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Non-parametric statistic for testing cumulative abnormal stock returns

Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13

Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...

Persistent link: https://www.econbiz.de/10013168738

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115

The economics of insurance, its borders with finance and implications for systemic regulation

Thimann, Christian - 2015

international finance is "what is insurance and where does insurance end?" This paper aims to elaborate on the economics of … insurance and its borders with general finance. It argues that the classification challenge by regulators partly stems from … terminological confusion between insurance activities and more general financial activities. Insurance and finance both use the same …

Persistent link: https://www.econbiz.de/10010479958

How much do negative probabilities matter in option pricing? : a case of a lattice-based approach for stochastic volatility models

Tseng, Chung-Li; Miao, Daniel Wei-Chung; Chung, San-Lin; … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-32

In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...

Persistent link: https://www.econbiz.de/10012587779

Role of finance in Dixit-Stiglitz-Krugman model of international trade

Marjit, Sugata; Dutta, Meghna; Roy, Moushakhi - 2022

This paper introduces finance or credit in the Dixit-Stiglitz-Krugman (DSK) model of international trade. It identifies … mechanisms by which finance can affect the main results of the conventional model. The key results are as follows. Perfect credit … output per variety. Thus, availability of finance will determine a specific trade pattern between richer and poorer nations …

Persistent link: https://www.econbiz.de/10013262745

Review papers for journal of risk and financial management (JRFM)

McAleer, Michael - In: Journal of risk and financial management : JRFM 13 (2020) 8/185, pp. 1-18

, finance, marketing, management and psychology, factors, outcome, and the solutions of supply chain finance, with a review and …

Persistent link: https://www.econbiz.de/10012321338

Volatility-adjusted 60/40 versus 100 : new risk investing paradigm

Liew, Jim Kyung-Soo; Ajakh, Ahmad - In: Journal of risk and financial management : JRFM 13 (2020) 9/190, pp. 1-6

In this study we examine the volatility-adjusted 60/40 rule at the individual company level. We document that strong diversification benefits exist over the long-term, and that both the equity and corporate bonds exhibit positive expected drifts. For our sample of 30 large-cap companies, given...

Persistent link: https://www.econbiz.de/10012386869

Religion in economic history : a survey

Becker, Sascha O.; Rubin, Jared; Woessmann, Ludger - 2020

This paper surveys the recent social science literature on religion in economic history, covering both socioeconomic causes and consequences of religion. Following the rapidly growing literature, it focuses on the three main monotheisms - Judaism, Christianity, and Islam - and on the period up...

Persistent link: https://www.econbiz.de/10012229328

Technology acceptance in e-governance : a case of a finance organization

Sepasgozar, Fatemeh Mohammad Ebrahimzadeh; Ramzani, Usef; … - In: Journal of risk and financial management : JRFM 13 (2020) 7/138, pp. 1-17

Presently, one of the most critical challenges for e-government and e-banking is the accurate and correct realization of factors that have a significant impact on customer behavior. Without appropriate knowledge of these factors, it would be impossible to predict the level of welcoming toward...

Persistent link: https://www.econbiz.de/10012309217

Market risk management in a Post-Basel II regulatory environment

Urošević, Branko; Drenovak, Mikica; Ranković, Vladimir; … - 2016

We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market risk include an additional stress component introduced...

Persistent link: https://www.econbiz.de/10011587953