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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

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

Who owes? : class struggle, inequality and the political economy of leverage in the twenty-first century

Sgambati, Stefano - In: Finance and society 8 (2022) 1, pp. 1-21

The prevalent consensus in critical social sciences is that finance articulates the world economy as a global hierarchy … past four decades, finance has empowered upper class borrowers, including the top 1%, as it has magnified their capacity to … contemporary global finance has not given shape to a distributional conflict between creditors and debtors as two distinct classes …

Persistent link: https://www.econbiz.de/10013194347

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

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

Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and...

Persistent link: https://www.econbiz.de/10012022130

Value models : finance, risk, and political economy

Christophers, Brett - In: Finance and society 1 (2015) 2, pp. 1-22

between and fleshes out what I refer to as the principal 'value models' of finance: fees, gains, premia, and spreads. Its … the heterogeneous political economy of finance; and (2) the different ways in which key stakeholders - such as finance … wider project of demystifying not just financial risk in particular but modern finance more generally. …

Persistent link: https://www.econbiz.de/10012027500

When finance met security : back to the War on Drugs and the problem of dirty money

Amicelle, Anthony - In: Finance and society 3 (2017) 2, pp. 106-123

the intersection of finance and security? This article sheds light on the social construction of money laundering as a … heuristic value of questioning the finance-security nexus through an analytics of public problems. Its aims are to: (1) avoid … interdisciplinary debates around the finance-security nexus becoming trapped in a zero-sum game between the "securitization of finance …

Persistent link: https://www.econbiz.de/10012034328

"Everything is awesome" : the LEGO movie and the affective politics of security

Goggin, Joyce - In: Finance and society 3 (2017) 2, pp. 143-158

Scholarship on the finance-security nexus has typically been concerned with "first order" phenomena, such as the … interpenetration of the finance and security sectors. This article contributes to the debate by turning to an apparent epiphenomenon …, namely The LEGO Movie , and using it to address some overlooked intersections between popular culture and the finance …

Persistent link: https://www.econbiz.de/10012034361