Narrow search
Showing 1 - 10 of 497
Cover Image
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
Cover Image
Market reactions to supply chain management excellence
Shi, Min; Yu, Wei - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-10
A highly-respected public recognition of supply chain management (SCM) excellence is the Supply Chain Top 25 List, published annually by AMR Research. By employing event study method, this study extensively examined stock market reactions to annual announcements of the AMR Supply Chain Top 25...
Persistent link: https://www.econbiz.de/10011961370
Cover Image
The effects of environmental regulation on the Singapore stock market
Huy Pham; Long Thang Van Nguyen; Vikash Ramiah; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/175, pp. 1-19
This study examines the impact of environmental regulation on the Singapore stock market using the event study methodology. Several asset pricing models are used to estimate sectoral abnormal returns. Additionally, we estimate the change in systematic risk after the introduction of the carbon...
Persistent link: https://www.econbiz.de/10012171392
Cover Image
The Impact of vertical theories of harm on investor returns : an event study of US vertical mergers
Sonenshine, Ralph; Da, Seyni - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-19
The welfare implications of vertical mergers have been a subject of disagreement for decades. Similar to horizontal mergers, economists need to weigh the efficiency gains relative to the market power concerns when considering the competitive effects of vertical mergers. However, in vertical...
Persistent link: https://www.econbiz.de/10013370976
Cover Image
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 : JRFM 15 (2022) 10, pp. 1-17
Cross-border acquisitions by Indian companies have increased tremendously, especially during the last two decades, and the pharmaceutical industry is one of the top acquiring industries. This study verifies the relationship between cross-border acquisitions and shareholders’ wealth in the...
Persistent link: https://www.econbiz.de/10013471449
Cover Image
How many stocks are sufficient for equity portfolio diversification? : a review of the literature
Zaimovic, Azra; Omanovic, Adna; Arnaut-Berilo, Almira - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-30
diversification is not an easy task as it is impacted by a huge number of different factors: the way systematic risk is measured, the … of the asset features, the model adopted to measure diversification (i.e., equally weighted versus optimal allocation …
Persistent link: https://www.econbiz.de/10012795951
Cover Image
Testing stock market efficiency from spillover effect of Panama leaks
Nasir, Adeel; Gherghina, Stefan Cristian; Mata, Mário Nuno - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-23
On 3 April 2016, Mossack Fonseca provided the historically most significant leak of its shareholder’s data for owning offshore companies. Shareholders include many political and influential figures around the globe, which causes a moral hazard. The study analyses the effects of Panama leak...
Persistent link: https://www.econbiz.de/10012821618
Cover Image
Diversification and fund performance : an analysis of buyout funds
Huss, Matthias; Steger, Daniel - In: Journal of risk and financial management : JRFM 13 (2020) 6/136, pp. 1-16
This paper studies the relationship between portfolio diversification and fund performance, based on an unexplored … focus. Our results suggest that diversification within, but not across industries, associates with higher buyout fund … performance. We do not find a significant relationship between geographical diversification and performance. These results partly …
Persistent link: https://www.econbiz.de/10012309185
Cover Image
Market misreaction? : leverage and mergers and acquisitions
Krishnan, C. N. V.; Yakimenko, Vasiliy - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-21
Using a large database of U.S. mergers and acquisitions (M&As) announced from 2010 through 2017, we examine the effects of capital ratio (leverage) on the announcement period stock price reaction as well as on longer-term stock returns and performance, for banks, making comparisons with...
Persistent link: https://www.econbiz.de/10013165300
Cover Image
Modeling and forecasting realized portfolio diversification benefits
Golosnoy, Vasyl; Hildebrandt, Benno; Köhler, Steffen - In: Journal of risk and financial management : JRFM 12 (2019) 3/116, pp. 1-16
For a financial portfolio, we suggest a realized measure of diversification benefits, which is based on intraday high … diversification measure and realized portfolio weight. The performance of our approach is evaluated in-sample and out-of-sample. We …
Persistent link: https://www.econbiz.de/10012027057