International Journal of Financial Studies最新文献

{"title":"Enhancing Value-at-Risk with Credible Expected Risk Models","authors":"Khreshna Syuhada, Rizka Puspitasari, I Kadek Darma Arnawa, Lailatul Mufaridho, Elonasari Elonasari, Miftahul Jannah, Aniq Rohmawati","doi":"10.3390/ijfs12030080","DOIUrl":"https://doi.org/10.3390/ijfs12030080","url":null,"abstract":"Accurate risk assessment is crucial for predicting potential financial losses. This paper introduces an innovative approach by employing expected risk models that utilize risk samples to capture comprehensive risk characteristics. The innovation lies in the integration of classical credibility theory with expected risk models, enhancing their stability and precision. In this study, two distinct expected risk models were developed, referred to as Model Type I and Model Type II. The Type I model involves independent and identically distributed random samples, while the Type II model incorporates time-varying stochastic processes, including heteroscedastic models like GARCH(p,q). However, these models often exhibit high variability and instability, which can undermine their effectiveness. To mitigate these issues, we applied classical credibility theory, resulting in credible expected risk models. These enhanced models aim to improve the accuracy of Value-at-Risk (VaR) forecasts, a key risk measure defined as the maximum potential loss over a specified period at a given confidence level. The credible expected risk models, referred to as CreVaR, provide more stable and precise VaR forecasts by incorporating credibility adjustments. The effectiveness of these models is evaluated through two complementary approaches: coverage probability, which assesses the accuracy of risk predictions; and scoring functions, which offer a more nuanced evaluation of prediction accuracy by comparing predicted risks with actual observed outcomes. Scoring functions are essential in further assessing the reliability of CreVaR forecasts by quantifying how closely the forecasts align with the actual data, thereby providing a more comprehensive measure of predictive performance. Our findings demonstrate that the CreVaR risk measure delivers more reliable and stable risk forecasts compared to conventional methods. This research contributes to quantitative risk management by offering a robust approach to financial risk prediction, thereby supporting better decision making for companies and financial institutions.","PeriodicalId":45794,"journal":{"name":"International Journal of Financial Studies","volume":"5 1","pages":""},"PeriodicalIF":2.3,"publicationDate":"2024-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142203029","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}

{"title":"The Relationship between Financial Literacy Misestimation and Misplacement from the Perspective of Inverse Differential Information and Stock Market Participation","authors":"Yun-Ho Lee, Weihua Ma","doi":"10.3390/ijfs12030081","DOIUrl":"https://doi.org/10.3390/ijfs12030081","url":null,"abstract":"This study proposes the inverse differential information theory, which predicts a positive relationship between misestimation and misplacement, two types of overconfidence. The inverse differential information theory contrasts with the existing theory of differential information, which argues for a negative relationship between these two types of overconfidence. This study shows that these differences arise from opposing perspectives on the accuracy with which individuals assess their own abilities or performance compared to others’. The inverse differential information theory posits that people tend to evaluate others more objectively than they do themselves. A positive relationship between misestimation and misplacement predicts that overestimation and overplacement, as well as underestimation and underplacement, tend to occur together. Analysis using financial literacy data from South Korean adults supports the prediction of the inverse differential information theory. When these two types of overconfidence form a positive relationship, they are expected to have systematically a significant impact on human decision-making and behavior. This study empirically demonstrates that the positive relationship between misestimation and misplacement in financial literacy significantly influences individuals’ financial behavior, specifically in the context of stock market participation experience. The inverse differential information theory requires further empirical validation across various domains, not just in the field of behavioral finance, to establish whether the positive interaction between misestimation and misplacement consistently influences human decision-making and behavior.","PeriodicalId":45794,"journal":{"name":"International Journal of Financial Studies","volume":"8 1","pages":""},"PeriodicalIF":2.3,"publicationDate":"2024-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142203044","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}

