Journal of Risk and Financial Management, Volume 14, Issue 3

This paper studies potato prices and consumption in the progress of economic development. Potato status tends to evolve from a luxury to a normal and, lastly, to an inferior good. In the developed world, where the potato thrived and became a food for...

Since their introduction, quanto options have steadily gained popularity. Matching Black–Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess t...

Data science and machine-learning techniques help banks to optimize enterprise operations, enhance risk analyses and gain competitive advantage. There is a vast amount of research in credit risk, but to our knowledge, none of them uses credit registr...

Operational risk is defined as the potential losses resulting from events caused by inadequate or failed processes, people, equipment, and systems or from external events. One of the most important challenges for the management of the company is to i...

This study further empirically examines the influence of board independence on financial performance by using the world’s top 1000 firms. CEO duality and the percentage of independent directors are used as the indicators of board independence. Moreov...

The purpose of this study is to determine the mutual influence of financial security on the textile enterprises development level. The proposed methodological approach is based on the formation of an integrated financial security indicator and its re...

The present research focuses on the influence of the well-being indicators, more specifically, the indicators reflecting the life quality on the banking systems evolution from the EU member states. The study offers a unique approach to comparing the...

In this paper, we study the growth effects of the 2004 Eastern enlargement of the European Union (EU) using the synthetic control method. We estimate that this EU enlargement had an immediate but modest positive impact on the economic growth of the E...

‘Financial crisis’ is sometimes regarded as synonymous with ‘economic crisis’, but this is an oversimplification and risks missing the feedback loops between the financial and real economies. In this paper, the role of money is revisited in the conte...

The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as $V_{{\mathrm{A}}^{\mathrm{Put}}}^{\omega }(s)={sup}_{\tau \in \mathcal{T}}{\mathbb{E}}_s[e^{-{\int }_0^{\tau }\omega (S_w)dw}{(K-S_{\tau })}^{+}],$ where $\mathcal{T}$ is a...

This paper investigates the relationship between corporate governance quality and the cost of equity capital, intended as the discount rate the market applies to a firm’s expected future cash flows to evaluate the current share price. Using data from...

One of the IPO-related anomalies that have been well-discussed in the finance literature is the IPO’s long-running underperformance. Two of the major explanations of that phenomenon are: “Hot market” and earnings management. This study investigates t...

In this paper, we examine the impact of risk disclosure practices on trade credit. We hypothesize that risk information could reduce information opacity that arises between companies and their suppliers. We collected annual reports for Tunisian liste...

An increasing number of emerging and developing countries have adopted or are transitioning towards full-fledged inflation targeting (FFIT) as the main monetary policy framework to anchor inflation. In this paper, we explore the FFIT regime as a mean...

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two “safe-haven” assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant...

In this paper, we explore the relationship between a firm’s environmental policies and their risk-adjusted stock returns, using a sample of stock exchange-listed Australian firms over the period of 2010–2018. We observed a positive and statistically...

This paper aims to develop some static and conditional (dynamic) models to predict portfolio returns in the Borsa Istanbul (BIST) that are calibrated to combine the capital asset-pricing model (CAPM) and corporate governance quality. In our condition...

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understandi...

The purpose of our paper is to investigate whether any differences between International Financial Reporting Standards (IFRS) and local Generally Accepted Accounting Principles (GAAP) impact the transparency of financial reporting of non-listed compa...

In this paper, we demonstrate how a well-established machine learning-based statistical arbitrage strategy can be successfully transferred from equity to futures markets. First, we preprocess futures time series comprised of front months to render th...

In recent years, machine learning techniques have assumed an increasingly central role in many areas of research, from computer science to medicine, including finance. In the current study, we applied it to financial literacy to test its accuracy, co...

The need for modern infrastructure as a prerequisite for sustainable development, poverty alleviation, and improvement of the quality of life of the population is a global problem that requires searching for and attracting large amounts of long-term...

Financial literacy is extremely important, both from the perspective of the financial well-being of individuals and the stability of the financial market and the whole economy. The more financially literate a bank’s customers are, the more frequently...

Sustainable Development Goal 16 talks about Peace, Justice, and Strong Institutions, and goal 10 talks about reducing inequality. A major problem exposed by the COVID-19 crisis is that public deficits seem to be the normal state in the business cycle...

