
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-11
      DOI: 10.3390/jrfm15040175
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 176: The Impact of Fashion Brand Sustainability on
           Consumer Purchasing Decisions

    • Authors: Doroteja Mandarić, Anica Hunjet, Dijana Vuković
      First page: 176
      Abstract: The focus of this confirmatory research was on consumer attitudes towards the sustainability of fashion brands and how these attitudes influence their purchasing decisions. The aim was to explore if the gap between attitudes and purchasing behaviour was present within Croatian consumers to the same extent as previous research has shown. A survey was conducted of 263 respondents with purchasing power to examine their perception, awareness of, and attitudes towards sustainability and eco-fashion as consumers. The data collected were analysed using descriptive statistics and correlation analysis. The results suggest that participants have a positive attitude towards the sustainability of fashion brands. Moreover, a positive correlation was found between the importance of fashion brand sustainability and consumers’ decisions to buy sustainable clothing products. However, the sustainability of a fashion brand or product is among the least important factors in their purchasing decision. This could mean that their positive attitude may not necessarily be reflected in actual purchasing behaviour, which is consistent with previous research. The results of this study provide a framework for a greater understanding of the various factors that may influence consumer behaviour, such as the sustainability of a fashion brand or product, potentially facilitating the development of relevant strategies in the fashion industry and changing the way fashion works and is perceived in the future.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-11
      DOI: 10.3390/jrfm15040176
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 177: Tourism Activity as an Engine of Growth: Lessons
           Learned from the European Union

    • Authors: Velisaria Matzana, Aikaterina Oikonomou, Michael Polemis
      First page: 177
      Abstract: In this study, the linkage between tourism activity and economic development in 21 European countries is analyzed. The data are collected on an annual basis and cover the years from 1995 to 2017. The main purpose is to investigate empirically if there is a long-run connection between tourism activity and the development of the economy by applying a multivariate model. For this purpose, generalized method of moments (GMM) and Granger causality tests are applied within a panel data framework. The results reveal that tourism contributes significantly to European countries’ economic growth. Furthermore, Granger causality analysis shows a unidirectional relationship between tourism and economic development, leading to sufficient evidence for the validity of the tourism-led-growth hypothesis. Therefore, for these European countries, the tourism–led growth hypothesis is supported (meeting our expectations).
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-11
      DOI: 10.3390/jrfm15040177
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 178: Enacting Economic Resilience: A Synthesis of
           Economic and Communication Frameworks

    • Authors: Timothy Betts, Patrice M. Buzzanell
      First page: 178
      Abstract: This work examines three frameworks for responding to economic disruption: risk mitigation, systemic recovery, and economic resilience. Specifically, by reviewing the metatheoretical commitments, analytic contexts, and implications of two economic perspectives, represented by risk mitigation and systemic recovery, we argue that current approaches to understanding resilience in academic economics have failed to address ongoing and emergent disruptions in the economic and social world. In response, this work also reviews a possible synthesis of economic and communication frameworks. This review places the economic resilience framework, inspired by the communication theory of resilience, in conversation with extant literature in economics, communication studies, and other disciplines and concludes with an outline for further theoretical, methodological, and practical development.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-13
      DOI: 10.3390/jrfm15040178
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 179: False Friends' On the Effect of Bureaucracy,
           Informality, Corruption and Conflict in Ukraine on Foreign and Domestic

    • Authors: Viktoriya Gonchar, Oleksandr Kalinin, Olena Khadzhynova, Killian J. McCarthy
      First page: 179
      Abstract: Ukraine had had its ups and downs in recent years. It has, for example, dramatically improved its ease of doing business (EOBB), and it has made some progress reducing the relative size and influence of its shadow economy (Shadow). But, the Russian invasion of 2014 (Conflict) forced it to take a few developmental steps backwards. In this paper, we consider the effect of these factors, positive and negative, on the number of mergers and acquisitions, involving Ukrainian firms. We construct a sample of 4030 acquisitions in the period 1 January 2000–31 December 2020. Our results suggest that while the number of acquisitions by domestic firms increases in efficiency (+EOBB), transparency (−Shadow) and peace (−Conflict), the number of foreign acquisitions increases in bureaucracy (−EOBB), in informality (+Shadow), and unrest (+Conflict). From an academic perspective, our findings fit with some recent work, while providing new insights too. From a policy perspective, our findings that the number of foreign acquisitions is negatively affected by Ukraine’s attempts to modernize and improve its economy and is positively affected by the ongoing conflict with Russia, makes us wonders what type of ‘false friends’ make such investments.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-13
      DOI: 10.3390/jrfm15040179
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 180: Corporate Fraud and Accounting Firm Involvement:
           Evidence from China

    • Authors: Jun Wang, Duo Wang
      First page: 180
      Abstract: In some cases, accounting firms and individual auditors will be punished by the China Securities Regulatory Commission (CSRC) for involvement in the violations of their client companies. Taking the enforcement actions against listed companies and accounting firms of the CSRC from 2006 to 2019 as a research sample, this paper manually sorted out the specific characteristics of corporate fraud and empirically examined the regulatory authorities’ supervision tendency to auditors. The results show that accounting firms are more likely to be involved when their client companies’ fraudulent practices affect financial statements, occur during the IPO process, and continue for a longer period of time. Income statement manipulation and higher fraud amounts also increase the probability of accounting firms being sanctioned. Further analyses show that regulators’ supervision intensity is increasing over time, and they impose penalties on auditors based on the severity of corporate fraud; however, the intensity and differentiation of the sanctions are still insufficient. This study expands relevant research on accounting firm sanctions and provides empirical evidence for further improvement of audit industry supervision in an emerging market.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-13
      DOI: 10.3390/jrfm15040180
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 181: Redevelopment of Brownfields for Cultural Use
           from ERDF Fund—The Case of Hungary between 2014 and 2020

