Bankers, Markets & Investors最新文献_第2页

The Determinants of Equity Lines Financing: An International Study 股权额度融资的决定因素:一项国际研究

Bankers, Markets & Investors Pub Date : 2022-12-22 DOI: 10.54695/bmi.171.8461

Ilias Annaoui, Pascal Barneto

引用次数: 0

Dynamic interactions between the bitcoin price index and widely traded financial assets: evidence from the recent covid-19 crisis 比特币价格指数与广泛交易的金融资产之间的动态相互作用:来自最近covid-19危机的证据

Bankers, Markets & Investors Pub Date : 2022-05-22 DOI: 10.54695/bmi.170.4185

W. Kammoun, Manel Ben Aissa

{"title":"Dynamic interactions between the bitcoin price index and widely traded financial assets: evidence from the recent covid-19 crisis","authors":"W. Kammoun, Manel Ben Aissa","doi":"10.54695/bmi.170.4185","DOIUrl":"https://doi.org/10.54695/bmi.170.4185","url":null,"abstract":"We investigate the connectedness between the Bitcoin Price Index (BPI) and widelytraded financial assets from a variety of markets (equities, bonds, commoditiesand fiat currency). Using daily data from 5 August 2013 to 31 August 2021 (beforeand during the COVID-19 crisis), we run the VAR model estimation to investigateany connectedness between the BPI and financial assets, followed by the Grangercausality test. We then test Diebold and Yilmaz’s (2012) framework to analyse thespillover effects among our set of variables. Our empirical results provide strongevidence that the BPI index exhibits significant independence from widely tradedfinancial assets. This independence is less pronounced during the COVID-19 crisis,but remains relatively important. To test whether Bitcoin constitutes a relevantdiversification vehicle, we compute the Sharpe portfolio performance index of twoportfolios of conventional assets with and without the BPI, before and during theCOVID-19 crisis. Our results show that the introduction of the BPI index as a diversificationasset does not improve portfolio performance. Overall, our empiricalfindings are robust to different robustness tests and provide several implicationsfor hedgers, portfolio managers and policymakers.","PeriodicalId":142010,"journal":{"name":"Bankers, Markets & Investors","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114305222","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Dynamics of Contagion and Behavior of the Euro Area Sovereign Bond Markets 欧元区主权债券市场的传染动态和行为

Bankers, Markets & Investors Pub Date : 2022-05-22 DOI: 10.54695/bmi.170.6938

Oussama Kchaou, Salim Ben Sassi, M. Bellalah

{"title":"The Dynamics of Contagion and Behavior of the Euro Area Sovereign Bond Markets","authors":"Oussama Kchaou, Salim Ben Sassi, M. Bellalah","doi":"10.54695/bmi.170.6938","DOIUrl":"https://doi.org/10.54695/bmi.170.6938","url":null,"abstract":"We investigate the contagion dynamics in the main Economic and Monetary Union sovereign bond markets during the subprime and euro crises. To this end, we adopt the APARCH-ADCC model and the Markov Switching Dynamic Regression model. The impact of both crises on each country in our sample is investigated using two crisis indicators: synchronization and intensity. The empirical results show that contagious episodes and their intensities vary over time and across market pairs for both crises, thus illustrating the complexity of this phenomenon. They also reveal that the market couples composed of the Economic and Monetary Union peripheral countries were immune to the contagion of the subprime crisis and that its third phase was the most violent in terms of the intensity of the transmission of shocks. Moreover, the results show that all the countries in our sample were affected by contagion from the euro crisis, at least during one of its sub-phases. Furthermore, before the first rescue plan for the Hellenic economy, our methodology detected a contagion effect stemming from Italy, Spain, and Portugal, while intuitively one could have imagined this phenomenon coming solely from the Greek sovereign market. Finally, the analysis of the synchronization and intensity variables provides evidence of a « multi-speed Economic and Monetary Union », refuting the notion of uniform integration of the euro area sovereign bond markets. We believe that it is necessary to complete the institutional architecture of the Economic and Monetary Union to make it more resilient to shocks.","PeriodicalId":142010,"journal":{"name":"Bankers, Markets & Investors","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124464556","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

CSR Disclosure and Information Asymmetry: The Role of Financial Reporting Quality 企业社会责任披露与信息不对称:财务报告质量的作用

Bankers, Markets & Investors Pub Date : 2022-05-22 DOI: 10.54695/bmi.170.4634

J. Viviani, Lionel Touchais, Lan-Phuong Nguyen

引用次数: 0

Prof Banking development and corporate innovation 教授银行业发展与企业创新

Bankers, Markets & Investors Pub Date : 2022-05-22 DOI: 10.54695/bmi.170.4793

Zied Ftiti

引用次数: 0

Time-Varying Financial Performance of Green and Traditional Energy Indices with Special Reference to the Covid-19 Context 绿色和传统能源指数的时变财务绩效——特别参考Covid-19背景

