2019 December - 37 articles
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...
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...
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 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 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...
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 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...
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...
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...
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...
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...
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...
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...
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...
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 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...
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...
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...
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 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 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...
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 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...
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....
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...
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...
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 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...
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...
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 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 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 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...
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 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...
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...
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...