    • Authors: Mariann Szabó, Fruzsina Bozsoki
      First page: 181
      Abstract: In the current research we aim to analyse the public redevelopment projects financed in Hungary from the Territorial and Settlement Development OP between 2014 and 2020, with special focus on cultural use. Brownfield redevelopment is a major topic in an urban development context from an urban sustainability, circularity, and creative urban/regional development point of view. Within the examined period, 39% of the brownfield redevelopment projects have cultural ties. A detailed introduction of the cases highlights the importance of landscape-oriented spatial strategies, temporary use, and mixed land use options in redevelopment for long-term viability. The original function of redevelopment projects encompasses a wide range. We could find industrial brownfields from the 19th century to agro-food facilities from the soviet era, which proves that the allocation of ERDF funds for brownfield redevelopments helped the rehabilitation of those sites which are important in showcasing Hungarian history.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-14
      DOI: 10.3390/jrfm15040181
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 182: Sail Away to a Safe Harbor' COVID-19
           Vaccinations and the Volatility of Travel and Leisure Companies

    • Authors: Ender Demir, Renatas Kizys, Wael Rouatbi, Adam Zaremba
      First page: 182
      Abstract: This paper examines the impact of vaccination programs on the stock market volatility of the travel and leisure sector. Using daily data from 56 countries over the period from January 2020 to March 2021, we find that vaccination leads to a decrease in the investment risk of travel and leisure companies. Vaccination results in a decrease in the volatility of stock prices of travel and leisure companies. The drop in volatility is robust to many alternative estimation techniques, different volatility measures, and various proxies for vaccinations. Moreover, this effect cannot be explained by an array of control variables; this includes the pandemic itself and both the containment and closure policies that followed. Furthermore, the beneficial role of vaccinations is relatively stronger in emerging markets than in developed ones.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-14
      DOI: 10.3390/jrfm15040182
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 183: Business Closures and (Re)Openings in Real-Time
           Using Google Places: Proof of Concept

    • Authors: Daniel E. Rigobon, Thibaut Duprey, Artur Kotlicki, Philip Schnattinger , Soheil Baharian, Thomas R. Hurd
      First page: 183
      Abstract: We present a new estimation of business opening and closure rates using data from Google Places—the data set behind the Google Maps service. Our algorithm, through a bisection routine, counts the appearance and disappearance of “pins” that represent unique businesses. As a proof of concept, we compute business opening and closure rates for the city of Ottawa during the reopening phase of the COVID-19 pandemic in mid-2021. The lifting of restrictions coincides with a wave of re-entry of temporarily closed businesses, suggesting that government support may have facilitated the survival of hibernating businesses. Our entry estimates are validated by a survey of new businesses. This methodology allows policymakers to monitor business dynamics in quasi-real-time during rapidly unfolding crises.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-15
      DOI: 10.3390/jrfm15040183
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 184: Asymmetric Exchange Rate Pass-Through in Turkish
           Imports of Cocoa Beans

    • Authors: Nazif Durmaz, John Kagochi
      First page: 184
      Abstract: The present paper uses asymmetric cointegration and error-correction modeling where a nonlinear adjustment of the exchange rate yields results that are different than those yielded by linear models. We study cocoa imports for Turkey with advanced ARDL and nonlinear ARDL frameworks. Our findings reveal that there is considerable asymmetry for the case of Turkish cocoa bean imports from Côte d’Ivoire. Compared with imports from Ghana, there are significant differences in Turkish importers’ preferences when choosing between the two cocoa bean providers. Our results provide support for the nonlinear adjustment of the real Turkish lira–US dollar exchange rate and a hint of imperfect rivalry in Turkish cocoa bean imports.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-15
      DOI: 10.3390/jrfm15040184
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 185: Goal Setting, Personality Traits, and the Role
           of Insurers and Other Service Providers for Swiss Millennials and
           Generation Z

    • Authors: Carlo Pugnetti, Pedro Henriques, Ulrich Moser
      First page: 185
      Abstract: Service providers are developing more sophisticated offerings, and it is important for them to understand the demographics and specific context by which individuals might procure their services. This allows companies to stay relevant to their customers. The target of this paper is to investigate the types of goals Millennials and Generation Z individuals are pursuing and what role different service providers may play in supporting these endeavors, with the aim of providing actionable insights for insurers. Furthermore, it is to investigate how personality traits may relate to differences in individuals’ preferences. The study is based on a survey of 854 Swiss university students. The results indicate that goals are concentrated in a few categories, and educational institutions and healthcare providers are well-positioned to support goal achievement. Insurers, on the other hand, rank low among the preferences, and their profile is largely undifferentiated. This result indicates that insurers need to further focus their efforts to gain relevance among younger customers. Supporting goals relating to self-fulfillment and ability for high-conscientious and/or low-honest/humble customers by focusing on risk education and risk management seems a particularly interesting strategy for insurers.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-18
      DOI: 10.3390/jrfm15040185
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 186: Impact of COVID-19, Political, and Financial
           Events on the Performance of Commercial Banking Sector

