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Applied Finance Letters最新文献

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RELATION BETWEEN NEGATIVE TONE IN NEWS RELEASES OF WHO AND INDUSTRY RETURNS DURING THE COVID-19 PANDEMIC 2019冠状病毒病大流行期间世卫组织新闻稿中的负面基调与行业回报之间的关系
Applied Finance Letters Pub Date : 2021-10-27 DOI: 10.24135/afl.v10i.442
Denada Ibrushi, Helmi Jedidi
{"title":"RELATION BETWEEN NEGATIVE TONE IN NEWS RELEASES OF WHO AND INDUSTRY RETURNS DURING THE COVID-19 PANDEMIC","authors":"Denada Ibrushi, Helmi Jedidi","doi":"10.24135/afl.v10i.442","DOIUrl":"https://doi.org/10.24135/afl.v10i.442","url":null,"abstract":"We analyze the relationship between the negative tone in news releases issued by the WHO and industry returns during the Covid-19 pandemic. We construct our news tone measure as the ratio of negative words to the total number of words present in news releases of WHO. The news tone shows to be significantly associated with returns for the majority of industries. Bad news announced by the WHO translates into good news for consumer nondurables, telecommunications, and healthcare sectors. Negative tone in news releases of WHO is on average bad news for consumer durables, manufacturing, energy, and other industries. Our findings suggest that the news tone-return relation varies significantly throughout our Covid-19 sample. ","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48407408","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
COVID-19 IS DEADLY! LONG LIVE THE KING, CORPORATE CASH HOLDINGS! COVID-19是致命的!国王万岁，公司现金储备!
Applied Finance Letters Pub Date : 2021-10-27 DOI: 10.24135/afl.v10i.376
Akanksha Saxena, Ranajee, Ms Saumita Roy
{"title":"COVID-19 IS DEADLY! LONG LIVE THE KING, CORPORATE CASH HOLDINGS!","authors":"Akanksha Saxena, Ranajee, Ms Saumita Roy","doi":"10.24135/afl.v10i.376","DOIUrl":"https://doi.org/10.24135/afl.v10i.376","url":null,"abstract":"Covid-19 has adversely affected the human race. With human race confined to their houses, the level of consumption has gone down and it has significant negative impact on the cash flows of the existing businesses. In this study, using different scenarios and stress level, we try to predict the impact on businesses cash flows and establish the role of corporate cash holdings in avoiding illiquidity of businesses.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43533394","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
INVESTOR ATTENTION AND HERDING IN THE CRYPTOCURRENCY MARKET DURING THE COVID-19 PANDEMIC 新冠肺炎大流行期间投资者对加密货币市场的关注和投资
Applied Finance Letters Pub Date : 2021-09-02 DOI: 10.24135/afl.v10i.448
H. Bashir, Dilip Kumar, K Shiljas
{"title":"INVESTOR ATTENTION AND HERDING IN THE CRYPTOCURRENCY MARKET DURING THE COVID-19 PANDEMIC","authors":"H. Bashir, Dilip Kumar, K Shiljas","doi":"10.24135/afl.v10i.448","DOIUrl":"https://doi.org/10.24135/afl.v10i.448","url":null,"abstract":"This study examines the relationship between investor attention and herding effects in the cryptocurrency market by employing the vector autoregression and quantile regression models. Furthermore, we examine whether the COVID-19 pandemic affected herding behaviour in cryptocurrencies. Using the daily closing price and Google search volume of the five leading cryptocurrencies, the paper finds that herding in the cryptocurrency market decreases with an increase in investor attention for the overall sample. The results for the COVID-19 period indicate that the impact of investor attention on the herding effect decreases due to increased attention to the pandemic. This study is one of the initial attempts to examine the impact of investor attention on herding in cryptocurrencies.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47049846","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: 3
IS BITCOIN IMMUNE TO THE COVID-19 PANDEMIC? 比特币对新冠肺炎疫情免疫吗？
Applied Finance Letters Pub Date : 2021-08-01 DOI: 10.24135/afl.v10i.396
S. T. Kim, S. Orlova
{"title":"IS BITCOIN IMMUNE TO THE COVID-19 PANDEMIC?","authors":"S. T. Kim, S. Orlova","doi":"10.24135/afl.v10i.396","DOIUrl":"https://doi.org/10.24135/afl.v10i.396","url":null,"abstract":"This study examines how Bitcoin’s trading characteristics react to the COVID-19 pandemic, using detailed futures trading data from the Chicago Mercantile Exchange. The results show that volume-weighted Bitcoin futures return responds positively to the spikes of public interest. Meanwhile, the surges of pandemic information do not harm market quality. Volume, bid-ask spread, and trading frequency remain stable, indicating that the positive price reaction is not a result of a few small uninformed trades. Bitcoin's conditional beta on the S&P 500 index drops to near zero, while the conditional beta on gold more than doubles. These results indicate that traders have been using Bitcoin as a safe-haven asset after the pandemic outbreak.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45760318","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: 2
