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Applied Finance Letters最新文献

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SOCIAL NETWORK AND THE DIFFUSION OF INVESTMENT BELIEFS: THEORETICAL EXPERIMENT AND THE CASES OF GAMESTOP SAGA 社交网络与投资信念的扩散&理论实验与GAMESTOP传奇案例
Applied Finance Letters Pub Date : 2022-12-12 DOI: 10.24135/afl.v11i.583
V. Ngo
{"title":"SOCIAL NETWORK AND THE DIFFUSION OF INVESTMENT BELIEFS: THEORETICAL EXPERIMENT AND THE CASES OF GAMESTOP SAGA","authors":"V. Ngo","doi":"10.24135/afl.v11i.583","DOIUrl":"https://doi.org/10.24135/afl.v11i.583","url":null,"abstract":"It is critical to understand how investment beliefs are transmitted across a community and affect individuals' investment decisions, given the proliferation of online social networks. This study proposes a novel approach to capture the cognitive effects (dissonance and exposure), which outperforms previous social contagion models in terms of expressive power. The cognitive model was analyzed across a variety of network topologies and communications patterns. It is found that the cognitive diffusion models that account for the difference in belief scores between previous and new beliefs performed as expected. This study establishes a framework under which researchers studying financial behaviors and social contagion in finance could collaborate to better understand individual investments' decisions.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41616375","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
IS THE BLACK–SCHOLES MODEL GOOD ENOUGH FOR RETAIL INVESTORS IN CHINA? 布莱克-斯科尔斯模式对中国的散户投资者来说足够好吗?
Applied Finance Letters Pub Date : 2022-12-12 DOI: 10.24135/afl.v11i.589
Haoran Zhang
{"title":"IS THE BLACK–SCHOLES MODEL GOOD ENOUGH FOR RETAIL INVESTORS IN CHINA?","authors":"Haoran Zhang","doi":"10.24135/afl.v11i.589","DOIUrl":"https://doi.org/10.24135/afl.v11i.589","url":null,"abstract":"This study answers a simple question for Chinese investors, especially Chinese retail investors: Is the Black–Scholes model good enough for them to make investment decisions? Using the absolute out-of-sample error as a measure of model efficiency, I find that the volume-weighted mean absolute out-of-sample error is 12.03% of the option premium and investors have to tolerate more than 1% absolute error in almost all subsample groups. The significant out-of-sample error indicates that using the Black–Scholes model solely in the decision-making process may have a negative impact on the investments’ performance.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43039216","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
CREDIT DEFAULT SWAPS AND BANK SAFETY 信用违约掉期和银行安全
Applied Finance Letters Pub Date : 2022-10-03 DOI: 10.24135/afl.v11i.594
Matthew Brigida
{"title":"CREDIT DEFAULT SWAPS AND BANK SAFETY","authors":"Matthew Brigida","doi":"10.24135/afl.v11i.594","DOIUrl":"https://doi.org/10.24135/afl.v11i.594","url":null,"abstract":"In this analysis we find evidence that credit default swap (CDS) purchasesincrease bank safety. Specifically, we show banks which were net buyers ofCDS had smaller increases in loan loss reserves in response to the COVID-19crisis. Previous research had speculated that bank CDS purchases causedincreased risk-taking by banks which offset the effect of the hedge. This anal-ysis contributes to this literature on the effect of hedging on bank risk takingand capital structure. Moreover, since our results are consistent with CDSbeing effectively used to hedge, our results have implications for systemicrisk.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41731858","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
ASYMMETRIC PRICING AND AIRLINE PERFORMANCE 不对称定价与航空公司绩效
Applied Finance Letters Pub Date : 2022-10-03 DOI: 10.24135/afl.v11i.522
Yi Jiang, Tingting Que
{"title":"ASYMMETRIC PRICING AND AIRLINE PERFORMANCE","authors":"Yi Jiang, Tingting Que","doi":"10.24135/afl.v11i.522","DOIUrl":"https://doi.org/10.24135/afl.v11i.522","url":null,"abstract":"We study the relation of asymmetric pricing with operating performance and stock returns of U.S. airlines. We construct two proxies to measure the degree of asymmetric pricing: Degree of Asymmetry (DOA) and Peer-adjusted DOA, and then simultaneously test how the direction and magnitude of asymmetric pricing affect airline performance. We find that raising air ticket price, regardless of whether the fuel cost is increasing or decreasing, is associated with significantly higher sales growth and stock returns than reducing price in the same scenario. However, raising price above industry peers is two-edged: it may increase profit margin, but at the cost of a slowdown in sales growth.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42809036","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
