Journal of Risk and Financial Management最新文献_第7页

Research on the Dynamic Interrelationship between Economic Policy Uncertainty and Stock Market Returns 经济政策不确定性与股票市场回报之间的动态相互关系研究

Journal of Risk and Financial Management Pub Date : 2024-08-11 DOI: 10.3390/jrfm17080347

Mingguo Zhao, Hail Park

{"title":"Research on the Dynamic Interrelationship between Economic Policy Uncertainty and Stock Market Returns","authors":"Mingguo Zhao, Hail Park","doi":"10.3390/jrfm17080347","DOIUrl":"https://doi.org/10.3390/jrfm17080347","url":null,"abstract":"This paper employs the Panel Vector Autoregression (PVAR) method to examine the dynamic interrelationship between Economic Policy Uncertainty (EPU) and stock market returns. The existing literature has not reached a consensus on the relationship between EPU and stock market returns, and there is a lack of comparative analysis of domestic and foreign EPU. Therefore, this paper is the first to incorporate domestic and foreign EPU, stock market returns, and output into a unified framework, considering the dual impact of domestic and foreign EPU shocks. Additionally, the generalizability of the results is ensured by including a large sample of nine emerging and eleven advanced economies. The main findings are as follows: First, a positive shock to foreign EPU leads to a decline in stock market returns and is stronger than the impact of domestic EPU. Second, a positive shock to stock market returns reduces both domestic and foreign EPU. Third, a rise in stock market returns promotes domestic output growth, while increases in domestic and foreign EPU suppress domestic output growth. Finally, the United States is a net exporter of EPU rather than a net importer.","PeriodicalId":47226,"journal":{"name":"Journal of Risk and Financial Management","volume":"369 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141932061","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

Econometric Analysis of SOFIX Index with GARCH Models 利用 GARCH 模型对 SOFIX 指数进行计量经济学分析

Journal of Risk and Financial Management Pub Date : 2024-08-10 DOI: 10.3390/jrfm17080346

Plamen Petkov, Margarita Shopova, Tihomir Varbanov, Evgeni Ovchinnikov, Angelin Lalev

{"title":"Econometric Analysis of SOFIX Index with GARCH Models","authors":"Plamen Petkov, Margarita Shopova, Tihomir Varbanov, Evgeni Ovchinnikov, Angelin Lalev","doi":"10.3390/jrfm17080346","DOIUrl":"https://doi.org/10.3390/jrfm17080346","url":null,"abstract":"This paper investigates five different different Auto Regressive Moving Average (ARMA) and Generalized Auto Regressive Condition-al Heteroscedacity (GARCH models (GARCH, exponential GARCH or EGARCH, integrated GARCH or IGARCH, Component GARCH or CGARCH and the Glosten-Jagannathan-Runkle GARCH or GJR-GARCH) along with six distributions (normal, Student’s t, GED and their skewed forms), which are used to estimate the price dynamics of the Bulgarian stock index SOFIX. We use the best model to predict how much time it will take, after the latest crisis, for the SOFIX index to reach its historical peak once again. The empirical data cover the period between the years 2000 and 2024, including the 2008 financial crisis and the COVID-19 pandemic. The purpose is to answer which of the five models is the best at analysing the SOFIX price and which distribution is most appropriate. The results, based on the BIC and AIC, show that the ARMA(1,1)-CGARCH(1,1) specification with the Student’s t-distribution is preferred for modelling. From the results obtained, we can confirm that the CGARCH model specification supports a more appropriate description of SOFIX volatility than a simple GARCH model. We find that long-term shocks have a more persistent impact on volatility than the effect of short-term shocks. Furthermore, for the same magnitude, negative shocks to SOFIX prices have a more significant impact on volatility than positive shocks. According to the results, when predicting future values of SOFIX, it is necessary to include both a first-order autoregressive component and a first-order moving average in the mean equation. With the help of 5000 simulations, it is estimated that the chances of SOFIX reaching its historical peak value of 1976.73 (08.10.2007) are higher than 90% at 13.08.2087.","PeriodicalId":47226,"journal":{"name":"Journal of Risk and Financial Management","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141931964","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

Accounting and Macroeconomic Variables Explaining Investment: An Empirical Study with Panel Data in the Portuguese Textile Sector 解释投资的会计和宏观经济变量：葡萄牙纺织业面板数据实证研究

Journal of Risk and Financial Management Pub Date : 2024-08-08 DOI: 10.3390/jrfm17080345