    • Authors: Ghulam Ghouse, Muhammad Ishaq Bhatti, Muhammad Hassam Shahid
      First page: 186
      Abstract: This paper employs a structural empirical model to gauge the possible effects of COVID-19, political and financial events on the returns and volatility of commercial banks. It observes that insured and run-prone uninsured depositors choose between differentiated commercial banks, which appears to be significantly impacted from the present pandemic, especially for the case of Pakistan’s commercial banking sector. The estimated volatility series for commercial banks is measured through the GARCH model, which explains the current financial and political distress for the case of shocks from COVID-19. We calibrate by Impulse Indicator Saturation (IIS) to detect the structural breaks formed by these events in the returns and volatility series of commercial banks. It is observed that the calibrated model possesses almost all financial events that have had a prominent impact on the returns and volatility series whereas two out of eighteen political events are unimpacted.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-18
      DOI: 10.3390/jrfm15040186
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 187: To Trust or Not to Trust' COVID-19 Facemasks
           in China–Europe Relations: Lessons from France and the United

    • Authors: Emilie Tran, Yu-chin Tseng
      First page: 187
      Abstract: At the crossroads of sociology and international relations, this interdisciplinary and comparative research article explores how the COVID-19 outbreak has impacted China–Europe relations. Unfolding the critical moments of the COVID-19 outbreak, this article characterizes the evolution of China–Europe relations with regard to the facemask. This simple object of self-protection against the coronavirus strikingly became a source of contention between peoples and states. In the face of this situation, we argue that the facemask is the prism through which to illustrate (1) the transnational links between China and its overseas population, (2) the changing social perceptions of China and Chinese-looking people in European societies, and (3) the advent of China’s health diplomacy and its reception in Europe. Comparing two European settings—France and the United Kingdom (UK)—the common denominator appears to be the reduced trust, if not outright distrust, between individuals and communities in the French and British contexts, and in Sino–French and Sino–British relations at the transnational level. Combining critical juncture theory and (dis)trust in international relations as our analytical framework, this article examines how the facemask became a politicized object, both between states and between Mainland China and its overseas population, as the epidemic unfolded throughout Europe. Adopting a qualitative approach, our dataset comprises the analysis of official speeches and statements; press releases; traditional and social media content (especially through hashtags such as #JeNeSuisPasUnVirus, #IAmNotAVirus, #CoronaRacism, etc.); and interviews with Chinese, French, and British community members.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-04-18
      DOI: 10.3390/jrfm15040187
      Issue No: Vol. 15, No. 4 (2022)
  • JRFM, Vol. 15, Pages 119: Financial Institution Type and Firm-Related
           Attributes as Determinants of Loan Amounts

    • Authors: Edmund Mallinguh, Zeman Zoltan
      First page: 119
      Abstract: Access to formal credit remains critical for business operations, particularly for firms unable to generate sufficient funds internally. Using the World Bank’s Enterprise Survey dataset, 2018, we analyzed 230 Kenyan firms that applied for loans. These loans are sourced from banks (private, commercial, or state-owned) or non-banking financial institutions. Specifically, the paper explores the effect of financial institution type and firm-related characteristics on loan amounts advanced. The results show that the preferred credit provider matters, with the sensitivity level varying among the three institutional types. Additionally, the collateralization value, the owner’s equity proportion of fixed assets, and any existing credit facility correlate positively with the outcome variable. There is an inverse relationship between the largest shareholder’s ownership and the loan amount. The study uses the new product (service) launches to measure innovation. The findings suggest that firms in the innovation process access higher loan amounts than their non-innovative peers. Be that as it may, the difference in amount effect size between the two groups is small based on Cohen’s d rule. The paper highlights the theoretical and practical implications of these findings.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-04
      DOI: 10.3390/jrfm15030119
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 120: Do Post-Corona European Economic Policies Lift
           Growth Prospects' Exploring an ML-Methodology

    • Authors: Bodo Herzog
      First page: 120
      Abstract: This article explores the determinants of people’s growth prospects in survey data as well as the impact of the European recovery fund to future growth. The focus is on the aftermath of the Corona pandemic, which is a natural limit to the sample size. We use Eurobarometer survey data and macroeconomic variables, such as GDP, unemployment, public deficit, inflation, bond yields, and fiscal spending data. We estimate a variety of panel regression models and develop a new simulation-regression methodology due to limitation of the sample size. We find the major determinant of people’s growth prospect is domestic GDP per capita, while European fiscal aid does not significantly matter. In addition, we exhibit with the simulation-regression method novel scientific insights, significant outcomes, and a policy conclusion alike.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-04
      DOI: 10.3390/jrfm15030120
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 121: Housing Real Estate Economics and Finance

    • Authors: Rita Yi Man Li
      First page: 121
      Abstract: Housing research is one of the hot topics in many countries. This paper provides a quick review of the housing economics research in the US, Sweden, Latvia, China, Corsica, and Italy published in this special issue. Bao and Shah studied the effects of home-sharing platforms in general and the effects of the US’ Airbnb on neighbourhood rent. Wilhelmsson’s results showed that interest rates directly affected house prices and indirectly affected bank loans in Sweden. Caudill and Mixon threw light on the relative negotiating power of the buyer and seller as a key element of real estate price models. Čirjevskis presented a real application of “step-by-step” valuation options for real estate development projects as a managerial risk management tool for similar real estate development projects in the EU to make investment decisions during COVID-19 and in the post-COVID-19 era. Pelizza and Schenk-Hoppé used an exponential Ornstein–Uhlenbeck process to model price dynamics provincially and regionally to estimate the liquidation value.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-04
      DOI: 10.3390/jrfm15030121
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 122: The Effect of Financial Inclusion and
           Competitiveness on Financial Stability: Why Financial Regulation Matters
           in Developing Countries'