LIQUIDITY OF FUTURES MARKETS OVER THE LAST QUARTER OF A CENTURY: TECHNOLOGY & MARKET STRUCTURE VERSUS ECONOMIC INFLUENCES 过去四分之一世纪期货市场的流动性:技术和市场结构与经济影响
Applied Finance Letters Pub Date : 2022-05-24 DOI: 10.24135/afl.v11i1.547
Luca Galati, A. Frino, Alexander Webb
{"title":"LIQUIDITY OF FUTURES MARKETS OVER THE LAST QUARTER OF A CENTURY: TECHNOLOGY & MARKET STRUCTURE VERSUS ECONOMIC INFLUENCES","authors":"Luca Galati, A. Frino, Alexander Webb","doi":"10.24135/afl.v11i1.547","DOIUrl":"https://doi.org/10.24135/afl.v11i1.547","url":null,"abstract":"This study examines the major technological and market forces that have acted on the liquidity of futures markets over almost the last quarter of a century – equivalent to Professor Robert Webb’s tenor as Editor-in-Chief at the Journal of Futures Markets. We examine the impact of electronic trading replacing open outcry, the impact of high-frequency trading and co-located trading, compare the liquidity impacts of these developments with the impact of major economic events, including the Global Financial Crisis and Covid-19 Pandemic. Using a stock index futures contract traded on Australian futures exchanges as an example, we find that technological advances have had a statistically significant but almost imperceptible influence on measures of liquidity of Australian futures contracts. In contrast, economic crises, and crashes such as the Global Financial Crash and the Covid-19 crash have had a massive and sustained impact on the liquidity of futures markets. Our results suggest that liquidity effects from technological innovations, while important, remain dwarfed by those from extreme outlier events.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47686513","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
COST OF EQUITY CAPITAL AND UNDERSTATED PENSION LIABILITIES 权益资本成本和被低估的养老金负债
Applied Finance Letters Pub Date : 2022-02-14 DOI: 10.24135/afl.v10i.491
B. Webb, Huan Yang, Jun Cai, Lin Huang
{"title":"COST OF EQUITY CAPITAL AND UNDERSTATED PENSION LIABILITIES","authors":"B. Webb, Huan Yang, Jun Cai, Lin Huang","doi":"10.24135/afl.v10i.491","DOIUrl":"https://doi.org/10.24135/afl.v10i.491","url":null,"abstract":"Pension discount rates have a powerful effect on the size of reported defined benefit corporate pension liabilities because of the long-term nature of projected benefit obligations. Firms often choose pension discount rates that are above the guideline long-term Treasury, AAA-grade, and AA-grade corporate bond yields. We assess the sizes of understated pension liabilities relative to these benchmark interest rates and relate them to individual firms’ implied cost of equity. We find that firms with large understated pension liabilities have a higher implied cost of equity after taking into account standard control variables and other pension information such as funded status and mandatory contributions.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46725563","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
AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY 异常中的异常:长期反转异常中的万圣节效应
Applied Finance Letters Pub Date : 2021-11-30 DOI: 10.24135/afl.v10i.465
King Fuei Lee
{"title":"AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY","authors":"King Fuei Lee","doi":"10.24135/afl.v10i.465","DOIUrl":"https://doi.org/10.24135/afl.v10i.465","url":null,"abstract":"In this paper, we investigate the presence of the Halloween effect in the long-term reversal anomaly in the US. When we examine the cross-sectional returns of winner-minus-loser portfolios formed on prior returns over the time period of 1931-2021, we find evidence of stronger returns during winter months versus summer months. In particular, the effect appears to be driven by very strong winter-summer seasonality in the portfolio of small-capitalisation losers, and lack of Halloween effect in the portfolio of large-capitalisation winners. Our finding is robust to alternative measures of long-term reversal, differing sub-periods, the inclusion of the January effect and outlier considerations, as well as within small and large-sized companies.        ","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48351412","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 DAVIDS AND THE GOLIATHS: INVESTMENT DYNAMICS AND PERFORMANCE DIFFERENTIALS OF SMALL FIRMS AND FAMILY-CONTROLLED LARGE FIRMS IN FOUR SECTORS OF THE INDIAN MARKET 大卫和巨人:投资动态和表现差异的小公司和家族控制的大公司在印度市场的四个部门
