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The effect of industry restructuring on peer firms

Holcomb, Alex; Mason, Paul - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-25

We study the bond price reaction of a merged firms peers, in order to better understand how the market responds to a restructuring. We argue that a merger announcement may signal the possibility of a merger wave to the industry, and in doing so, increase the conditional probability that peer...

Persistent link: https://www.econbiz.de/10012611762

Mergers and acquisitions (M&AS) by R&D intensive firms

Dutta, Shantanu; Kumar, Vinod - In: Journal of Risk and Financial Management 2 (2009) 1, pp. 1-37

difficulties of a target by an R&D intensive firms and suggests that investor might be skeptical of such acquisitions and react …

Persistent link: https://www.econbiz.de/10011843216

Cross-border acquisitions and shareholders' wealth: The case of the Indian pharmaceutical sector

Wajid, Abdul; Sabiha, Anjim; Akhtar, Shakeb; Tabash, … - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-17

Cross-border acquisitions by Indian companies have increased tremendously, especially during the last two decades, and …-border acquisitions and shareholders' wealth in the Indian pharmaceutical sector. For this purpose, the data related to acquisitions were … current research prescribe that cross-border acquisitions have a positive and significant impact on shareholders' wealth …

Persistent link: https://www.econbiz.de/10014332636

The sectoral effects of value-added tax: Evidence from UAE stock markets

Gopakumar, Anagha Ann; Kaur, Avneet; Ramiah, Vikash; … - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-16

This paper investigates the impact of 19 announcements pertaining to the introduction of value-added tax (VAT) in the United Arab Emirates (UAE) on equities listed on the Abu Dhabi Stock Exchange (ADX). Using a well-established event study methodology over the period 2015 to 2018, a sector-wise...

Persistent link: https://www.econbiz.de/10014332628

International diversification versus domestic diversification: Mean-variance portfolio optimization and stochastic dominance approaches

Abid, Fathi; Leung, Pui Lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 45-66

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors' viewpoints. Our PO results imply that the domestic diversification...

Persistent link: https://www.econbiz.de/10011843243

Expectations concordance and stock market volatility: Knightian uncertainty in the year of the pandemic

Frydman, Roman; Mangee, Nicholas - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-13

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which...

Persistent link: https://www.econbiz.de/10013201204

Volatility spillover dynamics between large-, mid-, and small-cap stocks in the time-frequency domain: Implications for portfolio management

Jena, Sangram Keshari; Tiwari, Aviral Kumar; Dash, Ashutosh - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-22

The connectedness dynamics between large-, mid-, and small-cap stocks is investigated using the forecasted error variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility spillover (i.e., connectedness) is elevated between large-,...

Persistent link: https://www.econbiz.de/10013201214

A comparative analysis of the nature of stock return volatility in BRICS and G7 markets

Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-27

Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...

Persistent link: https://www.econbiz.de/10013201388

Equity market contagion in return volatility during Euro Zone and global financial crises: Evidence from FIMACH model

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-18

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia,...

Persistent link: https://www.econbiz.de/10012611104

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

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