Bankers, Markets & Investors Pub Date : 2021-10-27 DOI: 10.54695/bmi.166.6714

Pascal Alphonse, David Bourghelle, Fredj Jawadi, P. Rozin

{"title":"Time-Varying Financial Performance of Green and Traditional Energy Indices with Special Reference to the Covid-19 Context","authors":"Pascal Alphonse, David Bourghelle, Fredj Jawadi, P. Rozin","doi":"10.54695/bmi.166.6714","DOIUrl":"https://doi.org/10.54695/bmi.166.6714","url":null,"abstract":"This paper comparatively investigates the financial performance of traditional and green energy indices from 2010 up to the current context of Covid-19. In particular, we analyze whether the green finance index supplants the traditional class of energy indices and examine whether consideration of a green index could provide a useful hedging solution in the specific context of Covid-19, a situation marked by a significant health risk and high volatility in the energy sector. Accordingly, we estimate different performance ratios and present some interesting findings. In particular, we find evidence of volatility and time variation in the market beta, suggesting that, whether conventional or green, energy sector sensitivity in fact depends on the market state (bear versus bull). Further, financial performance appears to be time varying and regime-dependent. Indeed, the conventional energy sector outperforms in a bear market, while the green index shows stronger financial performance in a bull market. These results are of interest for both investors and portfolio managers, helping them to balance their investments and optimize their portfolios according to the state of the market or the price regime.","PeriodicalId":142010,"journal":{"name":"Bankers, Markets & Investors","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129730811","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

How to re-conceptualise and re-integrate climate-related finance into society through ecological accounting? 如何通过生态核算将气候相关金融重新概念化并重新融入社会?

Bankers, Markets & Investors Pub Date : 2021-10-27 DOI: 10.54695/bmi.166.3366

Alexandre J M Rambaud, Hugues Chenet

引用次数: 1

Factor Investing and ESG in the corporate bond market before and during the COVID-19 crisis COVID-19危机前和危机期间公司债券市场的要素投资和ESG

Bankers, Markets & Investors Pub Date : 2021-10-27 DOI: 10.54695/bmi.165.6706

M. Ben Slimane, Jean-Marie Dumas, Takaya Sekine

引用次数: 1

Continuous innovation in factor credit strategies 持续创新要素信贷策略

Bankers, Markets & Investors Pub Date : 2021-10-27 DOI: 10.54695/bmi.165.6707

P. Houweling, Frederik Muskens, ROBBERT-JAN ‘T HOEN

{"title":"Continuous innovation in factor credit strategies","authors":"P. Houweling, Frederik Muskens, ROBBERT-JAN ‘T HOEN","doi":"10.54695/bmi.165.6707","DOIUrl":"https://doi.org/10.54695/bmi.165.6707","url":null,"abstract":"There is an large body of academic literature that documents the existence of factor premiums that enable investors to construct portolios that generate better risk-adjusted returns than passive investing. To ensure that such factor-based investment strategies continue to deliver on their objectives, continuous innovation is required, for example by further enhancing factor definitions and investment processes and investigating alternative sources of data. In this article we show two examples of recent innovations in the field of factor investing for corporate bonds.In the first study, we document how factors can be successfully applied to hard-currency emerging market credits. Size, low-risk, value and momentum factor portfolios outperform the emerging market credit universe on a risk-adjusted basis, for example shown by higher Sharpe ratios. A multi-factor portfolio moreover benefits from diversification between the individual factors and obtains the highest information ratio. The factor portfolios benefit from bottom-up allocations to countries as well as from bond selection within these countries. Analysing the break-even transaction costs shows that these factors remain attractive after taking transaction costs into account. While generic factors offer a good starting point, more complete risk-assessments limit the exposure to unrewarded risk. In the second study, we extend previous research that showed that the text from annual and quarterly corporate reports filed with the Securities and Exchange Commission can be used to predict equity returns and volatility. We examine whether the text in these reports is informative for corporate bond returns and volatility as well. Particularly, we test if bonds of ‘non-changers’, companies with few changes in their reports over time, outperform bonds of ‘changers’. In a large sample of corporate bonds over a twenty year period we find that results for equities do carry over to corporate bonds: in both the investment grade and high yield sub-samples non-changers outperform changers by more than 50bps annually.","PeriodicalId":142010,"journal":{"name":"Bankers, Markets & Investors","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129488102","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Introduction to the thematic issue on Green Finance 绿色金融专题介绍

Bankers, Markets & Investors Pub Date : 2021-10-27 DOI: 10.54695/bmi.166.6710

F. Bancel

引用次数: 0

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