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Artificial Intelligence Techniques for Bankruptcy Prediction of Tunisian Companies: An Application of Machine Learning and Deep Learning-Based Models Journal of Risk and Financial Management Pub Date : 2024-03-22 Manel Hamdi, Sami Mestiri, Adnène Arbi
The present paper aims to compare the predictive performance of five models namely the Linear Discriminant Analysis (LDA), Logistic Regression (LR), Decision Trees (DT), Support Vector Machine (SVM) and Random Forest (RF) to forecast the bankruptcy of Tunisian companies. A Deep Neural Network (DNN) model is also applied to conduct a prediction performance comparison with other statistical and machine
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The Index of the Cycle of Money: The Case of Switzerland Journal of Risk and Financial Management Pub Date : 2024-03-22 Constantinos Challoumis
This article focuses on the study of issues related to the functionality and structure of an economy. To achieve this, the theory of the cycle of money is used. The structural features of an economy are reflected in its operational characteristics, and vice versa. The index of the cycle of money indexes how well an economic system can counteract a financial crisis and characterizes how well structured
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On Correlation Aversion and Insurance Demand Journal of Risk and Financial Management Pub Date : 2024-03-23 Christos I. Giannikos, Andreas Kakolyris, Tin Shan (Michael) Suen
This is a study of decision problems under two-dimensional risk. We use an existing index of absolute correlation aversion to conveniently classify bivariate preferences, with respect to attitudes toward this risk. This classification seems to be more important than whether decision makers are correlation-averse or correlation-seeking for the study of insurance demand when a loss has a multidimensional
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Segmenting Bitcoin Transactions for Price Movement Prediction Journal of Risk and Financial Management Pub Date : 2024-03-21 Yuxin Zhang, Rajiv Garg, Linda L. Golden, Patrick L. Brockett, Ajit Sharma
Cryptocurrencies like Bitcoin have received substantial attention from financial exchanges. Unfortunately, arbitrage-based financial market price prediction models are ineffective for cryptocurrencies. In this paper, we utilize standard machine learning models and publicly available transaction data in blocks to predict the direction of Bitcoin price movement. We illustrate our methodology using data
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A New Proxy for Estimating the Roughness of Volatility Journal of Risk and Financial Management Pub Date : 2024-03-22 Qi Zhao, Alexandra Chronopoulou
In this paper, we propose a new proxy for the unobserved volatility process that will allow us to better understand and hence model a rough or persistent volatility. Starting with a stochastic volatility model with minimal assumptions on the volatility process, we calibrate the model to options’ data and their sensitivities to obtain an implied volatility process. Starting with this new proxy, we then
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Bank Crisis Boosts Bitcoin Price Journal of Risk and Financial Management Pub Date : 2024-03-22 Danilo Petti, Ivan Sergio
Bitcoin (BTC) represents an emerging asset class, offering investors an alternative avenue for diversification across various units of exchange. The recent global banking crisis of 9 March 2023 has provided an opportunity to reflect on how Bitcoin’s perception as a speculative asset may be evolving. This paper analyzes the volatility behavior of BTC in comparison to gold and the traditional financial
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Theoretical Foundation for Pricing Climate-Related Loss and Damage in Infrastructure Financing Journal of Risk and Financial Management Pub Date : 2024-03-22 Abderrahim Assab
This paper presents a novel theoretical framework for incorporating climate risks and adaptation investments into infrastructure debt pricing. Utilizing the Capital Asset Pricing Model (CAPM), the framework extends the conventional modeling of infrastructure project revenues and costs to include climate risk considerations. It proposes three climate-informed revenue and cost formulations: adjustmentment
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The Current and Expected Pricing Markup as Derived from the Capital Asset Pricing Model and Tobin’s Q and Applied to the UK’s FTSE 100 Journal of Risk and Financial Management Pub Date : 2024-03-20 Paul Hackworth
Price markups and firms’ Tobin’s Q ratios are widely believed to have been increasing in the past several decades. Various models for the calculation of price markups have been developed, each relying on the historically held definition of the ratio of price to marginal cost; however, all of these have methodological drawbacks, and some of the results they have produced have been poorly reflective