Applied Finance Letters Pub Date : 2021-11-24 DOI: 10.24135/afl.v10i.410
Jaideep Ghosh
{"title":"THE DAVIDS AND THE GOLIATHS: INVESTMENT DYNAMICS AND PERFORMANCE DIFFERENTIALS OF SMALL FIRMS AND FAMILY-CONTROLLED LARGE FIRMS IN FOUR SECTORS OF THE INDIAN MARKET","authors":"Jaideep Ghosh","doi":"10.24135/afl.v10i.410","DOIUrl":"https://doi.org/10.24135/afl.v10i.410","url":null,"abstract":"This study focuses on investment structures and performances of family-controlled and non-affiliated publicly traded firms on the Indian market. While many influential, family-controlled firms dominate a large part of the Indian industry today, this study finds that a considerable fraction of the non-affiliated firms are able to maintain stable financial performance by forging strategic ties with other non-affiliated firms in transactional supply-chains modes. This study contributes to the understanding of the question concerning how investment structures of firms might be governed through interfirm ties of coordinated and cooperative investments. The results have important implications for the markets of emerging economies in the Asia-Pacific and the Southeast Asian regions.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41340672","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
Presence of analyst before IPO and underpricing: a Meta-analysis. 上市前分析师的存在与定价过低:一个元分析。
Applied Finance Letters Pub Date : 2021-11-08 DOI: 10.24135/afl.v10i.431
Udayan Karnatak, Chirag Malik
{"title":"Presence of analyst before IPO and underpricing: a Meta-analysis.","authors":"Udayan Karnatak, Chirag Malik","doi":"10.24135/afl.v10i.431","DOIUrl":"https://doi.org/10.24135/afl.v10i.431","url":null,"abstract":"The effect of analyst presence on underpricing has shown a contrasting result. By synthesizing the result using meta-analysis for twelve studies with more than 20400 firms we found conclusive evidence of the relation between analyst presence and underpricing of IPOs. With the increase in analyst presence by 1% the IPO underpricing increases by 4.9%. Moreover, meta-regression between effect size and moderator variables found the significant and positive role of the reputed underwriter to increase underpricing when the IPO has coverage of analysts. Our results are striking for the US market IPOs in which reputed underwriters as moderator affect underpricing significantly and positively which shows reputation increase information asymmetry. Whereas in emerging markets IPOs reputed underwriters increase market efficiency and information symmetry.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45681538","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
IMPACT OF COVID-19 ON CRYPTOCURRENCIES: EVIDENCE ON INFORMATION TRANSMISSION THROUGH ECONOMIC AND FINANCIAL MARKET SENTIMENTS COVID-19对加密货币的影响:通过经济和金融市场情绪传递信息的证据
Applied Finance Letters Pub Date : 2021-10-31 DOI: 10.24135/afl.v10i.429
Irfan Haider Shakri, J. Yong, Erwei Xiang
{"title":"IMPACT OF COVID-19 ON CRYPTOCURRENCIES: EVIDENCE ON INFORMATION TRANSMISSION THROUGH ECONOMIC AND FINANCIAL MARKET SENTIMENTS","authors":"Irfan Haider Shakri, J. Yong, Erwei Xiang","doi":"10.24135/afl.v10i.429","DOIUrl":"https://doi.org/10.24135/afl.v10i.429","url":null,"abstract":"This paper investigates the relationship between the COVID-19 crisis and the two leading cryptocurrencies, Bitcoin and Ethereum, from 31 December 2019 to 18 August 2020. We also use an economic news sentiment index and financial market sentiment index to explore the possible mechanisms through which COVID-19 impacts cryptocurrency. We employ a VAR Granger Causality framework and Wavelet Coherence Analysis and find the cryptocurrency market was impacted in the early phase of the sample period through economic news and financial market sentiments, but this effect diminished after June 2020. \u0000 ","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43352637","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: 1
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