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Money as an institution : rule versus evolved practice? : analysis of multiple currencies in Argentina
Gómez, Georgina M. - In: Journal of risk and financial management : JRFM 12 (2019) 2/80, pp. 1-14
the empirical case of Argentina as a monetary laboratory and the plurality of currencies that circulate in its economy …. The study argues that while the official currency of Argentina corresponds to the institutions as rules approach, the …
Persistent link: https://www.econbiz.de/10012022107
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Old but resilient story : impact of decentralization on social welfare
Delgado, José Luis Alberto; Demirbas, Dilek; Aysan, … - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-19
This paper analyzes the fiscal performance of Turkey and Argentina during the period 2000-2021, when both countries …: Centralization in Turkey and Federalism in Argentina and, in general, studied the decentralization impact of both the systems on … the fiscal resource allocation in the Federal system, such as in Argentina, but not in the centralized system such as in …
Persistent link: https://www.econbiz.de/10014284371
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Revisiting the long-run dynamic linkage between dividends and share price with advanced panel econometrics techniques
Mohapatra, Sudatta Bharati; Kar, Nirmal Chandra - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-19
The log-linearized present value model (PVM) has been widely used in corporate finance to understand the long-run relationship between share price and dividends using panel data. However, the application of recently established panel econometric approaches that account for slope heterogeneity...
Persistent link: https://www.econbiz.de/10013470997
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On setting day-ahead equity trading risk limits
Fuertes, Ana María; Olmo, Jose - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-20
This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight...
Persistent link: https://www.econbiz.de/10011543115
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The determinants of equity risk and their forecasting implications : a quantile regression perspective
Bonaccolto, Giovanni; Caporin, Massimiliano - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-25
Several market and macro-level variables influence the evolution of equity risk in addition to the well-known volatility persistence. However, the impact of those covariates might change depending on the risk level, being different between low and high volatility states. By combining equity risk...
Persistent link: https://www.econbiz.de/10011543141
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Firm value and cross listings : the impact of stock market prestige
Cetorelli, Nicola; Peristiani, Stavros C. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 150-180
This study investigates the valuation impact of a firm’s decision to cross list on a more (or less) prestigious stock exchange relative to its own domestic market. We use a network analysis methodology to derive broad market-based measures of prestige for 45 country or regional stock exchange...
Persistent link: https://www.econbiz.de/10011552966
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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...
Persistent link: https://www.econbiz.de/10011555743
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Stock returns and risk : evidence from quantile
Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...
Persistent link: https://www.econbiz.de/10011555867
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Modelling the effects of oil prices on global fertilizer prices and volatility
Chen, Ping-yu; Chang, Chia-ling; Chen, Chi-chung; … - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 78-114
The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to...
Persistent link: https://www.econbiz.de/10011555888
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A pseudo-Bayesian model for stock returns in financial crises
Fung, Eric S.; Lam, Kin; Siu, Tak Kuen; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 43-73
Recently, there has been a considerable interest in the Bayesian approach for explaining investors' behaviorial biases by incorporating conservative and representative heuristics when making financial decisions, (see, for example, Barberis, Shleifer and Vishny (1998)). To establish a...
Persistent link: https://www.econbiz.de/10011555931