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The Impact of CEO Characteristics on the Financial Performance of Family Businesses Listed in the Euronext Exchange Journal of Risk and Financial Management Pub Date : 2024-03-21 Zouhour El Abiad, Rebecca Abraham, Hani El-Chaarani, Yahya Skaf, Ruaa Omar Binsaddig, Syed Hasan Jafar
This paper identifies the CEO characteristics that have an impact on the performance of family businesses listed in the Euronext in the post-COVID 19 period. CEO characteristics are evaluated on two dimensions, i.e., personal characteristics and corporate governance mechanisms. A sample of 137 firm-year observations from Portugal, Luxembourg, the Netherlands, Ireland, France, and Belgium was chosen
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Empirical Distribution of the U.S. Housing Market during the Great Recession: Nonlinear Scaling Behavior after a Major Crash Journal of Risk and Financial Management Pub Date : 2024-03-21 Fotios M. Siokis
This study focuses on the real estate bubble burst in the US housing market during 2007–2008. We analyze the dynamics of the housing market crash and the after-crash sequence during the Great Recession. When a complex system deviates away from its typical path by the occurrence of an extreme event, its behavior is strongly characterized as nonstationary with higher volatility. With the utilization
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Gold Smuggling in India and Its Effect on the Bullion Industry Journal of Risk and Financial Management Pub Date : 2024-03-18 Maria Immanuvel Susai, Lazar Daniel
This study strives to examine when and where most of the gold smuggling takes place in India. It further analyses the causal relationship between smuggled gold and other macroeconomic variables. Finally, it analyses how the smuggled gold affects the Indian bullion industry. The data related to gold smuggling has been sourced from the website of the Directorate Revenue Intelligence and analysed using
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Analyzing Portfolio Optimization in Cryptocurrency Markets: A Comparative Study of Short-Term Investment Strategies Using Hourly Data Approach Journal of Risk and Financial Management Pub Date : 2024-03-20 Sonal Sahu, José Hugo Ochoa Vázquez, Alejandro Fonseca Ramírez, Jong-Min Kim
This paper investigates portfolio optimization methodologies and short-term investment strategies in the context of the cryptocurrency market, focusing on ten major cryptocurrencies from June 2020 to March 2024. Using hourly data, we apply the Kurtosis Minimization methodology, along with other optimization strategies, to construct and assess portfolios across various rebalancing frequencies. Our empirical
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Trade Agreements and Financial Market Integration in Latin America and the US Journal of Risk and Financial Management Pub Date : 2024-03-20 Obed Fernando Izaguirre, Seungho Shin, Duygu Zirek
The primary objective of this study is to examine the extent of financial integration between Latin American and US financial markets, particularly in light of recent efforts to foster integration through trade agreements. Spanning from 1 January 1990 to 31 December 2019, the sample focuses on major market indices and key sectors. Financial integration is quantified using a DCC multivariate GARCH model
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The Moderating Role of Corporate Governance on the Associations of Internal Audit and Its Quality with the Financial Reporting Quality: The Case of Yemeni Banks Journal of Risk and Financial Management Pub Date : 2024-03-19 Nabil Ahmed Mareai Senan
This study investigates the moderating effect of corporate governance on the associations of the internal audit and quality of the internal audit with the quality of financial reporting among commercial banks in the Republic of Yemen. The final sample includes 210 internal auditors, heads of internal auditors, chairpersons, and members of audit committees. Using a survey-based methodology, the results
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Renewable Energy Stocks’ Performance and Climate Risk: An Empirical Analysis Journal of Risk and Financial Management Pub Date : 2024-03-18 Lingyu Li, Xianrong Zheng, Shuxi Wang
This article studies the relationship between renewable energy stocks’ performance and climate risk. It shows that publicly held renewable energy stocks underperform as a reaction to climate policy information releases, modeled by feed-in tariff (FIT) legislation announcements. The study examined stock price behaviors 2 days before and 30 days after FIT policy announcements. The stock sample used in
