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Competition, debt maturity, and adjustment speed in China : a dynamic fractional estimation approach
Mirza, Sultan Sikandar; Ahsan, Tanveer; Safdar, Raheel; … - In: Journal of risk and financial management : JRFM 13 (2020) 5/106, pp. 1-17
applied an unbiased dynamic panel fractional estimator on unbalanced panel data of 10,941 firm-year observations during the …
Persistent link: https://www.econbiz.de/10012305002
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Effects of real exchange rate volatility on trade : empirical analysis of the United States exports to BRICS
Ekanayake, E. M.; Dissanayake, Amila - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-21
, India, China, and South Africa, and uses quarterly data for period from 1993Q1 to 2021Q2. The specified panel regression … model was first estimated using three estimation methods, namely, the Panel Least Squares, the Panel Fully Modified Least … Squares (FMOLS), and Panel Dynamic Least Squares (DOLS). In addition, to estimate the short-run and long-run effects of real …
Persistent link: https://www.econbiz.de/10012821337
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When the poor buy the rich : new evidence on wealth effects of cross-border acquisitions
Ho Hong Hai; Vu Thi Hanh; Dao, Ngoc-Tien; Ho, Manh-Tung; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/102, pp. 1-15
The growing trend of merging and acquisition (M&A) investments from emerging to developed market economies over the last two decades motivates the question on the long-run effects of M&A on the wealth of emerging markets. This paper contributes to the current literature on cross-border M&A...
Persistent link: https://www.econbiz.de/10012021974
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Bank competition, foreign bank entry, and risk-taking behavior : cross country evidence
Chen, Sichong; Nazir, Muhammad Imran; Hashmi, Shujahat … - In: Journal of risk and financial management : JRFM 12 (2019) 3/106, pp. 1-26
This unique study examines the interactive role of bank competition and foreign bank entry in explaining the risk-taking of banks over the globe. We used cross-country data for the banking sector from 2000 to 2016. Using the pooled regression model and Two-stage Least Squares model (2SLS with...
Persistent link: https://www.econbiz.de/10012025290
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FDML versus GMM for dynamic panel models with roots near unity
Mehic, Adrian - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-9
method of moments (CU-GMM) estimators of dynamic panel models when the data is close to non-stationary. This case is far from …
Persistent link: https://www.econbiz.de/10012628102
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FHA loans in foreclosure proceedings : distinguishing sources of interdependence in competing risks
Deng, Ran; Haghani, Shermineh - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-15
A mortgage borrower has several options once a foreclosure proceedings is initiated, mainly default and prepayment. Using a sample of FHA mortgage loans, we develop a dependent competing risks framework to examine the determinants of time to default and time to prepayment once the foreclosure...
Persistent link: https://www.econbiz.de/10011854966
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Dependency relations among international stock market indices
Sandoval Junior, Leonidas; Mullokandov, Asher; Kenett, … - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 227-265
We develop networks of international stock market indices using information and correlation based measures. We use 83 stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and the flow of information from one stock index to another...
Persistent link: https://www.econbiz.de/10011545240
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Book-to-market decomposition, net share issuance, and the cross section of global stock returns
Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012022063
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Asymmetric mean reversion in low liquid markets : evidence from BRVM
Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of risk and financial management : JRFM 12 (2019) 1/38, pp. 1-19
This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3...
Persistent link: https://www.econbiz.de/10012022315
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Clarifying the response of gold return to financial indicators : an empirical comparative analysis using ordinary least squares, robust and quantile regressions
Miyazaki, Takashi - In: Journal of risk and financial management : JRFM 12 (2019) 1/33, pp. 1-18
In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data over the past 30 years. I conducted a...
Persistent link: https://www.econbiz.de/10012022330