European Journal of Finance最新文献

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A high-frequency analysis of return and volatility spillovers in the European sovereign bond market 欧洲主权债券市场收益和波动溢出的高频分析
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2021-04-06 DOI: 10.1080/1351847X.2021.1910057
Conall O'Sullivan, V. Papavassiliou
{"title":"A high-frequency analysis of return and volatility spillovers in the European sovereign bond market","authors":"Conall O'Sullivan, V. Papavassiliou","doi":"10.1080/1351847X.2021.1910057","DOIUrl":"https://doi.org/10.1080/1351847X.2021.1910057","url":null,"abstract":"Using high-frequency data from the MTS trading platform, we examine return and volatility spillover effects across different maturities in the European sovereign bond market over tranquil and crisi...","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":"1 1","pages":"1-26"},"PeriodicalIF":2.5,"publicationDate":"2021-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1351847X.2021.1910057","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45486985","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
How does mutual fund flow respond to oil market volatility? 共同基金流动如何应对石油市场的波动?
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2020-11-12 DOI: 10.1080/1351847x.2020.1842784
B. Alsubaiei, G. Calice, Andrew Vivian
{"title":"How does mutual fund flow respond to oil market volatility?","authors":"B. Alsubaiei, G. Calice, Andrew Vivian","doi":"10.1080/1351847x.2020.1842784","DOIUrl":"https://doi.org/10.1080/1351847x.2020.1842784","url":null,"abstract":"We comprehensively study the impact of oil market volatility on mutual fund flow. In particular, using an extensive dataset on Saudi Arabia covering virtually all equity funds over 2006–2017, this ...","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":"1 1","pages":"1-25"},"PeriodicalIF":2.5,"publicationDate":"2020-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1351847x.2020.1842784","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48827978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Has the new bail-in framework increased the yield spread between subordinated and senior bonds? 新的纾困框架是否扩大了次级债券和优先债券之间的收益率差?
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2020-07-22 DOI: 10.1080/1351847X.2020.1776353
Irene Pablos Nuevo
{"title":"Has the new bail-in framework increased the yield spread between subordinated and senior bonds?","authors":"Irene Pablos Nuevo","doi":"10.1080/1351847X.2020.1776353","DOIUrl":"https://doi.org/10.1080/1351847X.2020.1776353","url":null,"abstract":"This paper investigates the impact of the introduction and implementation of the new EU bail-in framework on the banks' subordinated bond yield spreads over senior unsecured bonds, and links the bo...","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":"6 1","pages":"1781-1797"},"PeriodicalIF":2.5,"publicationDate":"2020-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85956346","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Financial crime ‘hot spots’ – empirical evidence from the foreign exchange market 金融犯罪“热点”——来自外汇市场的经验证据
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2018-05-24 DOI: 10.1080/1351847X.2017.1303528
Florian El Mouaaouy
{"title":"Financial crime ‘hot spots’ – empirical evidence from the foreign exchange market","authors":"Florian El Mouaaouy","doi":"10.1080/1351847X.2017.1303528","DOIUrl":"https://doi.org/10.1080/1351847X.2017.1303528","url":null,"abstract":"ABSTRACT This paper uses a natural experiment to investigate the effects of collusive benchmark manipulation on foreign exchange (FX) market characteristics. Constructing digit-based measures, the empirical analysis detects anomalies throughout different digit positions of currency pairs in prosecuted FX data. The findings contribute to the understanding of suspicious patterns during the World Markets Company and Reuters benchmark window around the London close and suggest a simple, practical, and useful approach to screening other financial benchmarks, markets, and time periods.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":"24 1","pages":"565 - 583"},"PeriodicalIF":2.5,"publicationDate":"2018-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1351847X.2017.1303528","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"59717109","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Chinese capital markets 中国资本市场
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2017-06-06 DOI: 10.1142/9789812565839_0005
Douglas J. Cumming, A. Guariglia, W. Hou, Edward Lee
{"title":"Chinese capital markets","authors":"Douglas J. Cumming, A. Guariglia, W. Hou, Edward Lee","doi":"10.1142/9789812565839_0005","DOIUrl":"https://doi.org/10.1142/9789812565839_0005","url":null,"abstract":"","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":"1 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2017-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46828576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pricing Volatility Options Under Stochastic Skew with Application to the VIX Index 随机倾斜下波动性期权定价及其在波动率指数中的应用
