Next Issue
Previous Issue

Table of Contents

J. Risk Financial Manag., Volume 7, Issue 2 (June 2014), Pages 28-109

  • Issues are regarded as officially published after their release is announced to the table of contents alert mailing list.
  • You may sign up for e-mail alerts to receive table of contents of newly released issues.
  • PDF is the official format for papers published in both, html and pdf forms. To view the papers in pdf format, click on the "PDF Full-text" link, and use the free Adobe Readerexternal link to open them.
View options order results:
result details:
Displaying articles 1-4
Export citation of selected articles as:

Research

Open AccessArticle Remuneration Committee, Board Independence and Top Executive Compensation
J. Risk Financial Manag. 2014, 7(2), 28-44; doi:10.3390/jrfm7020028
Received: 21 February 2014 / Revised: 10 March 2014 / Accepted: 25 March 2014 / Published: 15 April 2014
PDF Full-text (421 KB) | HTML Full-text | XML Full-text
Abstract
In this study, we examine whether the levels and structures of top executive compensation vary discernibly with different levels of board independence. We also examine how the newly mandated adoption of the remuneration committee (RC) in Taiwan affects the board independence-executive pay relation.
[...] Read more.
In this study, we examine whether the levels and structures of top executive compensation vary discernibly with different levels of board independence. We also examine how the newly mandated adoption of the remuneration committee (RC) in Taiwan affects the board independence-executive pay relation. The mandatory establishment of RC for Taiwanese public firms, starting in 2011, is intended to strengthen the reasonableness and effectiveness of the executive compensation structure; thus, it is timely and of interest for practitioners and regulators to understand whether the establishment of RCs can effectively discipline top executive compensation policies. We first find that CEOs of firms that do not appoint independent directors have greater levels of annual pay than is the case for firms that have appointed independent directors, after controlling for the effect of CEO pay determinants. Second, we find that CEO pay for early RC adopters is more closely related to firm performance. Third, we find that the establishing of RCs may decrease CEO pay and enhance the pay-performance association, in particular for firms that have not appointed independent directors; however, this effect is not found to be statistically significant. Full article
Open AccessArticle International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches
J. Risk Financial Manag. 2014, 7(2), 45-66; doi:10.3390/jrfm7020045
Received: 15 October 2013 / Revised: 11 March 2014 / Accepted: 24 April 2014 / Published: 8 May 2014
PDF Full-text (2519 KB) | HTML Full-text | XML Full-text
Abstract
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 strategy dominates the international diversification strategy at
[...] Read more.
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 strategy dominates the international diversification strategy at a lower risk level and the reverse is true at a higher risk level. Our SD analysis shows that there is no arbitrage opportunity between international and domestic stock markets; domestically diversified portfolios with smaller risk dominate internationally diversified portfolios with larger risk and vice versa; and at the same risk level, there is no difference between the domestically and internationally diversified portfolios. Nonetheless, we cannot find any domestically diversified portfolios that stochastically dominate all internationally diversified portfolios, but we find some internationally diversified portfolios with small risk that dominate all the domestically diversified portfolios. Full article
Open AccessArticle Refining Our Understanding of Beta through Quantile Regressions
J. Risk Financial Manag. 2014, 7(2), 67-79; doi:10.3390/jrfm7020067
Received: 24 December 2013 / Revised: 28 April 2014 / Accepted: 5 May 2014 / Published: 21 May 2014
PDF Full-text (779 KB) | HTML Full-text | XML Full-text | Supplementary Files
Abstract
The Capital Asset Pricing Model (CAPM) has been a key theory in financial economics since the 1960s. One of its main contributions is to attempt to identify how the risk of a particular stock is related to the risk of the overall stock
[...] Read more.
The Capital Asset Pricing Model (CAPM) has been a key theory in financial economics since the 1960s. One of its main contributions is to attempt to identify how the risk of a particular stock is related to the risk of the overall stock market using the risk measure Beta. If the relationship between an individual stock’s returns and the returns of the market exhibit heteroskedasticity, then the estimates of Beta for different quantiles of the relationship can be quite different. The behavioral ideas first proposed by Kahneman and Tversky (1979), which they called prospect theory, postulate that: (i) people exhibit “loss-aversion” in a gain frame; and (ii) people exhibit “risk-seeking” in a loss frame. If this is true, people could prefer lower Beta stocks after they have experienced a gain and higher Beta stocks after they have experienced a loss. Stocks that exhibit converging heteroskedasticity (22.2% of our sample) should be preferred by investors, and stocks that exhibit diverging heteroskedasticity (12.6% of our sample) should not be preferred. Investors may be able to benefit by choosing portfolios that are more closely aligned with their preferences. Full article
Figures

Open AccessArticle Asymmetric Realized Volatility Risk
J. Risk Financial Manag. 2014, 7(2), 80-109; doi:10.3390/jrfm7020080
Received: 4 April 2014 / Revised: 23 May 2014 / Accepted: 23 June 2014 / Published: 25 June 2014
PDF Full-text (579 KB) | HTML Full-text | XML Full-text
Abstract
In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even
[...] Read more.
In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are nearly Gaussian, this unpredictability brings considerably more uncertainty to the empirically relevant ex ante distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility model, which incorporates the fact that realized volatility series are systematically more volatile in high volatility periods. Returns in this framework display time varying volatility, skewness and kurtosis. We provide a detailed account of the empirical advantages of the model using data on the S&P 500 index and eight other indexes and stocks. Full article

Journal Contact

MDPI AG
JRFM Editorial Office
St. Alban-Anlage 66, 4052 Basel, Switzerland
jrfm@mdpi.com
Tel. +41 61 683 77 34
Fax: +41 61 302 89 18
Editorial Board
Contact Details Submit to JRFM
Back to Top