Quantitative Finance and Economics最新文献_第6页

Impact of risks on forced CEO turnover 风险对强制CEO离职的影响

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022008

Xue Chang

{"title":"Impact of risks on forced CEO turnover","authors":"Xue Chang","doi":"10.3934/qfe.2022008","DOIUrl":"https://doi.org/10.3934/qfe.2022008","url":null,"abstract":"Risk management has been an important topic since the 2008 financial crisis, and it has become an important area of focus in business management. It is important for the board of directors to evaluate the ability and competence of the CEO. This study was aimed to investigate the effect of various risks on forced CEO turnover through the use of a linear probability model. The Chinese A-share market from 2010 to 2019 was selected as the sample, and theoretical analysis and empirical research were combined to explore the impact of various risks on forced CEO turnover, further analyzes the relationship under different ownerships. This paper study revealed that the crash risk is positively associated with forced CEO turnover. This paper also found that the idiosyncratic risk increases the likelihood of forced CEO turnover, and that the relationship is more significant in non- state-owned enterprises (non-SOEs) than state-owned enterprises (SOEs). The systematic risk has no effect on forced CEO turnover. Risks can be an important indicator of the CEO's ability and competence. This paper also evaluated the relationships in Chinese circumstances. China is an emerging market that has a different legal and social environment than other countries. The different goals of SOEs and non-SOEs lead to different risk attitudes. It is necessary to distinguish ownership when evaluating the Chinese situation.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230122","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

The impact of business conditions and commodity market on US stock returns: An asset pricing modelling experiment 商业环境和大宗商品市场对美国股票回报的影响:一项资产定价模型实验

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022019

Fangzhou Huang, Jiao Song, N. Taylor

{"title":"The impact of business conditions and commodity market on US stock returns: An asset pricing modelling experiment","authors":"Fangzhou Huang, Jiao Song, N. Taylor","doi":"10.3934/qfe.2022019","DOIUrl":"https://doi.org/10.3934/qfe.2022019","url":null,"abstract":"In this paper, two comprehensive mathematical approaches: cubic piecewise polynomial function (CPPF) model and the Fourier Flexible Form (FFF) model are built into asset pricing models to explore the stock market risk, commodity market risk and overall business conditions in relation to US stock returns as a modelling experiment. A selection of knots and orders are applied on the models to determine the best fit coefficients, respectively, based on Akaike Information Criteria (AIC). The classic risk coefficient along with downside and upside counterparts are estimated in a non-linear time-weighted fashion and are subsequently adopted as risk factors to investigate the explanatory and predictive power to stock returns. It is found that time-weighted classic, downside and upside risk coefficients of all three domains provide significant explanatory power to current stock returns, while the predictive power appears to be weak. The findings fill the gap in literature, specifically on both investigating and pricing the time-weighted risk. This paper innovatively employs the Aruoba-Diebold-Scotti (ADS) real business index to measure the business conditions in macroeconomics context. The methodology proposed in this paper embeds advanced mathematical approaches to provide robust regression estimation. The application of proposed models enriches the dimension in pricing risk in stock market and wider financial market.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230576","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

Availability heuristic and reversals following large stock price changes: evidence from the FTSE 100 股票价格大幅变动后的可用性启发式和反转:来自富时100指数的证据

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022003

Diogo Matos, Luís Pacheco, Júlio Lobão

引用次数: 1

Asymmetrical herding in cryptocurrency: Impact of COVID 19 加密货币中的不对称羊群:COVID - 19的影响

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022014

Bharti, Ashish Kumar

引用次数: 2

Financial market disruption and investor awareness: the case of implied volatility skew 金融市场混乱与投资者意识:隐含波动率偏差的案例