    • Authors: João Jungo, Mara Madaleno, Anabela Botelho
      First page: 122
      Abstract: This study aims to assess the effect of financial inclusion and competitiveness on banks’ financial stability, considering the moderating role of financial regulation. To do so, we compare the effects of these variables in Sub-Saharan African (SSA) and Latin American and Caribbean (LAC) countries. Our results suggest that inclusion enhances bank stability in SSA and LAC countries, and financial regulation contributes to increasing financial stability in LAC countries, while we find no statistical significance in the effect of financial regulation on financial stability in SSA countries. Moreover, competitiveness negatively impacts financial stability, and financial regulation moderates the negative effect of competitiveness on financial stability in SSA and LAC countries. We also find that financial inclusion reduces credit risk in SSA countries, and for LAC countries financial inclusion increases credit risk and reduces bank profitability. Regarding the practical implications, this study shows that fostering financial inclusion in the countries under study contributes significantly to improving the welfare of households and especially to the stability of the financial system. The present study allows expanding of the scarce literature by examining the effect of financial inclusion and market structure on financial stability in two different samples, consisting of 41 countries in the SSA region and 31 countries in the LAC region, throughout 2005–2018.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-04
      DOI: 10.3390/jrfm15030122
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 123: The COVID-19 Health Crisis and Its Impact on
           China’s International Relations

    • Authors: Jean-Pierre Cabestan
      First page: 123
      Abstract: Using qualitative methods, this article focuses on the relationship between the COVID-19 health crisis and China’s foreign policy and foreign relations. My main argument is that since its outbreak in late 2019, the COVID-19 health crisis has deepened the tensions already existing between China and the United States, as well as China and the West in general. Other factors that appeared before the pandemic have also contributed to intensifying the Sino-US rivalry as well as Sino-European frictions. Nonetheless, Beijing’s proactive mask and vaccine diplomacy, its strict lockdown policy as well as its more aggressive nationalist and anti-western narrative have fed rather than alleviated these tensions. While China’s image in the Global South has remained largely positive, in the Global North, it has rapidly deteriorated. All in all, this paper demonstrates that the pandemic has been an aggravating factor contributing to the downward spiral of China’s relations with the outside world as well as its own isolation.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-04
      DOI: 10.3390/jrfm15030123
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 124: Metatheoretical Issues of the Evolution of the
           International Political Economy

    • Authors: Aleksy Kwilinski, Nataliya Dalevska, Vyacheslav V. Dementyev
      First page: 124
      Abstract: The topicality of the international political economy is determined by the complexity and dynamism of transformation processes in the world economic system, which are developing through information networks and financial technologies. The purpose of the article is to reveal the meta-theory elements of the international political economy in the context of their renewal in the context of the world economic system development in the wave of “information society”. To obtain scientifically sound results, the article uses the historical–logical method, the dialectical method of proceeding from the abstract to the concrete, institutional and evolutionary approaches. The article develops theoretical and methodological foundations for developing the international political economy. It is substantiated that the research agenda of the international political economy is characterized by socio-integrative trends of economic development in the global dimension. The interaction among actors of international relations is analyzed, and the structural components of their functional transformation under the conditions of integration processes advance within the world political and economic space are determined. It is concluded that the international political economy serves as a theoretical foundation, an integral general theoretical basis for establishing adaptive conceptual frameworks for building trust and solidarity among the subjects of the world economic system. Theoretical and methodological principles of the international political economy should be based on analyzing systemic and structural transformations of the world economic system; determining the criteria of social legitimacy of international authorities, based on the norms and values of social and environmental justice; and developing conditions for fulfilling the individual’s creative potential the field of world social capital.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-05
      DOI: 10.3390/jrfm15030124
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 125: Fintech and Financial Health in Vietnam during
           the COVID-19 Pandemic: In-Depth Descriptive Analysis

    • Authors: Robert Jeyakumar Nathan, Budi Setiawan, Mac Nhu Quynh
      First page: 125
      Abstract: The growing popularity of smartphones and the proliferation of technology have accelerated the development of the digital payment industry. Fintech enables customers to access financial services more efficiently and faster than traditional business, especially during the COVID-19 pandemic due to health protocols, including restrictions on physical contact. This study investigates financial literacy, fintech adoption, and the impact of the COVID-19 crisis on the financial health of consumers in Vietnam. The relatively higher level of the unbanked population in Vietnam and the lower level of adult financial literacy compared with the ASEAN region motivated this study. Based on judgment sampling, participants were approached using the mall intercept technique, and those familiar with fintech were selected for the research interview. Thirty participants were interviewed and were given a survey form to be filled online using their mobile phones. Data analysis was conducted using IBM SPSS software version 23. Perceived ease of use, perceived usefulness, trust, brand image, government support, user innovativeness, and attitude are found to be significantly correlated with fintech adoption in Vietnam, while financial literacy was found to be not significantly correlated with fintech adoption. Furthermore, further analysis using multiple linear regression revealed user innovativeness and attitude have a positive impact towards fintech adoption, and in contrast, financial literacy showed significant negative impact on fintech. This inverse relationship could indicate that in Vietnam, fintech may play a role of bringing financial inclusion where people with lower financial literacy are able to use technology for financial transactions, which was previously inaccessible to them. This could also mean that Vietnamese with higher financial literacy do not see fintech as an important tool for their financial transactions, as they may already have strong access to traditional financial facilities. This research contributes to knowledge in the field of Fintech adoption in Vietnam at the time of the COVID-19 outbreak. To foster greater financial inclusivity and access for the Vietnamese consumers, policy makers could promote the development of fintech business infrastructure and regulatory sandboxes to foster fintech startups.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-06
      DOI: 10.3390/jrfm15030125
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 126: The Impact of the U.S. Macroeconomic Variables
           on the CBOE VIX Index

