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Applied Finance Letters最新文献

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Does Debt Diversification lead to a Discount in Firm Value? 债务多元化是否会导致公司价值的折扣？
Applied Finance Letters Pub Date : 2019-05-01 DOI: 10.24135/AFL.V8I0.112
Nemiraja Jadiyappa, Namrata Saikia, Bhavik Parikh
{"title":"Does Debt Diversification lead to a Discount in Firm Value?","authors":"Nemiraja Jadiyappa, Namrata Saikia, Bhavik Parikh","doi":"10.24135/AFL.V8I0.112","DOIUrl":"https://doi.org/10.24135/AFL.V8I0.112","url":null,"abstract":"Corporate firms access multiple sources of debt simultaneously. This study analyzes the impact of debt diversification on firm value. We argue that, when firms diversify their debt sources, the monitoring role played by debt holders decreases as a result of the free rider problem. Hence, such firms should experience a value discount in the capital markets. Our empirical analysis provides evidence for the existence of a value discount in the capital markets for firms accessing multiple sources of debt. Our results remain robust for alternative measures of debt diversification.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48172154","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: 6
Cointegration, Price-Adjustment Delays, and Optimal Hedge Ratio in the Precious Metal Markets 贵金属市场的协整、价格调整延迟和最优套期保值率
Applied Finance Letters Pub Date : 2019-02-28 DOI: 10.24135/AFL.V8I0.125
H. Nishi
{"title":"Cointegration, Price-Adjustment Delays, and Optimal Hedge Ratio in the Precious Metal Markets","authors":"H. Nishi","doi":"10.24135/AFL.V8I0.125","DOIUrl":"https://doi.org/10.24135/AFL.V8I0.125","url":null,"abstract":"Firms seeking to apply hedge accounting treatment under the Accounting Standards Codification Topic 815 must demonstrate higher hedge effectiveness, for which the regression analysis is commonly used as a testing method. An autoregressive distributed lag (ARDL) model is adopted in this article to examine the hedge effectiveness in the presence of nonsynchronous trading of spot and futures contracts as well as a long-run cointegrating relationship between their prices. Using precious metal market data, our study empirically demonstrates that a hedge ratio estimated with a conventional OLS model tends to be downwardly biased. Our finding also indicates that the omitted-variable bias becomes apparent only when the difference between the transaction frequencies in spot and futures markets is significantly large.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46880072","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 Risk on Investment: New Evidence 风险对投资的影响：新证据
Applied Finance Letters Pub Date : 2019-02-04 DOI: 10.24135/AFL.V7I1.122
Tingting Que
{"title":"The Effect of Risk on Investment: New Evidence","authors":"Tingting Que","doi":"10.24135/AFL.V7I1.122","DOIUrl":"https://doi.org/10.24135/AFL.V7I1.122","url":null,"abstract":"Previous results on the relation between risk and investment are mixed, partly due to endogeneity. To allievate the effects of this bias, we adopt a generalized method of moments (GMM) dynamic panel estimator to investigate the relation. We find  that the puzzling positive sensitivity of investment (i.e. firm’s investment rate) to systematic risk as frequently documented in previous studies disappears. Further, we show that the more irreversible the firm’s investments are, the more valuable is the option to delay investment when risk is high, which supports the model with irreversible investment.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46629058","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
Causality between stock market and “fear gauge” indices: An empirical analysis with E-statistics 股票市场与“恐惧指标”的因果关系:基于电子统计的实证分析
Applied Finance Letters Pub Date : 2018-06-15 DOI: 10.24135/AFL.V7I1.75
P. Fousekis, Vasilis Grigoriadis
{"title":"Causality between stock market and “fear gauge” indices: An empirical analysis with E-statistics","authors":"P. Fousekis, Vasilis Grigoriadis","doi":"10.24135/AFL.V7I1.75","DOIUrl":"https://doi.org/10.24135/AFL.V7I1.75","url":null,"abstract":"This study investigates empirically the validity of three hypotheses that have been advanced to explain the tendency of stock market and volatility indices to move in opposite directions, using the notion of Brownian distance correlation. We consider three stock market-implied volatility index pairs, namely, the S&P 500 and the VIX, the DAX 100 and the V1XI, and the N225 and the JNIV. The empirical results support the leverage hypothesis relative to the volatility feedback hypothesis for the pairs S&P 500 and VIX, and N225 and JNIV, and the representativeness and affect heuristics hypothesis relative to the leverage hypothesis for the pairs DAX 100 and V1XI, and N225 and JNIV.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41855323","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
An Empirical Study of Regional Mutual Funds’ Diversification Value 区域共同基金多元化价值的实证研究
Applied Finance Letters Pub Date : 2018-06-15 DOI: 10.24135/AFL.V7I1.80
Javier Rodríguez
{"title":"An Empirical Study of Regional Mutual Funds’ Diversification Value","authors":"Javier Rodríguez","doi":"10.24135/AFL.V7I1.80","DOIUrl":"https://doi.org/10.24135/AFL.V7I1.80","url":null,"abstract":"This article studies three samples of United States-based regional mutual funds from the Asia-Pacific, Europe, and Latin America, to assess whether higher fund diversification translates into higher diversification values to fund shareholders. To measure mutual funds’ portfolio diversification, we implement a modified Herfindahl index.  To assess diversification values we employ a methodology that considers Sharpe ratio funds and its correlation with existent portfolios.  We found that Asian-Pacific funds are the most diversified, whereas European funds provide the highest diversification value to fund shareholders. The correlation between fund diversification and diversification value is positive only in the case of Asian-Pacific funds. To the best of our knowledge, the relation between portfolio diversification and diversification value of regional mutual funds has not yet been addressed in the literature.     ","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44655476","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
The Price Transmission in European Stock Markets 欧洲股票市场的价格传导
Applied Finance Letters Pub Date : 2018-06-15 DOI: 10.24135/AFL.V7I1.72
Yalan Feng, James F. Refalo
{"title":"The Price Transmission in European Stock Markets","authors":"Yalan Feng, James F. Refalo","doi":"10.24135/AFL.V7I1.72","DOIUrl":"https://doi.org/10.24135/AFL.V7I1.72","url":null,"abstract":"We investigate the dynamic price relationships among ten major stock indexes in Europe before, during and after the recent financial crisis. Using an error-correction model we find that the stock markets are cointegrated with three cointegrating vectors before the crisis and that the markets are cointegrated with only one cointegrating vector during and after the crisis. We further apply directed acyclic graph (DAG) analysis on the contemporaneous correlations innovation matrix to explore the instantaneous transmission pattern. The results show that France and Spain appear to share leadership roles before the crisis while leadership role is less obvious during and after the crisis. We also find a decreasing number of instantaneous casual relationships between the markets after the crisis, indicating that the markets are becoming more independent.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47816743","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
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