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2017-03-16 DOI: 10.2139/SSRN.2466930
J. Romo
{"title":"Pricing Volatility Options Under Stochastic Skew with Application to the VIX Index","authors":"J. Romo","doi":"10.2139/SSRN.2466930","DOIUrl":"https://doi.org/10.2139/SSRN.2466930","url":null,"abstract":"In recent years, there has been a remarkable growth of volatility options. In particular, VIX options are among the most actively trading contracts at Chicago Board Options Exchange. These options exhibit upward sloping volatility skew and the shape of the skew is largely independent of the volatility level. To take into account these stylized facts, this article introduces a novel two-factor stochastic volatility model with mean reversion that accounts for stochastic skew consistent with empirical evidence. Importantly, the model is analytically tractable. In this sense, I solve the pricing problem corresponding to standard-start, as well as to forward-start European options through the Fast Fourier Transform. To illustrate the practical performance of the model, I calibrate the model parameters to the quoted prices of European options on the VIX index. The calibration results are fairly good indicating the ability of the model to capture the shape of the implied volatility skew associated with VIX options.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":"23 1","pages":"353-374"},"PeriodicalIF":2.5,"publicationDate":"2017-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.2139/SSRN.2466930","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48362540","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Which Parametric Model for Conditional Skewness 哪种参数模型适合条件偏度
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2016-10-20 DOI: 10.2139/SSRN.968091
Bruno Feunou, Mohammad R. Jahan-Parvar, Roméo Tédongap
{"title":"Which Parametric Model for Conditional Skewness","authors":"Bruno Feunou, Mohammad R. Jahan-Parvar, Roméo Tédongap","doi":"10.2139/SSRN.968091","DOIUrl":"https://doi.org/10.2139/SSRN.968091","url":null,"abstract":"This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. We find that an asymmetric generalized autoregressive conditional heteroscedasticity specification on shape parameters with a skewed generalized error distribution provides the best in-sample fit for the data, as well as reasonable predictions of the realized skewness measure. Our empirical findings imply significant asymmetry with respect to positive and negative news in both conditional asymmetry and kurtosis processes.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":"22 1","pages":"1237-1271"},"PeriodicalIF":2.5,"publicationDate":"2016-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.2139/SSRN.968091","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67914441","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 24
Valoración de empresas por descuento de flujos: 10 métodos y 7 teorías (Valuing Companies by Cash Flow Discounting: 10 Methods and 7 Theories) Valoración通过现金流贴现对公司进行估值:10种方法和7种理论)
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2016-02-13 DOI: 10.2139/ssrn.1266623
Pablo Fernández
{"title":"Valoración de empresas por descuento de flujos: 10 métodos y 7 teorías (Valuing Companies by Cash Flow Discounting: 10 Methods and 7 Theories)","authors":"Pablo Fernández","doi":"10.2139/ssrn.1266623","DOIUrl":"https://doi.org/10.2139/ssrn.1266623","url":null,"abstract":"Spanish Abstract: Este documento es un compendio de los metodos y teorias mas utilizados para valorar de empresas por descuento de flujos. Los 10 metodos descritos son: flujos para las acciones descontados a la rentabilidad exigida a las acciones; free cash flow descontado al WACC; capital cash flows descontados al WACC antes de impuestos; APV (adjusted present value); free cash flows ajustados al riesgo del negocio descontados a la rentabilidad exigida a los activos; cash flows para las acciones ajustados al riesgo del negocio descontados a la rentabilidad exigida a los activos; beneficio economico descontado a la rentabilidad exigida a las acciones; EVA descontado al WACC; free cash flows ajustados descontados a la tasa libre de riesgo, y cash flows para las acciones ajustados descontados a la tasa libre de riesgo. Los diez metodos proporcionan siempre el mismo valor. Este resultado es logico porque todos los metodos analizan la misma realidad bajo las mismas hipotesis; solo difieren en los flujos que toman como punto de partida para la valoracion. Tambien se muestran 7 teorias sobre el valor del ahorro de impuestos debido a los intereses (VTS) y su impacto en la valoracion. English Abstract: This paper is a summarized compendium of all the methods and theories on company valuation using discounted