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Predicting Risk of and Motives behind Fraud in Financial Statements of Jordanian Industrial Firms Using Hexagon Theory Journal of Risk and Financial Management Pub Date : 2024-03-15 Ahmad Ahed Bader, Yousef A. Abu Hajar, Sulaiman Raji Sulaiman Weshah, Bisan Khalil Almasri
This study intends to identify the motives that lead to increasing or fighting the fraud risk in the Financial Statements (FSs) of industrial companies whose shares are traded in regulated and unregulated markets at the Amman Stock Exchange (ASE) based on the Hexagon theory, which divides the motives for fraud into six factors. The study relied on secondary data to collect and measure the study variables
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The Benefits of Workforce Well-Being on Profitability in Listed Companies: A Comparative Analysis between Europe and Mexico from an ESG Investor Perspective Journal of Risk and Financial Management Pub Date : 2024-03-14 Oscar V. De la Torre-Torres, Francisco Venegas-Martínez, José Álvarez-García
This paper evaluates the relationship between investing in workforce well-being and profitability of listed companies in Mexico compared to European companies from an Environmental, Social, and Governance (ESG) investor perspective. In this case, the Refinitiv workforce score or High-Performance Work Policies (HPWP) is used as an indicator of the quality of workforce well-being by including the industry
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Analysis of Long-Term Bond Yields Using Deviations from Covered Interest Rate Parity Journal of Risk and Financial Management Pub Date : 2024-03-13 Gab-Je Jo
In this study, the impact of arbitrage resulting from Covered Interest Parity (CIP) deviations on Korea’s long-term interest rates was analyzed, utilizing Vector Error Correction (VEC) models for Granger Causality and Impulse Response Function analyses. This analysis covered the period from February 2002 to September 2023, with a comparative analysis of the periods before and after the Global Financial
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Bank Loan Loss Provision Determinants in Non-Crisis Years: Evidence from African, European, and Asian Countries Journal of Risk and Financial Management Pub Date : 2024-03-12 Peterson K. Ozili
Loan loss provision is an important accounting accrual in the banking sector. There have been numerous debates about the determinants of loan loss provision in several contexts. This study extends the debate by investigating the determinants of bank loan loss provision in non-crisis years for 28 countries from 2011 to 2018. The non-crisis years cover the periods after the global financial crisis and
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Macroeconomic Shocks and Economic Performance in Malaysia: A Sectoral Analysis Journal of Risk and Financial Management Pub Date : 2024-03-12 Willem Thorbecke
Many shocks, including COVID-19, wars, inflation, contractionary U.S. monetary policy, and oil price hikes, have recently buffeted the world economy. The literature has reported mixed results concerning how these shocks impact Malaysian stock returns. Some studies found that U.S. monetary policy mattered for Malaysia, while others reported that it did not. This paper, employing two U.S. monetary policy
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The Relation between CEO-Friendly Boards and the Value of Cash Holdings Journal of Risk and Financial Management Pub Date : 2024-03-11 Hoontaek Seo, Sangho Yi, Qing Yang, William McCumber
Our study investigates how CEO-friendly boards influence the value and utilization of cash resources. In this paper, we analyze two conflicting views on CEO-friendly boards and their impact on corporate cash holdings: one view posits that such boards might be too lenient, fostering managerial moral hazard problem, while the other contends that they encourage CEOs to share information, despite CEOs
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Asymmetric Effects of Economic Policy Uncertainty on Food Security in Nigeria Journal of Risk and Financial Management Pub Date : 2024-03-11 Lydia N. Kotur, Goodness C. Aye, Josephine B. Ayoola
This study investigates the asymmetric effects of economic policy uncertainty (EPU) on food security in Nigeria, utilizing annual time series data from 1970 to 2021. The study used descriptive statistics, unit root tests, the nonlinear autoregressive distributed lag (NARDL) model and its associated Bounds tests to analyze the data. The analysis reveals that adult population, environmental degradation
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Impacts of the Expected Credit Loss Model on Pro-Cyclicality, Earnings Management, and Equity Management in the Portuguese Banking Sector Journal of Risk and Financial Management Pub Date : 2024-03-09 Miguel Resende, Carla Carvalho, Cecília Carmo