{"title":"The Determinants of Entrepreneurial Success: An Application to Micro-Enterprises Financed by Microcredit in France","authors":"Serge Valant Gandja, Marinette Kamaha","doi":"10.3390/ijfs12030079","DOIUrl":"https://doi.org/10.3390/ijfs12030079","url":null,"abstract":"Micro-enterprises are at the heart of industrialized countries’ political concerns, particularly in Europe. If the latter are the subject of such special attention, it is because of their important role in terms of economic growth. This study evaluated the factors of business success as a multidimensional and multifaceted construct that integrates three aspects: entrepreneurial continuity, economic success, and entrepreneur satisfaction. Together, we included these three aspects in an econometric analysis using an ordered Probit model. We propose, from a new angle, an understanding of the determinants of the sustainable performance of micro-enterprises, in this case, those financed by microcredit in France. Our results show that total success seems to be explained in particular by elements from financial and human capital, motivation, and entrepreneurial support.","PeriodicalId":45794,"journal":{"name":"International Journal of Financial Studies","volume":"20 1","pages":""},"PeriodicalIF":2.3,"publicationDate":"2024-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141969727","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}

{"title":"Unpacking the Complexity of Corporate Sustainability: Green Innovation’s Mediating Role in Risk Management and Performance","authors":"Munther Al-Nimer","doi":"10.3390/ijfs12030078","DOIUrl":"https://doi.org/10.3390/ijfs12030078","url":null,"abstract":"This study investigates the relationships among corporate sustainability development (CSD), enterprise risk management performance (ERMP), and green innovation (GI) in the Jordanian manufacturing firms. The empirical data of 97 companies listed on the Amman Stock Exchange were gathered in a time span of three months (i.e., January 2024 to March 2024). A structural equation modeling was employed to examine these complex dynamics. The findings reveal that CSD is negatively associated with both ERMP and enterprise sustainable performance in the short term, challenging conventional wisdom. However, CSD strongly promotes GI, which in turn positively influences ERMP while negatively affecting short-term performance. GI acts as a significant mediator, positively mediating the CSD–ERMP relationship and negatively mediating the CSD–performance link. These results extend the sustainability paradox concept to emerging economies and highlight the critical role of GI in balancing sustainability initiatives with risk management and performance outcomes. The study suggests that firms may experience initial disruptions when implementing sustainability practices, but these initiatives can drive innovation within organizations. Based on these findings, this study recommends that managers in emerging economies adopt a long-term perspective when implementing sustainability initiatives and develop more flexible risk management systems. Policymakers should consider supportive frameworks to help firms navigate the tensions between sustainability, innovation, and short-term performance. Future research should employ longitudinal designs to capture the dynamic nature of these relationships and explore potential moderating factors such as firm size or industry-specific characteristics.","PeriodicalId":45794,"journal":{"name":"International Journal of Financial Studies","volume":"30 1","pages":""},"PeriodicalIF":2.3,"publicationDate":"2024-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141948349","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}

{"title":"Optimal Market-Neutral Multivariate Pair Trading on the Cryptocurrency Platform","authors":"Hongshen Yang, Avinash Malik","doi":"10.3390/ijfs12030077","DOIUrl":"https://doi.org/10.3390/ijfs12030077","url":null,"abstract":"This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a “bucket” of fiat currencies anchored to cryptocurrency for monitoring and exploiting trading opportunities simultaneously. To address quantitative conflicts from multiple trading signals, a novel bi-objective convex optimization formulation is designed to balance investor preferences between profitability and risk tolerance. We understand that cryptocurrencies carry significant financial risks. Therefore this process includes tunable parameters such as volatility penalties and action thresholds. In experiments conducted in the cryptocurrency market from 2020 to 2022, which encompassed a vigorous bull run followed by a bear run, the OTT achieved an annualized profit of 15.49%. Additionally, supplementary experiments detailed in the appendix extend the applicability of OTT to other major cryptocurrencies in the post-COVID period, validating the model’s robustness and effectiveness in various market conditions. The arbitrage operation offers a new perspective on trading, without requiring external shorting or holding the intermediate during the arbitrage period. As a note of caution, this study acknowledges the high-risk nature of cryptocurrency investments, which can be subject to significant volatility and potential loss.","PeriodicalId":45794,"journal":{"name":"International Journal of Financial Studies","volume":"139 1","pages":""},"PeriodicalIF":2.3,"publicationDate":"2024-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141948268","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}