Isabel Oliveira, Jorge Figueiredo, Maria Faria, Francisco V. Martins

{"title":"Accounting and Macroeconomic Variables Explaining Investment: An Empirical Study with Panel Data in the Portuguese Textile Sector","authors":"Isabel Oliveira, Jorge Figueiredo, Maria Faria, Francisco V. Martins","doi":"10.3390/jrfm17080345","DOIUrl":"https://doi.org/10.3390/jrfm17080345","url":null,"abstract":"This study analyses the variables that influence investment in a sample of small, labour-intensive companies in a sector that is highly dependent on external demand and the world economy. The aim is to test the three traditional theories of investment (neoclassical theory, free cash flow theory and agency theory), as well as consider the existence of other variables endogenous and exogenous to the company, in order to obtain a model that is appropriate to the reality of the companies in the sample, which consists of 3859 companies in the Portuguese textile sector, for the period from 2010 to 2022. Although there are many studies on the subject, the sample of companies used is different from the others, presenting a unique perspective for understanding investment dynamics in this type of company. The methodology used involves estimating panel data models using the GMM method. The results show that there is a statistically significant and negative relationship between liquidity and asset turnover and investment, so the free cash flow and neoclassical theories, respectively, are partially verified. The agency theory is not confirmed. Other variables are significant in explaining investment: the debt structure is statistically negative, while the size of the company, the GDP and the interest rate are statistically positive. Return on assets proved not to be statistically significant in explaining investment. To summarise, the study highlights the need for financial strategies adapted to the unique characteristics of small businesses.","PeriodicalId":47226,"journal":{"name":"Journal of Risk and Financial Management","volume":"19 5","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141925819","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

May 2024 Buy-Sell Guide for Dow Jones 30 Stocks and Modified Omega Criterion 2024 年 5 月道琼斯 30 指数股票和修正欧米茄标准买入卖出指南

Journal of Risk and Financial Management Pub Date : 2024-08-08 DOI: 10.3390/jrfm17080343

H. D. Vinod

引用次数: 0

Impact of Diversity and Inclusion on Firm Performance: Moderating Role of Institutional Ownership 多元化与包容性对公司业绩的影响：机构所有权的调节作用

Journal of Risk and Financial Management Pub Date : 2024-08-08 DOI: 10.3390/jrfm17080344

Rubel Saha, Md Nurul Kabir, Syed Asif Hossain, Sheikh Mohammad Rabby

{"title":"Impact of Diversity and Inclusion on Firm Performance: Moderating Role of Institutional Ownership","authors":"Rubel Saha, Md Nurul Kabir, Syed Asif Hossain, Sheikh Mohammad Rabby","doi":"10.3390/jrfm17080344","DOIUrl":"https://doi.org/10.3390/jrfm17080344","url":null,"abstract":"We investigate the impact of diversity and inclusion (D&I) on firm performance for the period 2017–2021. While the existing literature examines the relationship between diversity and firm performance, little is known about the combined effects of D&I on firm performance. This study aims to utilize the most widely used data source, the Global Diversity and Inclusion (D&I) Index, provided by the LSEG workspace. Using 8089 firm-year observations from a sample of globally listed firms and an OLS regression model, we find that firms with a higher D&I score have better firm performance, as measured by Tobin’s Q. Our moderating analysis shows that the impact of D&I on firm performance is more pronounced for firms with higher institutional ownership. We also split institutional ownership into domestic and foreign institutional ownership and show that the influence of D&I on firm performance differs between domestic and foreign institutional ownership. Our result is robust when we use an alternative proxy for firm performance and consider the findings without US firms in the sample. The overall findings indicate that considering a diverse and inclusive workforce is worthwhile for key stakeholders when making policy decisions.","PeriodicalId":47226,"journal":{"name":"Journal of Risk and Financial Management","volume":"5 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141925874","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

Political Regimes, Stock Liquidity, and Information Asymmetry in a Global Context 全球背景下的政治制度、股票流动性和信息不对称

Journal of Risk and Financial Management Pub Date : 2024-08-08 DOI: 10.3390/jrfm17080342

Jang-Chul Kim, Qing Su, Teressa Elliott

引用次数: 0

Does a Change in the ESG Ratings Influence Firms’ Market Value? Evidence from an Event Study 环境、社会和公司治理评级的变化会影响公司的市场价值吗？事件研究的证据

Journal of Risk and Financial Management Pub Date : 2024-08-06 DOI: 10.3390/jrfm17080340