This article delves into the pro-cyclicality of loan loss provisions (LLPs) and earnings management, along with equity management, in Portuguese banks against the backdrop of implementing the IFRS 9’s expected credit loss (ECL) model. It concentrates on how LLPs mirror economic cycles and financial management practices, providing valuable insights into the operational dynamics of the Portuguese banking
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A Bibliometric Analysis of Borrowers’ Behavior Journal of Risk and Financial Management Pub Date : 2024-03-09 Douglas Mwirigi, Mária Fekete-Farkas, Zoltán Lakner
Understanding borrowers’ behavior is essential in making lending decisions, strengthening financial inclusion, and alleviating poverty. This research adopts a bibliometric approach to provide an overview of the borrower’s behavior relative to the selected literature. Bibliometric analysis quantifies the impact and quality of scientific production. This study reviewed 989 articles obtained from SCOPUS
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FinTech and Financial Inclusion: Exploring the Mediating Role of Digital Financial Literacy and the Moderating Influence of Perceived Regulatory Support Journal of Risk and Financial Management Pub Date : 2024-03-07 Muhammed Basid Amnas, Murugesan Selvam, Satyanarayana Parayitam
Exploring the potential of financial technology (FinTech) to promote financial inclusion is the aim of this research. This study concentrated on understanding why people use FinTech and how it affects their access to financial services by taking into account the mediating role of digital financial literacy and the moderating effect of perceived regulatory support. This study used partial least squares
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Evaluation of Weather Yield Index Insurance Exposed to Deluge Risk: The Case of Sugarcane in Thailand Journal of Risk and Financial Management Pub Date : 2024-03-07 Thitipong Kanchai, Wuttichai Srisodaphol, Tippatai Pongsart, Watcharin Klongdee
Insurance serves as a mechanism to effectively manage and transfer revenue-related risks. We conducted a study to explore the potential financial advantages of index insurance, which protects agricultural producers, specifically sugarcane, against excessive rainfall. Creation of the index involved utilizing generalized additive regression models, allowing for consideration of non-linear effects and
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The Investigation of Preference Attributes of Indonesian Mobile Banking Users to Develop a Strategy for Mobile Banking Adoption Journal of Risk and Financial Management Pub Date : 2024-03-07 Toto Edrinal Sebayang, Dedi Budiman Hakim, Toni Bakhtiar, Dikky Indrawan
A new normal has been established as a result of the effects of the COVID-19 pandemic on social behavior, technology, and business. This has a significant effect on how technology is used, such as mobile banking services, which offer more hygienic and secure payment alternatives than cash. Mobile banking has been viewed as having the ability to enhance access to unbanked customers in developing economies
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Financial Inclusion and Its Ripple Effects on Socio-Economic Development: A Comprehensive Review Journal of Risk and Financial Management Pub Date : 2024-03-03 Deepak Mishra, Vinay Kandpal, Naveen Agarwal, Barun Srivastava
This study provides an overview of the different dimensions of financial inclusion, its socioeconomic impacts on society’s sustainable development, and future research agendas. Initially, 620 studies were identified using Scopus and other databases, employing keywords such as financial literacy, financial inclusion, financial capability, women’s empowerment, fintech, artificial intelligence, financial
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Predictive Power of Random Forests in Analyzing Risk Management in Islamic Banking Journal of Risk and Financial Management Pub Date : 2024-03-01 Ahmet Faruk Aysan, Bekir Sait Ciftler, Ibrahim Musa Unal
This study utilizes the random forest technique to investigate risk management practices and concerns in Islamic banks using survey data from 2016 to 2021. Findings reveal that larger banks provide more consistent survey responses, driven by their confidence and larger survey budgets. Moreover, a positive link is established between a country’s development, characterized by high GDPs and low inflation
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Long-Term Orientation and Tax Avoidance Regulations Journal of Risk and Financial Management Pub Date : 2024-03-01 Katarzyna Bilicka, Danjue Clancey-Shang, Yaxuan Qi
In this paper, we explore the relationship between the culture of the country where a multinational corporation (MNC) is headquartered and the MNC’s stock market reaction to tax avoidance regulations. Specifically, we examine the different responses of MNCs following the implementation of the 2010 UK reform that restricted profit shifting for a specific group of firms. We find that, in countries with