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022021

Hammad Siddiqi

{"title":"Financial market disruption and investor awareness: the case of implied volatility skew","authors":"Hammad Siddiqi","doi":"10.3934/qfe.2022021","DOIUrl":"https://doi.org/10.3934/qfe.2022021","url":null,"abstract":"The crash of 1987 is considered one of the most significant events in the history of financial markets due to the severity and swiftness of market declines worldwide. In the aftermath of the crash, a permanent change in options market occurred; implied volatility skew started appearing in options markets worldwide. In this article, we argue that the emergence of the implied volatility skew can be understood as arising from increased investor awareness about the stock price process and its implications for delta hedging. Delta-hedging aims to eliminate the directional risk associated with price movements in the underlying asset. Before the crash, investors were unaware of the proposition that \"a delta-hedged portfolio is risky\". That is, they implicitly believed in the proposition that \"a delta-hedged portfolio is risk-free\". The crash caused \"portfolio insurance delta-hedges\" to fail spectacularly. The resulting visceral shock drove home the lesson that \"a delta-hedged portfolio is risky\", thus, increasing investor awareness. We show that this sudden realization that a delta-hedged portfolio is risky is sufficient to generate the implied volatility skew and is equivalent to replacing the risk-free rate with a higher rate in the European call option formula. It follows that investor awareness (beyond asymmetric information) is an important consideration that matters for financial market behavior.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230619","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

Time-varying impact of U.S. financial conditions on China's inflation: a perspective of different types of events 美国金融状况对中国通货膨胀的时变影响：不同类型事件的视角

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-09-29 DOI: 10.3934/qfe.2021027

Yanhong Feng, Shuanglian Chen, Wang Xuan, Tan Yong

引用次数: 11

Using accounting measures of (in)tangibility for organizational classifications 在组织分类中使用有形性的会计度量

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-05-13 DOI: 10.3934/QFE.2021015

Tiago Cardao-Pito, Julia A. Smith, João da Silva Ferreira

{"title":"Using accounting measures of (in)tangibility for organizational classifications","authors":"Tiago Cardao-Pito, Julia A. Smith, João da Silva Ferreira","doi":"10.3934/QFE.2021015","DOIUrl":"https://doi.org/10.3934/QFE.2021015","url":null,"abstract":"We present an empirical test of a new measure to classify organizations according to the tangibility of product (output) flows delivered to customers. Our measure exhibits the empirical consequences of using standard industrial classifications to assume that firms within the same industry either share identical properties or sell homogeneous products. To illustrate the misleading findings that can result from these assumptions, we investigate whether prior literature on capital structure provides a sensible interpretation of organizational behavior, based as it often is on an assumption that all firms within a given industrial classification sell durable goods. In contrast to the product-market literature based upon the trade-off theory of capital structure, that would predict that firms selling physical goods will have proportionately less debt, in fact, when firms within industries are classified using our measure, we find to the contrary. Our intention is not to displace existing systems of industry classification but is, rather, to highlight the dangers of drawing conclusions from assuming homogeneity amongst firms which are formally registered within the same industry.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2021-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46249481","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

Liquidity risk and bank performance in Southeast Asian countries: a dynamic panel approach 东南亚国家的流动性风险与银行绩效:动态面板方法

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/QFE.2021006

Tram Thi Xuan Huong, T. T. Nga., T. Oanh

引用次数: 11

Physical approach to elucidate stability and instability issues, and Elliott waves in financial systems: S & P-500 index as case study 用物理方法阐明稳定性和不稳定性问题，以及金融系统中的艾略特波:标准普尔500指数为例研究

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/qfe.2021008

Güngör Gündüz

引用次数: 4

Commodity-linked bonds as an innovative financing instrument for African countries to build back better 商品挂钩债券作为非洲国家更好重建的创新融资工具

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/qfe.2021023

Joseph Atta-Mensah

{"title":"Commodity-linked bonds as an innovative financing instrument for African countries to build back better","authors":"Joseph Atta-Mensah","doi":"10.3934/qfe.2021023","DOIUrl":"https://doi.org/10.3934/qfe.2021023","url":null,"abstract":"Commodity-linked bond, a type of state contingent claims, presents an innovative tool for African countries to mobilize resources on the international capital markets. Given their colossal financing needs, which has been worsened by the COVID-19 pandemic, African countries need to put in place innovative financing mechanisms to support their development frameworks for building back better. The issuing of this type of bond could provide an opportunity for commodity-producing African countries to hedge against fluctuations in their export earnings. The results show that the value of a commodity-linked bond increases as the price of the commodity indexed to the bond rises, suggesting that African countries should issue debt contracts that are tied to their export commodities so that their debt declines with plummeting export prices (or export revenues). A simple portfolio rule derived suggests that countries should issue more commodity-linked bonds than conventional debt if the variance of the portfolio is greater than twice the spread between the expected total return of the conventional debt and the commodity-linked bond. This rule supports the view that African countries' debt-service payments, for debt issued in the form of commodity-linked bonds, would decline whenever the price of their export commodities decline thus lightening their debt load.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70229145","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: 5