DO ECONOMIC FORECASTERS BELIEVE THE STOCK MARKET IS EFFICIENT? EVIDENCE FROM GERMANY 经济预测者相信股市是有效的吗?来自德国的证据
Applied Finance Letters Pub Date : 2021-07-21 DOI: 10.24135/AFL.V10I.432
Richard Deaves, M. Schröder, Adam W. Stivers, Ming-yan Tsang
{"title":"DO ECONOMIC FORECASTERS BELIEVE THE STOCK MARKET IS EFFICIENT? EVIDENCE FROM GERMANY","authors":"Richard Deaves, M. Schröder, Adam W. Stivers, Ming-yan Tsang","doi":"10.24135/AFL.V10I.432","DOIUrl":"https://doi.org/10.24135/AFL.V10I.432","url":null,"abstract":"The perception of market efficiency is quite different from the reality of market efficiency.  We show using a large survey of German market forecasters that few respondents consistently believe that the stock market is currently efficient and will remain so.  Past volatility tends to erode the view that the market is efficient and strengthen the belief that the market is inefficient. ","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46282534","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
REVISITING GOLD'S SAFE HAVEN STATUS WITH THE UTILIZATION OF THE INDEX OF IMPLIED VOLATILITY AND VALUES OF EXCHANGE TRADED FUNDS 利用交易所交易基金隐含波动率和价值指数重新审视黄金的避险地位
Applied Finance Letters Pub Date : 2021-07-01 DOI: 10.24135/AFL.V10I.412
Dimitrios K. Panagiotou
{"title":"REVISITING GOLD'S SAFE HAVEN STATUS WITH THE UTILIZATION OF THE INDEX OF IMPLIED VOLATILITY AND VALUES OF EXCHANGE TRADED FUNDS","authors":"Dimitrios K. Panagiotou","doi":"10.24135/AFL.V10I.412","DOIUrl":"https://doi.org/10.24135/AFL.V10I.412","url":null,"abstract":"The coronavirus pandemic is a health and economic crisis which has placed an immense strain on the world’s financial system. Hence, amidst the (still ongoing) Covid-19 pandemic, the objective of this work is to investigate the role of gold as as a hedge or safe haven with the use of exchange traded funds. The present work employs the implied volatility index of gold share options (GVZ), the net asset value of the price per share of the US Oil Fund options (USO) and the value of the Currency Share Euro Trust (FXE). The statistical tool utilized is the quantile regressions methodology. Data are daily observations from June 2008 to December 2018.  The empirical results reveal that gold's implied volatility decreases significantly (or it is not statistically different than zero), under changes in the average returns and/or under extreme market declines in FXE and USO. According to the aforementioned findings, gold could be an investment vehicle to serve as a hedge and or a safe haven asset. The present study is the first one to employ quantile regressions (QR) along with gold's implied volatility and the prices of exchange traded funds (ETFs) in order to investigate gold's hedge and/or safe haven properties.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43010096","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: 2
COVID-19 PANDEMIC AND HERDING BEHAVIOUR IN CRYPTOCURRENCY MARKET COVID-19大流行与加密货币市场的羊群行为
Applied Finance Letters Pub Date : 2021-01-01 DOI: 10.24135/afl.v10i.443
Samuel Asante Gyamerah
{"title":"COVID-19 PANDEMIC AND HERDING BEHAVIOUR IN CRYPTOCURRENCY MARKET","authors":"Samuel Asante Gyamerah","doi":"10.24135/afl.v10i.443","DOIUrl":"https://doi.org/10.24135/afl.v10i.443","url":null,"abstract":"In this paper, we examine the presence of herding in cryptocurrency market for four distinct sub-periods (Pre and During COVID-19 period, bear and bull markets) using daily closing prices of 5 largest cryptocurrencies by market capitalization (Bitcoin, Ethereum, XRP, Stellar and Tether) from April 20, 2019 to January 31, 2021. The study employs cross-sectional absolute deviations (CSAD) model to test herd behavior and the results of the study provide evidence of herd behavior in the whole market for the selected period under study. The study also proofs the presence of herding during COVID-19 period and in positive market returns. These indicate that, investors in the cryptocurrency market, during COVID-19 periods, and in bullish market are inclined to the investment behavior of other peer investors in the market. The study is significant to investors, regulators and players in the cryptocurrency market so as to deepen their understanding of herding behavior since herding is thought to increase the volatility of the market.  The study is significant to investors, regulators and players in the cryptocurrency market so as to deepen their understanding of herding behavior since herding is thought to increase the volatility of the market.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"47 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69084954","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: 2
