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Bitcoin price risk - a durations perspective
Dimpfl, Thomas; Odelli, Stefania - In: Journal of risk and financial management : JRFM 13 (2020) 7/157, pp. 1-18
Persistent link: https://www.econbiz.de/10012309358
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The impact of tax preferences on the investment attractiveness of bonds for retail investors : the case of Russia
Boldyreva, Natalia B.; Reshetnikova, Liudmila G.; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/72, pp. 1-11
The impact of tax incentives on the investment attractiveness of bonds for retail investors is assessed in the article. The paper presents a comparative empirical analysis of investment attractiveness of Russian bonds and bank deposits for domestic retail investors. We identify investment...
Persistent link: https://www.econbiz.de/10012302606
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Dynamic impact of unconventional monetary policy on international REITs
Marfatia, Hardik A.; Gupta, Rangan; Lesame, Keagile - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-18
In this paper, we estimate the dynamic impact of unconventional monetary policy in the US on international REITs. Unlike existing studies which are limited to conventional policy tools and undertake a static approach, we use an event study approach and estimate a time-varying parameter model to...
Persistent link: https://www.econbiz.de/10012628426
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Causality between arbitrage and liquidity in platinum futures
Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-17
Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the deviation. A demand shock leads to greater liquidity,...
Persistent link: https://www.econbiz.de/10014284282
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Effects of IPO offer price ranges on initial subscription, initial turnover and ownership structure : evidence from Indian ipo market
Sandhu, Harsimran; Guhathakurta, Kousik - In: Journal of risk and financial management : JRFM 13 (2020) 11/279, pp. 1-19
In this paper, we establish the significance and effects of initial public offer (IPO) offer price ranges on subscription, initial trading, and post-IPO ownership structures. The primary market in India provides a unique setting for estimating the effect of various initial public offer (IPO)...
Persistent link: https://www.econbiz.de/10012388745
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The effect of industry restructuring on peer firms
Holcomb, Alex; Mason, Paul - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-25
can only expect an indirect benefit - in the form of a risk reduction. Consistent with these hypotheses, we show that … that have the highest expected risk reduction benefit from a potential acquisition. In order to distinguish a potential … reduction in risk as the explicit return driver, we show that abnormal bond returns within firm (between different bond issues …
Persistent link: https://www.econbiz.de/10012534527
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Financial development and countries' production efficiency : a nonparametric analysis
Tzeremes, Nickolaos G. - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-13
This paper examines the effect of financial development on countries’ production efficiency levels. By applying a … measure 87 countries’ production efficiency levels over the period 1970–2014. In order to examine the effect of time and … domestic credit on countries’ production efficiency levels, a second-stage nonparametric econometric analysis is performed …
Persistent link: https://www.econbiz.de/10011895640
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Testing the efficiency of globally listed private equity markets
Tegtmeier, Lars - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-16
runs test for direct weak-form market efficiency cannot reject the null hypothesis of a random walk process for almost all … LPE indices under investigation. Furthermore, there is no evidence that the market efficiency of globally listed private …
Persistent link: https://www.econbiz.de/10012622817
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The fundamental equation in tourism finance
McAleer, Michael - In: Journal of risk and financial management : JRFM 8 (2015) 4, pp. 369-374
The purpose of the paper is to present the fundamental equation in tourism finance that connects tourism research to empirical finance and financial econometrics. The energy industry, which includes, oil, gas and bio-energy fuels, together with the tourism industry, are two of the most important...
Persistent link: https://www.econbiz.de/10011545065
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Capital markets integration and cointegration : testing for the correct specification of stock market indices
Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20
capital integration with cointegration techniques. This approach minimizes the risk of accepting the null of no cointegration …
Persistent link: https://www.econbiz.de/10012171036