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The Impact of Non-Interest Income on Commercial Bank Profitability in the Middle East and North Africa (MENA) Region Journal of Risk and Financial Management Pub Date : 2024-03-01 Bashar Abu Khalaf, Antoine B. Awad, Scott Ellis
This study examines the effects of non-interest income on bank performance in the Middle East and North Africa (MENA) region, addressing existing research gaps and conflicting results. The analysis is based on data from 40 banks (5 banks from each country) operating in Bahrain, Egypt, Jordan, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates between 2010 and 2022. Using correlation analysis
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On Comparing and Assessing Robustness of Some Popular Non-Stationary BINAR(1) Models Journal of Risk and Financial Management Pub Date : 2024-02-28 Yuvraj Sunecher, Naushad Mamode Khan
Intra-day transactions of stocks from competing firms in the financial markets are known to exhibit significant volatility and over-dispersion. This paper proposes some bivariate integer-valued auto-regressive models of order 1 (BINAR(1)) that are useful to analyze such financial series. These models were constructed under both time-variant and time-invariant conditions to capture features such as
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Bibliometric Framing of Research Trends Regarding Public Sector Auditing to Fight Corruption and Prevent Fraud Journal of Risk and Financial Management Pub Date : 2024-02-22 Diana-Sabina Branet, Camelia-Daniela Hategan
Combating corruption is an important objective of the United Nations Sustainable Development Group, with the aim of helping public institutions to act in the interest of citizens. To ensure this objective is met, the spending of public money is controlled by the supreme audit institutions of each country. The objective of this paper is to identify trends in and approaches to the field of auditing in
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Enhancing Predictive Accuracy through the Analysis of Banking Time Series: A Case Study from the Amman Stock Exchange Journal of Risk and Financial Management Pub Date : 2024-02-25 S. Al Wadi, Omar Al Singlawi, Jamil J. Jaber, Mohammad H. Saleh, Ali A. Shehadeh
This empirical research endeavor seeks to enhance the accuracy of forecasting time series data in the banking sector by utilizing data from the Amman Stock Exchange (ASE). The study relied on daily closed price index data, spanning from October 2014 to December 2022, encompassing a total of 2048 observations. To attain statistically significant results, the research employs various mathematical techniques
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Operational Risk Management in Banks: A Bibliometric Analysis and Opportunities for Future Research Journal of Risk and Financial Management Pub Date : 2024-02-22 Barkha Jadwani, Shilpa Parkhi, Pradip Kumar Mitra
The last few years have witnessed tremendous challenges in the management of operational risks faced by banks and the emergence of newer risks. The working models for bank staff are now different; additionally, there has been a massive increase in the digitization level. All these aspects make operational risk management in banks an attractive field of study. There is a need to perform systematic bibliometric
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How Australia Has Been Affected by US Monetary and Fiscal Policies: 1960 to 2022 Journal of Risk and Financial Management Pub Date : 2024-02-23 Jonathan Leightner
This paper uses Reiterative Truncated Projected Least Squares to estimate the effects of US monetary and fiscal policy on Australia using quarterly data between 1960 and 2022. When Australia had a fixed exchange rate (1960–1983), both US fiscal and monetary policies were positively correlated with Australia’s GDP, which fits the predictions of a small-country IS/LM/BP model with relatively immobile
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Exploring the Relationship between Corporate Governance, Corporate Social Responsibility and Financial and Non-Financial Reporting: A Study of Large Companies in Greece Journal of Risk and Financial Management Pub Date : 2024-02-23 Foteini I. Pagkalou, Christos L. Galanos, Eleftherios I. Thalassinos
Academics and professionals alike are highly interested in Corporate Social Responsibility (CSR), Corporate Governance (CG), environmental, social, and governance (ESG) and corporate non-financial reporting (CNFR) and how they can improve a brand’s reputation, financial efficiency, and sustainability within businesses and organisations. The main objective of our study was to examine whether the financial
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Revisiting Stock Market Index for the Helsinki Stock Exchange 1912–1981 Journal of Risk and Financial Management Pub Date : 2024-02-20 Mika Vaihekoski