    • Authors: Akhilesh Prasad, Priti Bakhshi, Arumugam Seetharaman
      First page: 126
      Abstract: The purpose of this study is to find the influence of various macroeconomic factors on the volatility index, as macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock market. To estimate the significance and importance of the U.S. macroeconomic variables on stock market volatility and risk, classification problems from machine learning are constructed to predict the daily and weekly trends of the VIX Index. Data from May 2007 to December 2021 is considered for analysis. The selected models are trained with twenty-four daily features and twenty-four plus nine weekly features. The outcomes suggest that the decisions made by the Light GBM and XG Boost on ranking features can be significantly accepted over logistic regression. It is found from the results that economic policy uncertainty indices, gold price, the USD Index, and crude oil are signified as strong predictors. The Financial Stress Index, initial claims, M2, TED spread, Fed rate, and credit spread are also strong predictors, while various yields on fixed income securities make a little less impact on the VIX Index. The TED spread, Financial Stress Index, and Equity Market Volatility (Infectious Disease Tracker) are positively associated with the VIX.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-07
      DOI: 10.3390/jrfm15030126
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 127: Responses of the International Bond Markets to
           COVID-19 Containment Measures

    • Authors: Bao Cong Nguyen To, Tam Van Thien Nguyen, Nham Thi Hong Nguyen, Hoai Thu Ho
      First page: 127
      Abstract: Using an international sample during the COVID-19 outbreak, our study gives evidence that COVID-19 containment measures impact volatility in the international bond markets in different ways. We found that the positive effect of increasing new COVID-19 vaccinations markedly mitigates bond market volatility, while non-pharmaceutical government interventions resembling bad news increase volatility in bond markets. Besides this, changes in total COVID-19 cases and total deaths have co-movement and a significant relationship with this volatility. Our results imply that the investors’ responses to the trigger of increased uncertainty seem to differ in a way that depends on bad or good news as a reflection of the possibility of pandemic control and the health of the economy. The mass vaccinations not only signal a lower probability of stringent government responses to the pandemic but also stabilize investors’ behavior and mitigate compliance fears to open a period of safe living with coronavirus. Our findings are still robust when using alternative measures of independent variables and different forecasting models of conditional volatility.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-08
      DOI: 10.3390/jrfm15030127
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 128: Outliers and Time-Varying Jumps in the
           Cryptocurrency Markets

    • Authors: Anupam Dutta, Elie Bouri
      First page: 128
      Abstract: We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns are contaminated with outliers. Time-varying jumps are present in Bitcoin, Litecoin, Ripple, and the cryptocurrency index. Notably, the presence of jumps in Bitcoin is significant after correcting for outliers. The main findings point to a price instability in some major cryptocurrencies and thereby the importance of accounting for large shocks and time-varying jumps in modelling volatility in the debatable cryptocurrency markets.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-08
      DOI: 10.3390/jrfm15030128
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 129: Application of Social Network Analysis to
           Visualization and Description of Industrial Clusters: A Case of the
           Textile Industry

    • Authors: Marina Y. Sheresheva, Lilia A. Valitova, Elena R. Sharko, Ekaterina V. Buzulukova
      First page: 129
      Abstract: This paper discusses the issues of industrial cluster analysis. Initially, the authors explore theoretical approaches to understanding the clusters phenomenon and their identification and analysis. Looking at industrial clusters as network structures connected by various forms of interaction between members, such as ownership linkages, transactions, the presence of common counterparts, and participation in arbitration processes, the authors propose visualizing clusters using social network analysis metrics. This approach helps to address one of the main difficulties when contacting the members of industrial clusters for a subsequent survey or in-depth interviewing. The analysis concludes with a discussion of the proposed method as a way to identify cluster members and determine the most significant ones that are the primary nodes of the network. These key members usually possess enough relevant information about the structure, coordination mechanisms, general strategy, and cluster management system. Therefore, it is possible to limit the list of interviewed respondents without a substantial loss in empirical data quality. The case of the textile industry cluster presented in this paper confirms the applicability of social network analysis to the visualization and description of industrial clusters.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-08
      DOI: 10.3390/jrfm15030129
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 130: The Determinants of Outward Foreign Direct
           Investment from Latin America and the Caribbean: An Integrated
           Entropy-Based TOPSIS Multiple Regression Analysis Framework

    • Authors: Henrique Correa da Cunha, Vikkram Singh, Shengkun Xie
      First page: 130
      Abstract: Given that home country factors play a major role in the internationalization of emerging market firms, there is an ever-growing debate on how they influence the intensity of outward foreign direct investment (OFDI) from these regions. This study investigates how home country factors affect the OFDI intensity in Latin America and Caribbean (LAC) countries. We use the entropy weight method, which uses the Technique for Order of Preference by Similarity to Ideal Solution (TOPSIS) method and a balanced panel data consisting of 19 countries from 2007 to 2016. The results show a positive association between macroeconomic performance, formal institutions, infrastructure, technology and the OFDI intensity. Furthermore, we find that robust formal institutions, along with the quality of infrastructure and technology, positively moderate the relationship between macroeconomic performance and the OFDI intensity. These findings show that the internationalization of LAC firms is highly dependent on the contextual conditions in their markets.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-09
      DOI: 10.3390/jrfm15030130
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 131: Corporate Failure Risk Assessment for
           Knowledge-Intensive Services Using the Evidential Reasoning Approach

