IF 2.2

Risks Pub Date : 2024-04-15 DOI: 10.3390/risks12040067

Laeeq Razzak Janjua, Iza Gigauri, Agnieszka Wójcik-Czerniawska, Elżbieta Pohulak-Żołędowska

引用次数: 0

Quantum Computing Approach to Realistic ESG-Friendly Stock Portfolios 量子计算方法实现现实的 ESG 友好型股票投资组合

IF 2.2

Risks Pub Date : 2024-04-12 DOI: 10.3390/risks12040066

Francesco Catalano, Laura Nasello, Daniel Guterding

{"title":"Quantum Computing Approach to Realistic ESG-Friendly Stock Portfolios","authors":"Francesco Catalano, Laura Nasello, Daniel Guterding","doi":"10.3390/risks12040066","DOIUrl":"https://doi.org/10.3390/risks12040066","url":null,"abstract":"Finding an optimal balance between risk and returns in investment portfolios is a central challenge in quantitative finance, often addressed through Markowitz portfolio theory (MPT). While traditional portfolio optimization is carried out in a continuous fashion, as if stocks could be bought in fractional increments, practical implementations often resort to approximations, as fractional stocks are typically not tradeable. While these approximations are effective for large investment budgets, they deteriorate as budgets decrease. To alleviate this issue, a discrete Markowitz portfolio theory (DMPT) with finite budgets and integer stock weights can be formulated, but results in a non-polynomial (NP)-hard problem. Recent progress in quantum processing units (QPUs), including quantum annealers, makes solving DMPT problems feasible. Our study explores portfolio optimization on quantum annealers, establishing a mapping between continuous and discrete Markowitz portfolio theories. We find that correctly normalized discrete portfolios converge to continuous solutions as budgets increase. Our DMPT implementation provides efficient frontier solutions, outperforming traditional rounding methods, even for moderate budgets. Responding to the demand for environmentally and socially responsible investments, we enhance our discrete portfolio optimization with ESG (environmental, social, governance) ratings for EURO STOXX 50 index stocks. We introduce a utility function incorporating ESG ratings to balance risk, return and ESG friendliness, and discuss implications for ESG-aware investors.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"1 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140565208","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

Asymptotic Methods for Transaction Costs 交易成本的渐近方法

IF 2.2

Risks Pub Date : 2024-04-04 DOI: 10.3390/risks12040064

Eberhard Mayerhofer

引用次数: 0

Intangible Assets and Analysts’ Overreaction and Underreaction to Earnings Information: Empirical Evidence from Saudi Arabia 无形资产与分析师对盈利信息的过度反应和反应不足：沙特阿拉伯的经验证据

IF 2.2

Risks Pub Date : 2024-04-02 DOI: 10.3390/risks12040063

Taoufik Elkemali

{"title":"Intangible Assets and Analysts’ Overreaction and Underreaction to Earnings Information: Empirical Evidence from Saudi Arabia","authors":"Taoufik Elkemali","doi":"10.3390/risks12040063","DOIUrl":"https://doi.org/10.3390/risks12040063","url":null,"abstract":"Several prior studies indicate that financial analysts exhibit systematic underreaction to information; others illustrate systematic overreaction. We assume that cognitive biases influence analysts’ behavior and that these misreactions are not systematic, but they depend on the nature of news. As cognitive biases intensify in situations of high ambiguity, we distinguish between bad and good news and investigate the impact of intangible assets—synonymous with high uncertainty and risk—on financial analysts’ reactions. We explore the effect of information conveyed by prior-year earnings announcements on the current-year forecast error. Our findings in the Saudi financial market reveal a tendency for overreaction to positive prior-year earnings change (good performance) and positive prior-year forecast errors (good surprise). Conversely, there is an underreaction to the negative prior-year earnings change (bad performance) and negative prior-year forecast error (bad surprise). Notably, analysts exhibit systematic optimism rather than systematic underreaction or overreaction. The results also highlight that the simultaneous phenomena of overreaction and underreaction is more pronounced in high intangible asset firms compared to low intangible asset firms.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"239 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140565317","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 Effect of Corporate Governance on the Degree of Agency Cost in the Korean Market 公司治理对韩国市场代理成本程度的影响

IF 2.2

Risks Pub Date : 2024-03-27 DOI: 10.3390/risks12040059

Younghwan Lee, Ana Belén Tulcanaza-Prieto

{"title":"The Effect of Corporate Governance on the Degree of Agency Cost in the Korean Market","authors":"Younghwan Lee, Ana Belén Tulcanaza-Prieto","doi":"10.3390/risks12040059","DOIUrl":"https://doi.org/10.3390/risks12040059","url":null,"abstract":"This study examines the relationship between corporate governance (CG) and agency costs using Korean market data, particularly for chaebol firms. The final sample includes 660 firm-year observations between 2016 and 2020 for Korean non-financial firms listed on the Korean Composite Stock Price Index (KOSPI). This study employs an ordinary least-squares panel data regression model using two proxies for agency costs, namely, asset utilization ratio and operating expense ratio, and six CG individual metrics as independent variables (CG score, protection of shareholder rights, board structure, disclosure, audit organization, and managerial discretion and error management). We find that firms with high CG experience lower agency costs than those with low CG. Moreover, our evidence suggests that firms can decrease agency costs by improving the quality of CG. The results of our regression model also support the idea that CG is effective in reducing agency costs for chaebol firms but not for non-chaebol firms. Finally, our findings suggest that the implementation of effective CG mechanisms in firms might improve managerial behavior through better decision-making to maximize the value of firms.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"22 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140325223","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