Stock market indices play a central role in portfolio and risk management and performance evaluation, as well as academic research. This paper presents a fully updated and extended stock market index for the Finnish stock market using new and updated historical databases that cover the period from the establishment of the Helsinki Stock Exchange in October 1912 to the end of 1981. In addition to the
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Exploring Competence-Based Synergism in Strategic Collaborations: Evidence from the Global Healthcare Industry Journal of Risk and Financial Management Pub Date : 2024-02-21 Andrejs Čirjevskis
One of the most essential issues in business partners’ collaboration is whether the integration of their businesses creates a collaborative synergy and adds market value to merging companies. This paper aims to develop a methodological framework that will be convenient for managerial praxis and helpful for scholars’ research in forecasting explicit synergy and valuing tacit synergy in strategic collaborations
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Family Ownership, Corporate Governance Quality and Tax Avoidance: Evidence from an Emerging Market—The Case of Jordan Journal of Risk and Financial Management Pub Date : 2024-02-18 Mohammad I. Almaharmeh, Ali Shehadeh, Hani Alkayed, Mohammad Aladwan, Majd Iskandrani
This study examines the impact of family ownership on tax avoidance decisions. This study further investigates the effects of corporate governance quality on the relationship between family ownership and tax avoidance. We construct a sample of non-financial firms listed on the ASE for the period 2015–2021. The results demonstrate that family-owned firms have high levels of tax avoidance. This result
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Determinants of Behavioral Intention to Use Digital Payment among Indian Youngsters Journal of Risk and Financial Management Pub Date : 2024-02-18 Arif Hasan, Priyanka Sikarwar, Arun Mishra, Sandeep Raghuwanshi, Abhishek Singhal, Astha Joshi, Prashant Raj Singh, Abhilasha Dixit
In the current study, we sought to construct an integrated model to identify various elements and evaluate the impact of these identified factors on customers’ behavioral intention to use or not use specific M-wallets for payment. To this end, we proposed and validated a conceptual model. In all, 600 questionnaires were distributed, and 482 responses were deemed usable. Structural equation modeling
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Tax Compliance in Slovenia: An Empirical Assessment of Tax Knowledge and Fairness Perception Journal of Risk and Financial Management Pub Date : 2024-02-20 Lidija Hauptman, Berislav Žmuk, Ivana Pavić
Complex tax systems can result in tax evasion, which further impacts the revenues necessary to achieve sustainable development goals. Enhancing taxpayer education, tax knowledge, and tax fairness perception is essential for boosting revenues to support societal sustainability. The aim of this study was to assess the levels of tax knowledge and tax fairness perception within the Slovene taxpayer population
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Algorithm-Based Low-Frequency Trading Using a Stochastic Oscillator and William%R: A Case Study on the U.S. and Korean Indices Journal of Risk and Financial Management Pub Date : 2024-02-20 Chan Kyu Paik, Jinhee Choi, Ivan Ureta Vaquero
Using stochastics in stock market analysis is widely accepted for index estimation and ultra-high-frequency trading. However, previous studies linking index estimation to actual trading without applying low-frequency trading are limited. This study applied William%R to the existing research and used fixed parameters to remove noise from stochastics. We propose contributing to stock market stakeholders
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Impact of the Environmental, Social, and Governance Rating on the Cost of Capital: Evidence from the S&P 500 Journal of Risk and Financial Management Pub Date : 2024-02-20 Dietmar Ernst, Florian Woithe
We use the S&P 500 to investigate whether companies with a good ESG score benefit from a lower cost of capital. Using Bloomberg’s financial data and MSCI’s ESG score for 498 companies, we calculated the measures of descriptive statistics, finding that companies with better ESG ratings enjoy both a lower cost of equity and a lower cost of debt. However, their WACC shows no improvement with a higher
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Testing of Portfolio Optimization by Timor-Leste Portfolio Investment Strategy on the Stock Market Journal of Risk and Financial Management Pub Date : 2024-02-18 Fernando Anuno, Mara Madaleno, Elisabete Vieira