    • Authors: Meng-Meng Tan, Dong-Ling Xu, Jian-Bo Yang
      First page: 131
      Abstract: In this study, a new risk assessment model is developed and the evidence reasoning (ER) approach is applied to assess failure risk of knowledge-intensive services (KIS) corporates in the UK. General quantitative financial indicators alone (e.g., operational capability or profitability) cannot comprehensively evaluate the probability of company bankruptcy in the KIS sector. This new model combines quantitative financial indicators with macroeconomic variables, industrial factors and company non-financial criteria for robust and balanced risk analysis. It is based on the theory of enterprise risk management (ERM) and can be used to analyze company failure possibility as an important aspect of risk management. This study provides new insight into the selection of macro and industry factors based on statistical analysis. Another innovation is related to how marginal utility functions of variables are constructed and imperfect data can be handled in a distributed assessment framework. It is the first study to convert observed data into probability distributions using the likelihood analysis method instead of subjective judgement for data-driven risk analysis of company bankruptcy in the KIS sector within the ER framework, which makes the model more interpretable and informative. The model can be used to provide an early warning mechanism to assist stakeholders to make investment and other decisions.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-10
      DOI: 10.3390/jrfm15030131
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 132: Copulas and Portfolios in the Electric Vehicle

    • Authors: Andrej Stenšin, Daumantas Bloznelis
      First page: 132
      Abstract: How can investors unlock the returns on the electric vehicle industry' Available investment choices range from individual stocks to exchange traded funds. We select six representative assets and characterize the time-varying joint distribution of their returns by copula-GARCH models. They facilitate portfolio optimization targeted at a chosen combination of risk and reward. With daily data from 2012 to 2020, we illustrate the models’ applicability by building a minimum expected shortfall portfolio and comparing its performance to that of an equally weighted benchmark. Our results should be of interest to investors and risk managers seeking or facing exposure to the electric vehicle sector.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-10
      DOI: 10.3390/jrfm15030132
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 133: Examining Farm Financial Management: How Do
           Small US Farms Meet Their Agricultural Expenses'

    • Authors: Omobolaji Omobitan, Aditya R. Khanal
      First page: 133
      Abstract: Small farms in the US have significant challenges in financial management. This study examines how small farmers undertake farm financial management to meet their agricultural and farm-related spending and expenses. Using primary survey data from Tennessee, the study investigates the factors influencing the extent of use of five financing sources to meet the spending and expenses: cash/fund directly generated from the sale of agricultural products, farmer’s past savings, farm household’s off-farm income, income/incentives from government payments, and external loans. Using negative binomial regression estimation of generalized linear models, findings suggest that the decision on the use of financing sources is significantly influenced in general by age, education, income and land acreage holdings, off-farm work, and risk factors related to farmer or farm household. However, the associated factors and their effects on the extent of use are different depending on the financing source.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-10
      DOI: 10.3390/jrfm15030133
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 134: Measures of Volatility, Crises, Sentiment and
           the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS

    • Authors: Hang Zhang, Evangelos Giouvris
      First page: 134
      Abstract: We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was no herding during the European debt crisis and COVID. With regard to the relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China. Russia and South Africa are unresponsive to volatility levels (low/high) and herding. We also observe volatility heterogeneity. Different volatility measures have different effects on different markets. There is limited evidence to suggest that sentiment (based on principal component) Granger causes herding/CSAD. Herding is a period and market variant and unrelated to crises. The U.S. ‘fear’ index has a short-lived, limited effect on CSAD/herding (during COVID only) for all countries except China. In addition, Granger causality analysis indicates a two-way relationship between the U.S. ‘fear’ index and CSAD/herding, unrelated to crises.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-11
      DOI: 10.3390/jrfm15030134
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 135: The Interplay between Digitalization, Education
           and Financial Development: A European Case Study

    • Authors: Alexandra Horobet, Irina Mnohoghitnei, Emanuela Marinela Luminita Zlatea, Lucian Belascu
      First page: 135
      Abstract: The paper explores the relationship between education, digitalization, and financial development between 1996 and 2019 with the aim of showcasing the differences between developed and emerging economies in Europe. We use a Bayesian VAR framework that includes variables related to education, digitalization, and financial development, as well as several endogenous variables to control for differences between countries in terms of nominal GDP growth, unemployment rate, and trade openness. Our findings clearly demonstrate the dynamic interdependence between financial development—including its two main components, financial institutions, and financial markets, digitalization, and education. Furthermore, we find that education is a leading variable in the financial development–education–digitalization nexus, whereas financial development and digitalization are laggard variables. These findings open possibilities for influencing joint policies on digitalization, education, and financial development, particularly in emerging European countries.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-11
      DOI: 10.3390/jrfm15030135
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 136: Influence of Senior Executives Characteristics
           on Corporate Environmental Disclosures: A Bibliometric Analysis

    • Authors: Hafiz Muhammad Arslan, Ye Chengang, Bilal, Muhammad Siddique, Yusra Yahya
      First page: 136
      Abstract: This study aims to synthesize the literature on the top management team (TMT) characteristics influence on environmental disclosures of public organizations and identify recent trends, key themes, influential journals, and authors. Our study recruited 88 research articles on the relationship of TMT characteristics and environmental disclosures from 54 academic journals published from 2010 to 2021 for bibliometric analysis. Our study has identified three influential streams: (1) Role of Politically connections of TMT, good governance in environmental disclosures; (2) Significance of environmental disclosures and performance; and (3) institutional investors and environmental disclosures. Thematic map classifies the TMT characteristics and environmental disclosures relationship themes into four categories: Niche theme (e.g., financial expertise, CFO characteristics, CEO tenure, and board backgrounds); motor themes (e.g., environmental sustainability and climate change); emerging/declining themes (e.g., Environmental disclosure, managerial ownership, and CEO tenure); and basic/transversal themes (e.g., CEO characteristics, upper echelon theory, corporate governance). This study assists academicians, policymakers, managers, and consultants in the corporate sector to understand the role of different dimensions of TMT characteristics regarding environmental disclosures. Our study concludes with important practical implications and future research directions.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-11
      DOI: 10.3390/jrfm15030136
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 137: Further Tests of the ZCAPM Asset Pricing Model