Paolo Maccarrone, Alessandro Illuzzi, Simone Inguanta

{"title":"Does a Change in the ESG Ratings Influence Firms’ Market Value? Evidence from an Event Study","authors":"Paolo Maccarrone, Alessandro Illuzzi, Simone Inguanta","doi":"10.3390/jrfm17080340","DOIUrl":"https://doi.org/10.3390/jrfm17080340","url":null,"abstract":"In recent years, the field of “ESG finance” has seen rapid growth, resulting in the emergence and expansion of ESG ratings and rating agencies. This study investigates how financial investors react to updates in ESG ratings provided by two prominent ESG rating agencies, namely MSCI and Refinitiv. The main objective is to determine whether any positive or negative changes in a company’s sustainability ratings directly impact its market value. The Event Study methodology was used for this investigation, which analyses the Cumulated Average Abnormal Returns (CAARs) of economic events to assess their influence on corporate valuations. We analysed over 840 rating updates (events) using a sample of 75 companies across various industries, all listed on major stock exchanges. Our findings indicate that shifts in sustainability ratings, as evaluated by the two rating agencies, do not significantly impact companies’ market capitalisation. Furthermore, these outcomes remain consistent over time, suggesting that financial markets are not assigning increasing significance to ESG ratings. We offer potential explanations for these findings, which are discussed in light of the existing literature on the subject.","PeriodicalId":47226,"journal":{"name":"Journal of Risk and Financial Management","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141931967","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 Impact of Selected Financial Ratios on Economic Value Added: Evidence from Croatia 特定财务比率对经济附加值的影响：克罗地亚的证据

Journal of Risk and Financial Management Pub Date : 2024-08-05 DOI: 10.3390/jrfm17080338

Robert Zenzerović, Manuel Benazić

{"title":"The Impact of Selected Financial Ratios on Economic Value Added: Evidence from Croatia","authors":"Robert Zenzerović, Manuel Benazić","doi":"10.3390/jrfm17080338","DOIUrl":"https://doi.org/10.3390/jrfm17080338","url":null,"abstract":"Traditional financial performance measures should be extended to provide additional information to stakeholders. One such extension is the economic value added (EVA). It shows residual profit above the cost of financing, both creditors and equity financing. This paper elaborates on the impact of selected financial ratios on EVA to total assets and EVA to capital employed using the 20-year aggregated data of non-financial business entities operating in Croatia. It answers the research question of which of the selected financial ratios impacts the above-mentioned EVA-based ratios. Applying dynamic panel data modeling using the generalized method of moments technique resulted in the derivation of two models. The human capital efficiency ratio was statistically significant in both models, positively affecting EVA/total assets and EVA/capital employed. In contrast, the debt ratio and net profit margin were significant only in the second model, where EVA/capital employed was a dependent variable. The research results indicate that the debt ratio affects EVA/capital employed negatively while the net profit margin has a positive effect, confirming the existing research. Total liabilities/earnings before interest, taxes, depreciation and amortization, and total asset turnover were not found to be significant in either of the two models.","PeriodicalId":47226,"journal":{"name":"Journal of Risk and Financial Management","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141931966","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

Forecasting Credit Cycles: The Case of the Leveraged Finance Market in 2024 and Outlook 预测信贷周期：2024 年杠杆融资市场案例与展望

Journal of Risk and Financial Management Pub Date : 2024-08-05 DOI: 10.3390/jrfm17080339

Edward I. Altman

引用次数: 0

Realized Volatility Spillover Connectedness among the Leading European Currencies after the End of the Sovereign-Debt Crisis: A QVAR Approach 主权债务危机结束后欧洲主要货币之间的已实现波动溢出关联性：QVAR 方法

Journal of Risk and Financial Management Pub Date : 2024-08-05 DOI: 10.3390/jrfm17080337

Michail Nerantzidis, Nikolaos Stoupos, Panayiotis Tzeremes

{"title":"Realized Volatility Spillover Connectedness among the Leading European Currencies after the End of the Sovereign-Debt Crisis: A QVAR Approach","authors":"Michail Nerantzidis, Nikolaos Stoupos, Panayiotis Tzeremes","doi":"10.3390/jrfm17080337","DOIUrl":"https://doi.org/10.3390/jrfm17080337","url":null,"abstract":"This paper examines the time-varying spillover effects and connectedness between the euro and other EU and non-EU currencies after the end of the sovereign-debt crisis. We employ the Quantile Vector Autoregression connectedness approach using intraday data for seven currencies (the euro, the British pound, the Swiss franc, the Polish zloty, the Hungarian forint, the Czech koruna, and the Norwegian krone) spanning from 1 January 2016 to 30 November 2022. The results indicate that, almost in all quantiles, the currencies of Eastern European Group countries (i.e., Czech Republic, Hungary, and Poland) are net contributors of information spillovers to other currencies, while currencies of non-EU countries (Switzerland, UK, and Norway) are net takers. Further, we find that the euro is the highest transmitter of net information spillovers to all other currencies until 2021. Interestingly, after 2021, the euro changes to net information spillover taker from all other currencies; highlighting that external shocks (e.g., COVID-19, the energy crisis) have significant risk spillover effects on the European currency market. Policymakers and market participants could benefit from knowing which currency drives developments to avoid unexpected consequences.","PeriodicalId":47226,"journal":{"name":"Journal of Risk and Financial Management","volume":"36 2 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141932058","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