Two-Population Mortality Forecasting: An Approach Based on Model Averaging 双人口死亡率预测：基于模型平均的方法

IF 2.2

Risks Pub Date : 2024-03-27 DOI: 10.3390/risks12040060

Luca De Mori, Pietro Millossovich, Rui Zhu, Steven Haberman

引用次数: 0

The Impact of Village Savings and Loan Associations as a Financial and Climate Resilience Strategy for Mitigating Food Insecurity in Northern Ghana 村储蓄和贷款协会作为减轻加纳北部粮食不安全的金融和气候复原战略的影响

IF 2.2

Risks Pub Date : 2024-03-25 DOI: 10.3390/risks12040058

Cornelius K. A. Pienaah, Isaac Luginaah

{"title":"The Impact of Village Savings and Loan Associations as a Financial and Climate Resilience Strategy for Mitigating Food Insecurity in Northern Ghana","authors":"Cornelius K. A. Pienaah, Isaac Luginaah","doi":"10.3390/risks12040058","DOIUrl":"https://doi.org/10.3390/risks12040058","url":null,"abstract":"In semi-arid Northern Ghana, smallholder farmers face food insecurity and financial risk due to climate change. In response, the Village Savings and Loan Association (VSLA) model, a community-led microfinance model, has emerged as a promising finance and climate resilience strategy. VSLAs offer savings, loans, and other financial services to help smallholder farmers cope with climate risks. In northern Ghana, where formal financial banking is limited, VSLAs serve as vital financial resources for smallholder farmers. Nevertheless, it remains to be seen how VSLAs can bridge financial inclusion and climate resilience strategies to address food insecurity. From a sustainable livelihoods framework (SLF) perspective, we utilized data from a cross-sectional survey of 517 smallholder farmers in northern Ghana’s Upper West Region to investigate how VSLAs relate to food insecurity. Results from an ordered logistic regression show that households with membership in a VSLA were less likely to experience severe food insecurity (OR = 0.437, p < 0.01). In addition, households that reported good resilience, owned land, had higher wealth, were female-headed, and made financial decisions jointly were less likely to experience severe food insecurity. Also, spending time accessing the market increases the risk of severe food insecurity. Despite the challenges of the VSLA model, these findings highlight VSLAs’ potential to mitigate food insecurity and serve as a financially resilient and climate-resilient strategy in resource-poor contexts like the UWR and similar areas in Sub-Saharan Africa. VSLAs could contribute to achieving SDG2, zero hunger, and SDG13, climate action. However, policy interventions are necessary to support and scale VSLAs as a sustainable development and food security strategy in vulnerable regions.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"11 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140301841","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

Adding Shocks to a Prospective Mortality Model 在前瞻性死亡率模型中加入冲击因素

IF 2.2

Risks Pub Date : 2024-03-20 DOI: 10.3390/risks12030057

Frédéric Planchet, Guillaume Gautier de La Plaine

引用次数: 0

Capital Structure Models and Contingent Convertible Securities 资本结构模型与或有可转换证券

IF 2.2

Risks Pub Date : 2024-03-18 DOI: 10.3390/risks12030055

Di Meng, Adam Metzler, R. Mark Reesor

引用次数: 0

Shareholders in the Driver’s Seat: Unraveling the Impact on Financial Performance in Latvian Fintech Companies 拉脱维亚金融科技公司财务业绩的影响：股东的主导作用

IF 2.2

Risks Pub Date : 2024-03-18 DOI: 10.3390/risks12030054

Ramona Rupeika-Apoga, Stefan Wendt, Victoria Geyfman

{"title":"Shareholders in the Driver’s Seat: Unraveling the Impact on Financial Performance in Latvian Fintech Companies","authors":"Ramona Rupeika-Apoga, Stefan Wendt, Victoria Geyfman","doi":"10.3390/risks12030054","DOIUrl":"https://doi.org/10.3390/risks12030054","url":null,"abstract":"Fintech companies are relatively young and operate in a rapidly evolving and ever-changing industry, which makes it important to understand how different factors, including shareholder presence in management roles, affect their performance. This study investigates the impact of shareholder presence in director and manager positions on the financial performance of Latvian fintechs. Our investigation centers on essential financial ratios, including Return on Assets, Return on Equity, Profit Margin, Liquidity Ratio, Current Ratio, and Solvency Ratio. Our findings suggest that the presence of shareholders in director and manager roles does not significantly affect the financial performance of fintech companies. Although the statistical analysis did not yield significant results, it is important to consider additional insights garnered from Cliff’s Delta effect sizes. Specifically, despite the lack of statistical significance, practical significance indicates that fintech companies in which directors and managers are shareholders show slightly better performance than other fintech companies. Beyond shedding light on the intricacies of corporate governance in the fintech sector, this research serves as a valuable resource for investors, stakeholders, and fellow researchers seeking to understand the impact of shareholder presence in director and manager roles on the financial performance of fintechs.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"22 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140150302","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

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