    • Authors: James W. Kolari, Jianhua Z. Huang, Wei Liu, Huiling Liao
      First page: 137
      Abstract: In a recent book, Kolari et al. developed a new theoretical capital asset pricing model dubbed the ZCAPM. Based on out-of-sample cross-sectional tests using U.S. stocks, the ZCAPM consistently outperformed well-known multifactor models popular in the finance literature. This paper presents further evidence that expands their sample period from 1927 to 2020. Results are provided for the subperiods 1927 to 1964 and 1965 to 2020. Our results corroborate those of KLH. In cross-sectional tests, the ZCAPM outperforms the CAPM as well as the Fama and French three-factor model and Carhart four-factor model. Outperformance is found in terms of both higher goodness of fit and the statistical significance of factor loadings. Interestingly, the earlier subperiod results highlight problems with the endogeneity of test assets in cross-sectional tests of multifactor models.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-15
      DOI: 10.3390/jrfm15030137
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 138: The Crowdfunding of Altruism

    • Authors: Luisa Faust, Maura Kolbe, Sasan Mansouri, Paul P. Momtaz
      First page: 138
      Abstract: This paper introduces a machine learning approach to quantify altruism from the linguistic style of textual documents. We apply our method to a central question in (social) entrepreneurship: How does altruism impact entrepreneurial success' Specifically, we examine the effects of altruism on crowdfunding outcomes in Initial Coin Offerings (ICOs). The main result suggests that altruism and ICO firm valuation are negatively related. We, then, explore several channels to shed some light on whether the negative altruism-valuation relation is causal. Our findings suggest that it is not altruism that causes lower firm valuation; rather, low-quality entrepreneurs select into altruistic projects, while the marginal effect of altruism on high-quality entrepreneurs is actually positive. Altruism increases the funding amount in ICOs in the presence of high-quality projects, low asymmetric information, and strong corporate governance.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-15
      DOI: 10.3390/jrfm15030138
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 139: Spatial Analysis and Modeling of the Housing
           Value Changes in the U.S. during the COVID-19 Pandemic

    • Authors: Xinba Li, Chihwa Kao
      First page: 139
      Abstract: COVID-19 has affected almost all sectors of the economy, including the real estate markets across different countries in the world. A rich body of literature has emerged in analyzing real estate market trends and revealing important information. However, few studies have used a spatial perspective to investigate the impact of COVID-19 on property values. The main purposes of this study are as follows: (1) to explore the spatial distribution and spatial patterns of housing price changes during the COVID-19 pandemic crisis in the U.S. real estate market and (2) to model the spatially nonstationary relationships between the housing price change and COVID-19 characteristics. We find that housing price changes differ across space and appear associated with the spatial distribution of the COVID-19 case rates. The housing market volatility is amplified by the uneven distribution of some socioeconomic factors. The spatially uneven housing price changes may bring an uneven spillover effect to the rest of the economy and lead to divergence in economic growth across different areas.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-15
      DOI: 10.3390/jrfm15030139
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 140: Monetization of the Economies as a Priority of
           the New Monetary Policy in the Face of Economic Sanctions

    • Authors: Svetlana Zenchenko, Wadim Strielkowski, Luboš Smutka, Tomáš Vacek, Yana Radyukova, Vladislav Sutyagin
      First page: 140
      Abstract: The purpose of this paper is to conduct a comparative analysis of monetization as a priority of the new monetary growth of the economies using the example of the Russian economy, identifying new trends in global practices of monetary factor management, as well as the search for ways to stimulate economic growth using the best international experience. Our paper tackles the novel research question of whether changing the priorities of monetary policy from targeting (and curbing) inflation to stimulating economic growth might yield more favorable economic results and what best world practices should be appropriately introduced in Russia to improve the effectiveness of monetary policy. The key results of the paper are focused on a comparative analysis of the economies’ development under the influence of monetary factors in comparison with the most progressive economies, the study of the best practices for increasing the monetization of national economies, and the identification of recommendations for determining the most optimal way to increase economic growth through the monetization of the economy. Monetarist views on the decisive role of fiat money in the development of the real sector of the economy, capital markets, payment and settlement systems, the standard of living of the population, and other important aspects of macro- and microeconomics have become the mainstream of government regulation. It seemed that by finding the right indicators of the relationship between interest rates, GDP, and inflation, all problems of economic growth could be solved. By increasing the amount of money faster than the achieved economic growth, it was believed that it was possible to stimulate GDP growth through monetary investments and credit, i.e., more money was issued than the value produced represented by the goods and services. Accordingly, new money that had no value had to create new value. We argue that monetization can be seen as the main factor in providing such incentives. Our results can be useful for central bankers, policymakers, and stakeholders in the banking and financial sector. The conclusions and recommendations of the authors are based on studies conducted using such research methods as content analysis, logical analysis, and statistical analysis.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-16
      DOI: 10.3390/jrfm15030140
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 141: Semiparametric Time-Series Model Using Local
           Polynomial: An Application on the Effects of Financial Risk Factors on
           Crop Yield

