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Non-parametric statistic for testing cumulative abnormal stock returns

Pynnönen, Seppo - In: Journal of Risk and Financial Management 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/10013201452

Models of investor forecasting behavior: Experimental evidence

Bonetto, Federico; Cheriyan, Vinod; Kleywegt, Anton J. - In: Journal of Risk and Financial Management 11 (2018) 1, pp. 1-41

Different forecasting behaviors affect investors' trading decisions and lead to qualitatively different asset price trajectories. It has been shown in the literature that the weights that investors place on observed asset price changes when forecasting future price changes, and the nature of...

Persistent link: https://www.econbiz.de/10012610992

Big data, computational science, economics, finance, marketing, management, and psychology: Connections

Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - In: Journal of Risk and Financial Management 11 (2018) 1, pp. 1-29

The paper provides a review of the literature that connects Big Data, Computational Science, Economics, Finance …

Persistent link: https://www.econbiz.de/10012611003

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 12 (2019) 2, 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/10012611124

Editorial statement for mathematical finance

Wong, Wing Keung - In: Journal of Risk and Financial Management 13 (2020) 2, pp. 1-3

Mathematics plays a vital role in many areas of finance and provides the theories and tools that have been widely used … in all areas of finance. In this editorial, we tell authors the ideas on what types of papers we will accept for … publication in the area of mathematical finance. We will discuss some well-cited papers of mathematical finance. …

Persistent link: https://www.econbiz.de/10012611266

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

Sepasgozar, Fatemeh Mohammad Ebrahimzadeh; Ramzani, Usef; … - In: Journal of Risk and Financial Management 13 (2020) 7, 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/10012611367

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

McAleer, Michael - In: Journal of Risk and Financial Management 13 (2020) 8, 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/10012611387

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

Liew, Jim Kyung-Soo; Ajakh, Ahmad - In: Journal of Risk and Financial Management 13 (2020) 9, 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/10012611445

A systematic and critical review on the research landscape of finance in Vietnam from 2008 to 2020

Ho, Tung Manh; Nguyen, Quoc-Hung; Pham, Manh-Ha; Ly, … - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-24

This paper endeavors to understand the research landscape of finance research in Vietnam during the period 2008 to 2020 … publications in social sciences and humanities, we extract a dataset of 314 papers on finance topics in Vietnam from 2008 to 2020 … Financial psychology and behavior. Overall, there have been three noticeable trends within finance research in Vietnam: (1 …

Persistent link: https://www.econbiz.de/10012611776

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 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/10012611798