Journal of Risk and Financial Management, Volume 13, Issue 8

This paper evaluates an editorial and seven invaluable and interesting review papers for the Journal of Risk and Financial Management (JRFM). The topics covered include the rising complexity of bank regulatory capital requirements from global guideli...

We address the paradox that financial innovations aimed at risk-sharing appear to have made the world riskier. Financial innovations facilitate hedging idiosyncratic risks among agents; however, aggregate risks can be hedged only with liquid assets....

Technological development brings about economic changes that affect most citizens, both in developed and undeveloped countries. The implementation of blockchain technologies that bring cryptocurrencies into the economy and everyday life also induce r...

The effects of temporal aggregation and choice of sampling frequency are of great interest in modeling the dynamics of asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation of a hi...

Time series analysis of daily stock data and building predictive models are complicated. This paper presents a comparative study for stock price prediction using three different methods, namely autoregressive integrated moving average, artificial neu...

Airtime lending default rates are typically lower than those experienced by banks and microfinance institutions (MFIs) but are likely to grow as the service is offered more widely. In this paper, credit scoring techniques are reviewed, and that knowl...

This paper is devoted to the ability of selected European countries to face the potential economic crisis caused by COVID-19. Just as other pandemics in the past (e.g., SARS, Spanish influenza, etc.) have had negative economic effects on countries, t...

The exchange rate is a key macroeconomic factor that affects international trade and the real economy of each country. The development of international trade creates conditions where volatility comes with the exchange rate. The purpose of this paper...

We present a model for active trading based on reinforcement machine learning and apply this to five major cryptocurrencies in circulation. In relation to a buy-and-hold approach, we demonstrate how this model yields enhanced risk-adjusted returns an...

Recent academic studies document that open market share repurchase announcements in the United States generate significantly lower returns than those reported in earlier studies. We find that the lower announcement return is associated with an increa...

The recent evolution of prudential regulation establishes a new requirement for banks and supervisors to perform reverse stress test exercises in their risk assessment processes, aimed at detecting default or near-default scenarios. We propose a reve...

Do investors believe that firm-level (i.e., idiosyncratic) risk of green (i.e., environmentally responsible) firms is relatively lower? How does high market volatility affect the investors’ view on the firm-level risk of green firms? This paper addre...

Through an international business risk management lens, the widespread and catalytic implications of the 2020 COVID-19 pandemic on the supply chains (SCs) of fashion multinational corporations (MNC) are analyzed to contribute to existing research on...

This paper examines the ongoing transition to the revised Organisation for the Harmonisation of Business Law in Africa Act on Accounting and Financial Reporting for companies in general and to the International Financial Reporting Standards for liste...

We empirically investigate the impact of capital structure on bank profitability using a quantile regression method in the Vietnamese banking system during 2007–2019. Our results suggest that the nonlinear relationship between capitalization an...

Asynchronous trading hours between the markets of Exchange-Traded Funds (ETFs) and their benchmarks not only make it difficult to apply a full replication strategy but also make the creation/redemption process ineffective and consequently distress th...

The study investigated the impact of factors such as non-performing loans, CO₂ emissions, bank credit, and inflation on the variable sustainable economic growth for India, Brazil, and Romania during the period 2005–2017, through a panel data an...

I investigate the question of how to construct a benchmark replicating portfolio consisting of a subset of the benchmark’s components. I consider two approaches: a sequential stepwise regression and another method based on factor models of secu...

This paper aims to examine the redefinition of rural actors and practices in the context of the Wind Farm Corridor of the Isthmus of Tehuantepec. That redefinition addresses issues such as the benefits of wind farms, the role of the land in the use o...

The novel coronavirus (COVID-19) pandemic spread globally from its outbreak in China in early 2020, negatively affecting economies and industries on a global scale. In line with historic crises and shock events including the 2002-04 SARS outbreak, th...

This paper offers an empirical characterization of the relation between the international price of oil and exchange rates that is both useful and reliable. Our characterization is useful because it rests on information of asset prices that are determ...

This paper aims to trace the monthly responses of equity prices, long-term interest rates, and exchange rates in Asian developing markets to the US unconventional monetary policy (UMP). The main research question is to explore whether UMP shocks exis...

We study the financial determinants of cash holdings and discuss the importance of firm size in the post-crisis period. We employ panel data regression analysis on a sample of 6629 non-financial and non-utility listed companies in the United Kingdom...

Based on agency theory, we focused on the influence of corporate governance in the dividend policy of large listed firms with headquarters in continental Europe countries. Previous research focused on the influence of corporate governance on the perf...

This paper explores the effects of home-sharing platforms in general and Airbnb in particular on rental rates at a neighbourhood level. Using consumer-facing Airbnb data from ten neighbourhoods located within large metropolitan areas in the U.S. betw...

A number of studies have investigated the relationship between financial sector development and economic growth; however, the impact of bank profitability on economic growth is still unclear. We investigate the link between bank profitability and eco...

This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange...