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Journal of Risk and Financial Management, Volume 12, Issue 4

2019 December - 37 articles

Cover Story: This paper investigates the impact of annual report readability on the corporate bond market. My findings indicate that in the US corporate bond market, firms with less readable annual reports tend to have higher credit spreads, higher credit spread volatilities, higher transaction costs, higher transaction cost volatility, smaller trade sizes, a higher number of trades, and higher trade volatility. This paper also provides the first answers to the question of whether annual report readability matters to international market participants in the corporate bond market. View this paper
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Articles (37)

  • Article
  • Open Access
5 Citations
4,982 Views
21 Pages

This paper proposes an innovative algorithm that significantly improves on the approximation of the optimal early exercise boundary obtained with simulation based methods for American option pricing. The method works by exploiting and leveraging the...

(This article belongs to the Special Issue Computational Finance)
  • Article
  • Open Access
29 Citations
11,466 Views
24 Pages

The promise of artificial intelligence (AI) to drive economic growth and improve quality of life has ushered in a new AI arms race. Investments of risk capital fuel this emerging technology. We examine the role that venture capital (VC) and corporate...

(This article belongs to the Special Issue Venture Capital and Private Equity)
  • Article
  • Open Access
6 Citations
4,438 Views
13 Pages

Technological innovation requires large investments. Venture capital (VC) is a prominent financial source for innovative start-ups. A venture capitalist will inevitably transfer knowledge to facilitate the innovation of a firm while monitoring and ad...

(This article belongs to the Special Issue Venture Capital and Private Equity)
  • Article
  • Open Access
17 Citations
5,215 Views
13 Pages

This paper aims to compare the usefulness of tax arrears and financial ratios in bankruptcy prediction. The analysis is based on the whole population of Estonian bankrupted and survived SMEs from 2013 to 2017. Logistic regression and multilayer perce...

(This article belongs to the Special Issue Modern Methods of Bankruptcy Prediction)
  • Article
  • Open Access
38 Citations
9,645 Views
15 Pages

This manuscript is devoted to the issue of forecasting corporate bankruptcy. Determining a firm’s bankruptcy risk is one of the most interesting topics for investors and decision-makers. The aim of the paper is to develop and to evaluate dynami...

(This article belongs to the Special Issue Modern Methods of Bankruptcy Prediction)
  • Article
  • Open Access
8 Citations
5,230 Views
20 Pages

Capital Markets Integration and Cointegration: Testing for the Correct Specification of Stock Market Indices

  • Maria-Eleni K. Agoraki,
  • Dimitris A. Georgoutsos and
  • Georgios P. Kouretas

In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run r...

(This article belongs to the Special Issue Financial Time Series: Methods & Models)
  • Article
  • Open Access
7 Citations
6,328 Views
18 Pages

This paper investigates the impact of annual report readability on the corporate bond market. My findings indicate that in the US corporate bond market, firms with less readable annual reports tend to have higher credit spreads, higher credit spread...

(This article belongs to the Special Issue Corporate Debt)
  • Article
  • Open Access
46 Citations
16,545 Views
21 Pages

While most of the advanced economies are facing saturated markets, the Association of Southeast Asian Nations (ASEAN) has been touted a stable and attractive investment region averaging 5.4% growth since 1980. In 2013, ASEAN overtook China as the top...

(This article belongs to the Special Issue Contemporary Issues in Business and Economics)
  • Article
  • Open Access
22 Citations
11,931 Views
14 Pages

Small and medium enterprises (SMEs) face more risks for sustainable growth due to a lack of resources than large firms in emerging economies. Hence, it is more likely for SMEs to look to risk management for survival in turbulent markets. As a tool of...

(This article belongs to the Section Business and Entrepreneurship)
  • Article
  • Open Access
2 Citations
3,540 Views
9 Pages

We use the concept of coarsened posteriors to provide robust Bayesian inference via coarsening in order to robustify posteriors arising from stochastic frontier models. These posteriors arise from tempered versions of the likelihood when at most a pr...

(This article belongs to the Section Mathematics and Finance)
  • Editorial
  • Open Access
3,717 Views
3 Pages

An area of very active research in econometrics over the last 30 years has been that of non- and semi-parametric methods. These methods have provided ways to complement more-traditional parametric approaches in terms of robust alternatives, as well a...

(This article belongs to the Special Issue Nonparametric Econometric Methods and Application)
  • Article
  • Open Access
1 Citations
4,233 Views
11 Pages

The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not signif...

(This article belongs to the Special Issue Option Pricing)
  • Perspective
  • Open Access
31 Citations
10,025 Views
14 Pages

Encouraging Entrepreneurship and Economic Growth

  • David Ahlstrom,
  • Amber Y. Chang and
  • Jessie S. T. Cheung

The economy has seen unprecedented growth in the past two centuries, raising average incomes by 30-fold. With this added wealth, living standards also improved greatly. Although many factors impact economic growth, it is accepted that entrepreneurshi...

(This article belongs to the Special Issue Financing and Facilitating Entrepreneurship)
  • Article
  • Open Access
196 Citations
31,617 Views
11 Pages

A contribution of foreign direct investment to economic growth is possibly one of the widely examined topics in academic research in the last five decades. However, few studies have examined both the short run and long run impacts of this effect conc...

(This article belongs to the Special Issue Contemporary Issues in Business and Economics)
  • Concept Paper
  • Open Access
10 Citations
7,136 Views
27 Pages

The Artificial Intelligence BlockCloud (AIBC) is an artificial intelligence and blockchain technology based large-scale decentralized ecosystem that allows system-wide low-cost sharing of computing and storage resources. The AIBC consists of four lay...

(This article belongs to the Special Issue AI and Financial Markets)
  • Article
  • Open Access
26 Citations
8,210 Views
19 Pages

The Effects of Environmental Regulation on the Singapore Stock Market

  • Huy Pham,
  • Van Nguyen,
  • Vikash Ramiah,
  • Priyantha Mudalige and
  • Imad Moosa

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 systemati...

(This article belongs to the Special Issue Green and Sustainable Finance)
  • Article
  • Open Access
2 Citations
3,013 Views
28 Pages

The aim of this article is to obtain a simple and efficient estimator of the index parameter of symmetric stable distribution that holds universally, i.e., over the entire range of the parameter. We appeal to directional statistics on the classical r...

(This article belongs to the Special Issue Financial Statistics and Data Analytics)
  • Article
  • Open Access
10 Citations
12,150 Views
16 Pages

Employing a panel gravity model and Generalized Least Squares (GLS) estimation technique, this study documents the effect of double taxation treaties on the bilateral trade of Vietnam with ASEAN member states, thereby making an extensive comparison w...

(This article belongs to the Special Issue Contemporary Issues in Business and Economics)
  • Article
  • Open Access
40 Citations
9,367 Views
14 Pages

Financial Development and Income Inequality in Emerging Markets: A New Approach

  • Thang Cong Nguyen,
  • Tan Ngoc Vu,
  • Duc Hong Vo and
  • Dao Thi-Thieu Ha

Financial development has been considered an efficient and effective mechanism for the sustainable economic growth and development of emerging markets in past decades. However, various concerns have emerged in relation to the influences of financial...

(This article belongs to the Special Issue Contemporary Issues in Business and Economics)
  • Article
  • Open Access
22 Citations
14,350 Views
14 Pages

This study explored the influence of factors on the implementation of corporate social responsibility (CSR) in companies. The study used a quantitative approach in which a survey was conducted. The final 250 among various respondents in the textile a...

(This article belongs to the Special Issue Contemporary Issues in Business and Economics)
  • Review
  • Open Access
75 Citations
11,362 Views
17 Pages

This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical results of relevant academic literature. Evidence reveals that Bitcoin is the most influential among digital coins mainly as a tran...

(This article belongs to the Special Issue Recent Developments in Cryptocurrency Markets: Co-movements, Spillovers and Forecasting)
  • Article
  • Open Access
6 Citations
5,456 Views
15 Pages

The Dali Model in Risk-Management Practice: The Case of Financial Services Firms

  • Rebecca Dalli Gonzi,
  • Simon Grima,
  • Murat Kizilkaya and
  • Jonathan Spiteri

Originality/value—this model contributed to the vast literature on models of change and risk management within organisations, but was not validated empirically for reliability of the factors, and on financial services providers within small jurisdict...

(This article belongs to the Special Issue Mechanisms and Models of Risk Management)
  • Article
  • Open Access
16 Citations
14,487 Views
15 Pages

Global Asset Allocation Strategy Using a Hidden Markov Model

  • Eun-chong Kim,
  • Han-wook Jeong and
  • Nak-young Lee

This study uses the hidden Markov model (HMM) to identify the phases of individual assets and proposes an investment strategy using price trends effectively. We conducted empirical analysis for 15 years from January 2004 to December 2018 on universes...

(This article belongs to the Special Issue AI and Financial Markets)
  • Article
  • Open Access
7 Citations
4,695 Views
34 Pages

Bad decisions have harmful effects on the quality of human life and an increase of their duration expands these undesirable effects. Systematic bad decisions related to dividend policy can affect the investors’ quality of life in the long-term....