{"title":"Dealing with “Do Not Know” Responses in the Assessment of Financial Literacy: The Use of a Sample Selection Model","authors":"Anna Conte, Paola Paiardini, Jacopo Temperini","doi":"10.3390/ijfs12030076","DOIUrl":"https://doi.org/10.3390/ijfs12030076","url":null,"abstract":"Financial literacy assessments typically rely on sample surveys containing sets of questions designed to gauge respondents’ comprehension of fundamental financial concepts necessary for making informed decisions. The answers to such questions, either categorical or continuous in nature, generally include a “Do not know” option. If those who choose the “Do not know” option are not a random sample of the population but exhibit peculiar characteristics, treating these observations as either incorrect responses or as missing data may distort the results regarding the determinants of financial literacy. A noteworthy case lies in the observation from survey studies that women tend to choose the “Do not know” option more frequently than men. In similar cases, treating the “Do not know” responses as incorrect answers increases the gender gap in financial literacy while treating them as missing values reduces the gap. We propose using a model with sample selection, which enables us to disentangle the inclination to answer “Do not know” from actual responses. By applying this model to a representative sample of the UK population, we do not find any systematic gender gap in financial knowledge. The study’s novel treatment of “Do not know” responses contributes valuable insights to the broader discourse on the determinants of financial literacy and the related gender-based differences.","PeriodicalId":45794,"journal":{"name":"International Journal of Financial Studies","volume":"12 1","pages":""},"PeriodicalIF":2.3,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141948269","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}

{"title":"Analyzing Overnight Momentum Transmission: The Impact of Oil Price Volatility on Global Financial Markets","authors":"Huthaifa Sameeh Alqaralleh","doi":"10.3390/ijfs12030075","DOIUrl":"https://doi.org/10.3390/ijfs12030075","url":null,"abstract":"Fluctuations in oil prices substantially impact both the real economy and international financial markets. Despite extensive studies on oil market dynamics and overnight momentum, a comprehensive understanding of the link between oil price changes and energy market momentum, as well as their broader influence on global financial markets, remains elusive. This study delves into the intricate mechanics of overnight momentum transmission within financial markets, focusing on its origin in oil price fluctuations and its overarching impact on market dynamics. Employing the quantile VAR method, we analyze daily market data from 3 January 2014 to 17 January 2024. This study emphasizes the significance of overnight momentum on the transmission of volatility, particularly in the tails of the distribution, and highlights the necessity for efficient strategies to govern financial stability. The shale oil revolution, COVID-19, the Russia–Ukraine war, and the Israel–Hamas conflict have significantly impacted the interconnectivity of financial markets on a global scale. It is crucial for policymakers to give priority to the monitoring of the energy market to reduce risks and improve the resilience of the system.","PeriodicalId":45794,"journal":{"name":"International Journal of Financial Studies","volume":"178 1","pages":""},"PeriodicalIF":2.3,"publicationDate":"2024-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141871355","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}