Responsible Investing: A Study on Non-Economic Goals and Investors’ Characteristics 责任投资:非经济目标与投资者特征研究
Applied Finance Letters Pub Date : 2020-11-18 DOI: 10.24135/afl.v9i2.245
Renuka Sharma, K. Mehta, Vishal Vyas
{"title":"Responsible Investing: A Study on Non-Economic Goals and Investors’ Characteristics","authors":"Renuka Sharma, K. Mehta, Vishal Vyas","doi":"10.24135/afl.v9i2.245","DOIUrl":"https://doi.org/10.24135/afl.v9i2.245","url":null,"abstract":"The notion of rational investment is not attuned with the idea of socially responsible investment. Incongruence with conventional investments, the SRI/sustainable investment/ethical investment is pertained to ethical, environmental and social criteria (Eccles and Viviers,2011). All investors are not single-minded for an objective of wealth creation. The welfare of society and the environment are among the other drivers of investment. In certain cases, investors do prefer sustainable development to personal financial aspects (Beal et al., 2005). The present study has primarily focused on assessing the relationship between individual investors’ attributes and their noneconomic goal in order to comprehend their socially responsible investment behaviour specifically in Indian scenario. The findings of study are useful for fund managers, regulators and researchers as study has provided useful insights regarding behaviour of Indian investors for responsible investments.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44910570","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
Profitability, Product Market Competition, and Stock Returns 盈利能力、产品市场竞争和股票回报
Applied Finance Letters Pub Date : 2019-10-16 DOI: 10.24135/afl.v8i0.149
Scott Li
{"title":"Profitability, Product Market Competition, and Stock Returns","authors":"Scott Li","doi":"10.24135/afl.v8i0.149","DOIUrl":"https://doi.org/10.24135/afl.v8i0.149","url":null,"abstract":"This paper finds that product market competition level (measured by Herfindahl Hirschman Index using Fama French 48 industries) affects the performance of zero-cost investment strategies based on gross probability. From 1973 to 2017, the positive returns from such strategy mainly comes from the most competitive industry quintile while a strong reversal exists the second most competitive quintile. The same strategy does not generate any statistically significant returns in concentrated industry quintiles. Out of 25 dependently sorted portfolios on product market competition level and gross profitability, the top performing portfolio comes from the least profitable firms in the second most competitive industry quintile, where 65% of firms are from pharmaceutical and oil industries.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46287842","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 The Shift in Firms’ Reliance on Debt Sources 企业对债务来源依赖的转变
Applied Finance Letters Pub Date : 2019-05-20 DOI: 10.24135/AFL.V8I0.141
T. C. Ho
{"title":"The The Shift in Firms’ Reliance on Debt Sources","authors":"T. C. Ho","doi":"10.24135/AFL.V8I0.141","DOIUrl":"https://doi.org/10.24135/AFL.V8I0.141","url":null,"abstract":"Structural changes in capital market and information innovations have altered characteristics of debt sources, make them more or less favourable to firms. This could possibly lead to a shift in firms' reliance on debt sources. Using a unique data set of debt mix of 1,100 U.S. non-financial firms, I conduct data analysis to reveal changes in firms' preference for different debt sources over a decade from 2004 to 2014. I find that bank debt remains the most common source of borrowing, followed by public debt and finally private placement debt. In addition, over time, firms have become more reliant on bank and public debt while less reliant on private placement debt. This pattern is consistent across different industries.  ","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42164864","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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