(This article belongs to the Special Issue Corporate Finance)
  • Article
  • Open Access
20 Citations
6,087 Views
15 Pages

Social and Financial Inclusion through Nonbanking Institutions: A Model for Rural Romania

  • Xiao-Guang Yue,
  • Yong Cao,
  • Nelson Duarte,
  • Xue-Feng Shao and
  • Otilia Manta

The challenges of financial systems have immediate or medium-term social effects. The financial industry is constantly searching for measures to reduce these challenges, especially for those with little or no access to financial services. While curre...

(This article belongs to the Special Issue AI and Financial Markets)
  • Review
  • Open Access
26 Citations
13,259 Views
26 Pages

The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or mom...

(This article belongs to the Special Issue Review Papers for Journal of Risk and Financial Management (JRFM))
  • Article
  • Open Access
11 Citations
13,466 Views
26 Pages

We examine price discovery and liquidity provision in the secondary market for bitcoin—an asset with a high level of speculative trading. Based on BTC-e’s full limit order book over the 2013–2014 period, we find that order informati...

(This article belongs to the Section Financial Markets)
  • Article
  • Open Access
8 Citations
6,970 Views
16 Pages

This paper aims to analyze the influencing factors on the financial structure of 51 companies listed on the New York Stock Exchange, in the technology industry, from 2005–2018. The objective is to see the impact of independent company-specific...

(This article belongs to the Special Issue Corporate Finance)
  • Article
  • Open Access
140 Citations
26,860 Views
79 Pages

Green and sustainable finance, corporate social responsibility and financial and non-financial performance are attracting widespread interest due to the challenging times that the business environment is currently facing. Moreover, green and sustaina...

(This article belongs to the Section Sustainability and Finance)
  • Article
  • Open Access
6 Citations
10,162 Views
20 Pages

Purpose: The main purpose of this paper is to determine how particular audit firms deal with ISA 701 requirements and the society expectations towards reporting the materiality levels. Additionally, the aim of this paper is to range the assertions in...

(This article belongs to the Special Issue Modern Methods of Bankruptcy Prediction)
  • Article
  • Open Access
6 Citations
4,773 Views
26 Pages

This paper evaluates the influence of foreign or domestic stock market return and return of volatility shocks on dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The correlations be...

(This article belongs to the Special Issue Quantitative Risk)
  • Article
  • Open Access
7 Citations
6,012 Views
21 Pages

Generalized Mean-Reverting 4/2 Factor Model

  • Yuyang Cheng,
  • Marcos Escobar-Anel and
  • Zhenxian Gong

This paper proposes and investigates a multivariate 4/2 Factor Model. The name 4/2 comes from the superposition of a CIR term and a 3/2-model component. Our model goes multidimensional along the lines of a principal component and factor covariance de...

(This article belongs to the Special Issue Computational Finance)
  • Article
  • Open Access
6 Citations
7,644 Views
13 Pages

This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U.S. industrial sectors. Stock returns and the crude oil-based volatility index are used in a quantile regression framework to test t...

  • Article
  • Open Access
3 Citations
4,478 Views
12 Pages

We address a number of technical problems with the popular Practitioner Black-Scholes (PBS) method for valuing options. The method amounts to a two-stage procedure in which fitted values of implied volatilities (IV) from a linear regression are plugg...

(This article belongs to the Special Issue Option Pricing)
  • Article
  • Open Access
10 Citations
6,094 Views
23 Pages

Dynamic Responses of Major Equity Markets to the US Fear Index

  • Bahram Adrangi,
  • Arjun Chatrath,
  • Joseph Macri and
  • Kambiz Raffiee

This study examines the reaction of four major equity markets of the world to the US equity market fear index, i.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility in equity...

(This article belongs to the Section Financial Markets)
  • Article
  • Open Access
20 Citations
7,522 Views
17 Pages

Corporate Financial Distress of Industry Level Listings in Vietnam

  • Duc Hong Vo,
  • Binh Ninh Vo Pham,
  • Chi Minh Ho and
  • Michael McAleer

Any critical analysis of the corporate financial distress of listed firms in international exchange would be incomplete without a serious dissection at the industry level, because of the different levels of risks concerned. This paper considers the f...

(This article belongs to the Special Issue Contemporary Issues in Business and Economics)
  • Editorial
  • Open Access
4 Citations
5,126 Views
4 Pages

Risk Analysis and Portfolio Modelling

  • David Edmund Allen and
  • Elisa Luciano

Financial risk measurement is a challenging task because both the types of risk and their measurement techniques evolve quickly. This book collects a number of novel contributions for the measurement of financial risk, which addresses partially explo...

(This article belongs to the Special Issue Risk Analysis and Portfolio Modelling)
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J. Risk Financ. Manag. - ISSN 1911-8074