An efficient and effective portfolio provides maximum return potential with minimum risk by choosing an optimal balance among assets. Therefore, the objective of this study is to analyze the performance of optimized portfolios in minimizing risk and achieving maximum returns in the dynamics of Timor-Leste’s equity portfolio in the international capital market for the period from January 2006 to December
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On the Realized Risk of Foreign Exchange Rates: A Fractal Perspective Journal of Risk and Financial Management Pub Date : 2024-02-18 Masoumeh Fathi, Klaus Grobys, James W. Kolari
While well-established literature argues that realized variances are close to a lognormal distribution, this study follows Benoit Mandelbrot by taking a fractal perspective. Using power laws to model realized foreign exchange rate variances, our findings indicate that power laws offer an alternative to the lognormal in terms of goodness-of-fit tests. Further, our analysis shows that estimated power
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Analysing the Impact of Crises on Financial Performance: Empirical Insights from Tourism and Transport Companies Listed on the Bucharest Stock Exchange (during 2005–2022) Journal of Risk and Financial Management Pub Date : 2024-02-18 Mihaela Neacșu, Iuliana Eugenia Georgescu
To adapt to the business environment, organisations adhere to management strategies capable of removing the effects of negative events, transforming themselves into resilient organisations. Physical and mental difficulties are the consequences of recent corporate developments, and protecting these organisations is a significant concern for managers. Using regression analysis of panel data, we evaluate
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Quantifying Risk in Investment Decision-Making Journal of Risk and Financial Management Pub Date : 2024-02-18 Jaheera Thasleema Abdul Lathief, Sunitha Chelliah Kumaravel, Regina Velnadar, Ravi Varma Vijayan, Satyanarayana Parayitam
In the wake of inflation, investors engage in identifying inflation hedging instruments. Most importantly, investors attempt to minimize risk and maximize returns to safeguard against inflation. Risk plays an important role in this process. The objective of this research is to examine the relationship between risk factors and investor behavior, particularly in the Indian context. Based on the theory
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Penalized Bayesian Approach-Based Variable Selection for Economic Forecasting Journal of Risk and Financial Management Pub Date : 2024-02-18 Antonio Pacifico, Daniela Pilone
This paper proposes a penalized Bayesian computational algorithm as an improvement to the LASSO approach for economic forecasting in multivariate time series. Methodologically, a weighted variable selection procedure is involved in handling high-dimensional and highly correlated data, reduce the dimensionality of the model and parameter space, and then select a promising subset of predictors affecting
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The Impact of Crime against a Person on Domestic Investment in Dubai Journal of Risk and Financial Management Pub Date : 2024-02-18 Hatem Adela, Wadeema Aldhaheri
The rise in crime against a person in rapidly growing cities poses significant risks to societies and economies, affecting both microeconomic and macroeconomic aspects. This trend could potentially deter economic performance and domestic investment. Consequently, this study aims to analyze the impact of crime against a person on domestic investment in Dubai spanning 1989–2021. Dubai is considered an
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How Consideration of Future Consequences, Prior Gain or Loss, Personal Risk Profile, and Justification Affect Risk–Payoff Preferences Journal of Risk and Financial Management Pub Date : 2024-02-18 W. Eric Lee
This study examines (1) how risk–payoff preference can be affected by differences in consideration of future consequences (CFC), prior gain/loss, and personal risk profile, and (2) whether one’s risk–payoff preference may vary with justification prompts. Using an experimental design with 366 undergraduate business students, participants are tasked to make risk–payoff choices in two scenarios, with
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Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options Journal of Risk and Financial Management Pub Date : 2024-02-18 Masaru Tsuruta
This study analyzes the term structures of sovereign quanto credit default swap (CDS) spreads and currency options, which are driven by anticipated currency depreciation risk following sovereign credit default (Twin Ds). We develop consistent pricing models for these instruments using a jump-diffusion stochastic volatility model, which allows us to decompose the term structure into the risk components
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How Does the Exchange Rate and Its Volatility Influence FDI to Canada? A Disaggregated Analysis Journal of Risk and Financial Management Pub Date : 2024-02-18 Hooman Lajevardi, Murshed Chowdhury