cash flows. It shows ten discounted cash flow valuation methods: 1) equity cash flows discounted at the required return to equity; 2) free cash flow discounted at the WACC; 3) capital cash flows discounted at the WACC before tax; 4) APV (Adjusted Present Value); 5) the business's risk-adjusted free cash flows discounted at the required return to assets; 6) the business's risk-adjusted equity cash flows discounted at the required return to assets; 7) economic profit discounted at the required return to equity; 8) EVA discounted at the WACC; 9) the risk-free rate-adjusted free cash flows discounted at the risk-free rate; and 10) the risk-free rate-adjusted equity cash flows discounted at the required return to assets. All ten methods always provide the same value. This result is logical, as all the methods analyze the same reality under the same hypotheses; they differ only in the cash flows taken as the starting point for the valuation. The disagreements among the various theories of firm valuation arise from the calculation of the value of the tax shields (VTS). The paper shows and analyses 7 different theories on the calculation of the VTS: No-cost-of-leverage, Modigliani and Miller (1963), Myers (1974), 7 Miles and Ezzell (1980), Harris and Pringle (1985), Damodaran (1994), 7 and Practitioners method. The paper lists the most important valuation equations according to each of these theories, and also shows how the valuation equations change when the debt's market value is not equal to its book value.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":"1 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2016-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88899243","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Bund for Glory, or, it's a Long Way to Tip a Market 外滩的荣耀,或者,这是一个很长的路要走的市场
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2015-12-01 DOI: 10.2139/ssrn.672504
Craig Pirrong
{"title":"Bund for Glory, or, it's a Long Way to Tip a Market","authors":"Craig Pirrong","doi":"10.2139/ssrn.672504","DOIUrl":"https://doi.org/10.2139/ssrn.672504","url":null,"abstract":"Theory predicts that liquidity considerations make financial markets \"tippy\". In 1998, trading on Bund futures tipped from LIFFE (an open outcry exchange) to Eurex (an electronic market). Measures of spreads on LIFFE and Eurex did not change markedly in the eighteen month period over which Eurex achieved dominance in Bund futures trading, but a measure of market depth did worsen on LIFFE as tipping proceeded. The evidence suggests that trading fee differentials and operational efficiences were the key factors in preciptiating the shift in volume. The \"sponsorship\" of the Eurex platform by German banks narrowed liquidity cost differences sufficiently to permit Eurex to charge lower fees and thereby undercut total trading costs on LIFFE.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":"28 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86862032","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Is value creation consistent with currency hedging? 价值创造是否与货币对冲一致?
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2015-09-02 DOI: 10.1080/1351847X.2013.773262
Milagros Vivel Búa, Luís Otero González, Sara Fernández López, Pablo Durán Santomil
{"title":"Is value creation consistent with currency hedging?","authors":"Milagros Vivel Búa, Luís Otero González, Sara Fernández López, Pablo Durán Santomil","doi":"10.1080/1351847X.2013.773262","DOIUrl":"https://doi.org/10.1080/1351847X.2013.773262","url":null,"abstract":"This paper analyzes value creation through currency hedging in the Spanish market. The results show that the hedging with derivatives generated an average premium of 1.53% and that foreign currency debt generated 7.52%, with respect to company value approximated by Tobin's Q, while operational hedging does not affect company value. Moreover, in half of the observations corresponding to companies that hedged with derivatives, the value premium was between 0.08% and 0.99%. In the case of foreign currency debt, the range was between 1.79% and 10.37%. It demonstrates that the contribution of currency hedging to company value fluctuates considerable according to the volume of financial hedging. Thus, an empirical study of this aspect which only analyses the decision to hedge through dummy variables to define financial hedging, as empirical previous studies, can lead to biased results in terms of estimated premium amounts, because it assumes a homogenous treatment of companies regardless of hedging volumes.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":"21 1","pages":"912 - 945"},"PeriodicalIF":2.5,"publicationDate":"2015-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1351847X.2013.773262","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"59716561","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
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