{"title":"The Influence of Social Responsibility Practices on Tax Planning: An Empirical Study for Companies Listed on Euronext Lisbon","authors":"Pedro Ferreira Silva, Cristina Sá, Teresa Eugénio","doi":"10.3390/ijfs12030073","DOIUrl":"https://doi.org/10.3390/ijfs12030073","url":null,"abstract":"This paper analyzes the influence of social responsibility practices on the development of tax planning activities in companies listed on Euronext Lisbon. Although scientific research into social responsibility and tax planning is not new, scientific studies into the relationship between these two themes is a developing area of research that still raises many questions. This study was carried out on a sample of 30 companies listed on Euronext Lisbon, using data for the 2018 and 2019 periods. The hypotheses were formulated based on a literature review on this subject. A multiple linear regression model was developed to validate the hypotheses. The results show that the social, corporate governance, environmental, or economic components of corporate social responsibility do not influence tax planning. However, the results show that company size negatively impacts tax planning, i.e., larger companies have lower effective tax rates. In the sample studied, larger companies implemented more tax planning strategies. In this way, this study can complement the understanding of the relationship between social responsibility practices and tax planning activities in Portugal and internationally.","PeriodicalId":45794,"journal":{"name":"International Journal of Financial Studies","volume":"20 1","pages":""},"PeriodicalIF":2.3,"publicationDate":"2024-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141871354","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}

{"title":"Exploring the Influence of Earnings Management on the Value Relevance of Financial Statements: Evidence from the Bucharest Stock Exchange","authors":"Georgiana Burlacu, Ioan-Bogdan Robu, Ionela Munteanu","doi":"10.3390/ijfs12030072","DOIUrl":"https://doi.org/10.3390/ijfs12030072","url":null,"abstract":"Although financial statements are extremely important to investors in decision-making processes, their reliability can be affected by earnings management (EM) practices, which involve manipulating financial reports in order to achieve managerial benefits. This study explores the relationship between earnings management and firm valuation, based on accounting information’s predictive value, specifically investigating how EM influences the value relevance (VR) of earnings on share price. The research focuses on a sample of audited companies listed on the Bucharest Stock Exchange (BSE) between 2019 and 2021, comprising 62 entities. Using regression analysis, we explored the importance of accounting information for investors following Ohlson’s research and examined the relationship between EM and VR based on Jones’s model. The findings indicate that earnings significantly impact stock prices, highlighting their value relevance in the Romanian stock market. However, the practice of earnings management reduces the value relevance of earnings because it decreases the reliability of the accounting information. The main contribution of this analysis is to provide a fresh perspective on earnings management (EM) within the BVB framework by highlighting its pivotal role in shaping the motivation and behavior of corporate managers.","PeriodicalId":45794,"journal":{"name":"International Journal of Financial Studies","volume":"16 1","pages":""},"PeriodicalIF":2.3,"publicationDate":"2024-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141779365","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}

{"title":"Economic Policy Uncertainty and Commercial Property Performance: An In-Depth Analysis of Rents and Capital Values","authors":"Albert Agbeko Ahiadu, Rotimi Boluwatife Abidoye, Tak Wing Yiu","doi":"10.3390/ijfs12030071","DOIUrl":"https://doi.org/10.3390/ijfs12030071","url":null,"abstract":"Economic uncertainty has steadily increased in response to a series of unforeseen shocFks, notably the Global Financial Crisis, Brexit, COVID-19, and the Russia–Ukraine war. This study examined the impact of economic uncertainty on rents and capital values in Australia’s office, retail, and industrial property sectors. The reactions of these performance indicators to national uncertainty shocks were assessed through reduced-form vector autoregressive (VAR) models, using quarterly data from 2001Q1 to 2022Q3. Overall, there is an inverse relationship between uncertainty and commercial property performance, with notable variations in magnitude and persistence across the different subsectors. Rents are more sensitive to external shocks across all three subsectors, highlighting their role as signals of short-term performance. Following one standard deviation shock in uncertainty, rents steadily declined for approximately three years in the office and retail subsectors. Industrial rents, however, exhibited muted reactions and recovered quicker, typically within five quarters. This resilience to external shocks displayed by the industrial subsector positions it as a compelling option for defensive investment strategies and portfolio diversification. Capital values are less reactive than rents, showing minimal responses to uncertainty shocks and little long-term persistence.","PeriodicalId":45794,"journal":{"name":"International Journal of Financial Studies","volume":"142 1","pages":""},"PeriodicalIF":2.3,"publicationDate":"2024-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141745755","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}