This study investigates the relationship between the real effective exchange rate (REER) and its volatility with the net inflow of foreign direct investment (FDI) to Canada, placing a novel emphasis on sector-level analysis. The study utilizes time series data from 2007 to 2022 and employs the autoregressive distributed lag (ARDL) approach to assess short-run and long-run relationships between the
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Volatility and Herding Bias on ESG Leaders’ Portfolios Performance Journal of Risk and Financial Management Pub Date : 2024-02-16 Nektarios Gavrilakis, Christos Floros
We here analyze the factor loadings given by the CAPM, the Fama–French three (FF3), and the five-factor model (FF5), and test the performance and the validity of adding two more factors (volatility and dispersion of returns) to the FF5 factor model of European index-based ESG leaders’ portfolios. Our ESG leaders’ portfolios generated significant negative alphas during 2012–2022, corroborating the literature’s
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Almost Perfect Shadow Prices Journal of Risk and Financial Management Pub Date : 2024-02-10 Eberhard Mayerhofer
Shadow prices simplify the derivation of optimal trading strategies in markets with transaction costs by transferring optimization into a more tractable, frictionless market. This paper establishes that a naïve shadow price ansatz for maximizing long-term returns, given average volatility yields a strategy that is, for small bid–ask spreads, asymptotically optimal at the third order. Considering the
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Triple Entry Accounting Journal of Risk and Financial Management Pub Date : 2024-02-14 Ian Grigg
Classical double entry accounting has provided the foundation for accounting within the firm for many centuries. The digitally signed receipt, an innovation from financial cryptography, gives rise to exactly duplicated entries for each of 3 parties or roles, the outcome of which we call triple entry accounting. This presents a challenge to double entry bookkeeping by expanding the use of accounting
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Multi-Layer Perceptron-Based Classification with Application to Outlier Detection in Saudi Arabia Stock Returns Journal of Risk and Financial Management Pub Date : 2024-02-10 Khudhayr A. Rashedi, Mohd Tahir Ismail, Sadam Al Wadi, Abdeslam Serroukh, Tariq S. Alshammari, Jamil J. Jaber
We aim to detect outliers in the daily stock price indices from the Saudi Arabia stock exchange (Tadawul) with 2026 observations from October 2011 to December 2019 provided by the Saudi Authority for Statistics and the Saudi Central Bank. We apply the Multi-Layer Perceptron (MLP) algorithm for detecting outliers in stock returns. We select the inflation rate (Inflation), oil price (Loil), and repo
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Do Consumption-Based Asset Pricing Models Explain the Dynamics of Stock Market Returns? Journal of Risk and Financial Management Pub Date : 2024-02-11 Michael William Ashby, Oliver Bruce Linton
We show that three prominent consumption-based asset pricing models—the Bansal–Yaron, Campbell–Cochrane and Cecchetti–Lam–Mark models—cannot explain the dynamic properties of stock market returns. We show this by estimating these models with GMM, deriving ex-ante expected returns from them and then testing whether the difference between realised and expected returns is a martingale difference sequence
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The New Normalcy and the Pandemic Threat: A Real Option Approach Journal of Risk and Financial Management Pub Date : 2024-02-12 Pasquale Lucio Scandizzo, Odin K. Knudsen
This paper delves into the evolving post-pandemic business arena, focusing on how liability options and social norms are reshaping industry structures. We anticipate lasting transformations due to the emergence of new safety standards that bridge the gap between corporate interests and societal welfare. To foster these changes, effective post-lockdown economic policies could encompass not only rigorous
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Analyzing the Factors That Affect Auditor’s Judgment and Decision Making in Lebanese Audit Firms Journal of Risk and Financial Management Pub Date : 2024-02-12 Bilal Adel Moustafa Abdallah, Mohamed Gaber Ghanem, Wagdi Hamed Hijazi
The exercise of audit judgment is essential because it is impractical to perform an audit on all types of evidence. These types of evidence are considered in forming an opinion on audited financial statements, making audit judgment a determinant of the audit’s outcome. The objective of this research is to analyze the factors that affect an auditor’s judgment and decision making (JDM) during an audit