    • Authors: Syed Ejaz Ahmed, Dursun Aydin, Ersin Yilmaz
      First page: 141
      Abstract: This paper proposes a semiparametric local polynomial estimator for modelling agricultural time-series. We consider the modelling of the crop yield variable according to determined financial risk factors in Turkey. The derivation of a semiparametric local polynomial estimator is provided with its fundamental statistical properties to estimate the semiparametric time-series model. This paper attaches importance to precision agriculture (PA) and therefore a local polynomial technique is considered due to some advantages it has over alternative methods. The introduced estimator provides less estimation risk, involving both parametric and nonparametric components that allow the estimator to represent the data structure better. From that, it can be said that the proposed estimator and model is beneficial to agricultural researchers for financial decision-making processes.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-16
      DOI: 10.3390/jrfm15030141
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 142: A 3-Dimensional Frame of Reference for
           Prevention of Risk in Supply Chain

    • Authors: Han-Khanh Nguyen
      First page: 142
      Abstract: Businesses have to deal with many potential risks in the supply chain, especially during the COVID-19 pandemic. The retail market in Vietnam has great potential for long-term development with the birth and rapid development of domestic supermarkets. However, market opening policies have resulted in fierce competition from a large number of foreign supermarkets. At the same time, customers have become more professional in their approach to shopping and carefully consider any decisions about shopping and the use of services at supermarkets. In this study, the authors use three models (i.e., the SERVQUAL model, the binary logistic model, and the Grey model) corresponding to a three-dimensional frame of reference (i.e., past, present, and future) to provide supermarket managers with a multi-dimensional view of the supermarket business situation. The results identify four factors−namely, quality of goods, personnel, safety, and facilities and equipment−that significantly impact customer satisfaction. The second frame of reference shows that factors such as age, academic level, and income affect the decision to reuse any service at the supermarket. The third frame of reference provides supermarket managers with forecast data about the supermarket business situation for 2021 to 2024. These results provide a solid foundation for supermarket managers seeking to develop strategies and take measures to adjust business activities to achieve the best business efficiency and avoid potential risks in the company’s supply chain. In addition, the results of this study are valuable references for researchers in the fields of customer service, supply chain management, and customer behavior. In particular, the factors obtained in this study will greatly strengthen the scientific value of the service sector and the model of retail supermarkets in Vietnam and other countries around the world. In fact, the business strategy of supermarkets still depends on the spread of COVID-19. Therefore, in the future, it is necessary to combine the results of this study with the experience of managers to develop the right business strategies and achieve further results and sustainable development.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-16
      DOI: 10.3390/jrfm15030142
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 143: Optimal Control Strategies for the Premium
           Policy of an Insurance Firm with Jump Diffusion Assets and Stochastic
           Interest Rate

    • Authors: Dalila Guerdouh, Nabil Khelfallah, Josep Vives
      First page: 143
      Abstract: In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its cash-balance dynamics by regulating the underlying premium rate, the aim of the policy maker is to select an appropriate premium in order to minimize the total deviation of the state process to some pre-set target level. As a part of stochastic maximum principle approach, a verification theorem is used to fulfill this achievement.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-17
      DOI: 10.3390/jrfm15030143
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 144: Market Misreaction' Leverage and Mergers and

    • Authors: C. N. V. Krishnan, Vasiliy Yakimenko
      First page: 144
      Abstract: Using a large database of U.S. mergers and acquisitions (M&As) announced from 2010 through 2017, we examine the effects of capital ratio (leverage) on the announcement period stock price reaction as well as on longer-term stock returns and performance, for banks, making comparisons with non-banks. We compare announcement period reactions (computed in different ways) for lower (lower than sample median) capitalized banks and non-banks with that for higher capitalized banks and non-banks. We confirm our results using multivariate analyses—after controlling for year and industry fixed effects—and we check the associations of capital ratio with announcement period abnormal returns, longer-term performance, as well as certain bank-specific and non-bank specific performance measures. For banks, we find that a lower capital ratio of acquirers at the time of the announcement of the M&A is significantly associated with negative announcement period abnormal returns. However, for these banks, the longer-run abnormal returns and performance are positive. The opposite is true for non-bank M&A announcements: higher equity ratios (lower leverage) of acquirers as at the time of the announcement is significantly associated with negative announcement period abnormal returns. Yet, for such non-banks, the longer-run abnormal returns and performance are positive. This shows that the market may misreact, on average, to both bank and non-bank M&A announcements based on the acquirer’s leverage at the time of the announcement.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-18
      DOI: 10.3390/jrfm15030144
      Issue No: Vol. 15, No. 3 (2022)
  • JRFM, Vol. 15, Pages 145: Intended Use of IPO Proceeds and Survival of
           Listed Companies in Malaysia

    • Authors: Siti Sarah Alyasa-Gan, Norliza Che-Yahya
      First page: 145
      Abstract: In the context of Malaysian companies’ survival, the potential role of intended use of proceeds as an influential factor remains unfamiliar. This study examines the link between the intended use of IPO proceeds and the survival of 423 Malaysian listed companies over the period of 2000–2014. This study distinguishes the use of IPO proceeds into three segregations: growth opportunities, debt repayment, and working capital. Employing the Accelerated Failure Time (AFT) survival model, the overall evidence shows a statistically significant effect of the intended use of IPO proceeds for growth opportunities and debt repayment on companies’ post-IPO survival. Furthermore, company survival was found to be consistently improved when they allocated less than 50% of their IPO proceeds, regardless of the purposes (growth, repay debt or general). These results highlight the importance of the intended use of IPO proceeds on the survival of newly listed companies, and provide insights for policymakers on the management of IPO proceeds for long-term survival.
      Citation: Journal of Risk and Financial Management
      PubDate: 2022-03-18
      DOI: 10.3390/jrfm15030145
      Issue No: Vol. 15, No. 3 (2022)
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