The ultimate goal of central banks, worldwide, is to promote the foundations for sustainable economic growth. In the case of developing economies, in particular, such objective requires time, huge efforts, attention, and plenty of resources in order...

This study examines the reaction of the Standard and Poor’s Regional Bank Index (SPRB) to the U.S. 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 volati...

In the beginning of the second book of his Politeia (Republic) Plato in passage 2.358e–359a–c raises the issue of the administration of justice as a means of motivating people to behave fairly regarding their relationships and when cooperating with e...

This study focused on scrutinizing the influence of Enterprises Risk Management (ERM) on firm performance with a mediating role of Business Model Innovation (BMI). For the purpose, data from 228 Jordanian firms was collected and analyzed. The results...

The aim of the paper is to assess the evolution of the cost of credit risk (CoR) of Polish banks as a result of the COVID-19 pandemic in the first three quarters of 2020 as well as its microeconomic determinants. We analysed the structural diversity...

There is a lack of a holistic perspective on bank performance. This study proposes a multidimensional (three-pronged) approach encompassing regulation, profitability, and nonperforming assets (NPAs) and their interactions as a measure of the performa...

We attempted to comprehensively decode the connectedness among the abbreviation of five emerging market countries (BRICS) stock markets between 1 August 2002 and 31 December 2019 not only in time domain but also in frequency domain. A continuously va...

The paper retrospectively analyses the issue of the impact of international trade on developed countries’ labour markets in the 1990s, when the majority of academic opinion denied the role of trade in the misfortunes of unskilled workers. An analytic...

This article examines the propensity to pay dividends in the U.S banking sector during 1973–2014. Although the propensity to pay dividends has been declining over the 52 years of our sample period, banks are consistently more likely to pay dividends...

The European integration process started with the aim of reducing the differences in income and/or living standards between the participating countries over time. To achieve this, a certain alignment of institutions and structures was seen as a neces...

The purpose of this study is to examine the relationship between the extension of globalization and coronavirus disease 2019 (COVID-19) case fatality rate (CFR) calculated on 28 July 2020 in more than 150 countries. Our regression analyses show that...

This paper explores the impacts of health pandemics on foreign direct investment (FDI) using the new world pandemic uncertainty index (WPUI). We investigate the effects of pandemics, including COVID-19, on FDI based on a sample of 142 economies and s...

While the outbreak of the COVID-19 disease has caused asset markets to experience an unprecedented spike of risk and uncertainty worldwide, the real estate market in many global cities appears to be immune to the adverse effects. How does COVID-19 af...

This paper explores how to construct a fair and optimal compensation system between the principal and the agent in the face of financial compensation agency problems during a limited period in relation to the concept of sustainability. In the constru...

We developed a model-free Bayesian extraction procedure for the stochastic discount factor under a yield curve prior. Previous methods in the literature directly or indirectly use some particular parametric asset-pricing models such as with long-run...

Most cultural heritage projects strive in ensuring financial sustainability, mainly relying on public subsidies. At the same time, they lack fund management policies which directly affects their financial sustainability. European Union heritage polic...

Some of the constructs in the field of performance management are intuitive or not empirically validated. This study provides a data-driven framework for measuring and improving the performance through synchronized strategies. The ultimate goal was t...

In this paper, we present a newly generated data set on real returns of households’ aggregated asset holdings, which adds additional and more sophisticated information to existing relevant datasets in the literature. To do this, we draw on various da...

This paper investigates the determinants behind persistent and prolonged stays under the International Monetary Fund (IMF) program and its effectiveness, using panel data consisting of 70 countries that have requested IMF support multiple times, duri...

Hezbollah is best defined in geopolitics as the Iranian ideology proxy that aims to grow the Persian footprint and to gain geopolitical strategic depth in the region. Its role continuously requires geopolitical conflicts, mainly against Saudi Arabia...

It is eminent to understand, be aware of and encourage domestic retail investors towards investment in the capital market in a developing economy such as India for tackling the situation of capital insufficiency and financial instability. Therefore,...

In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model...

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the...

The emergence of Bitcoin and other cryptocurrencies has led to an explosion of trading and speculation in once nontraditional markets [...]

Engineering procurement and construction (EPC) is a normative practice globally approved since China has been engaging in international cooperation under the Belt and Road Initiative (BRI) infrastructure development. EPC has been adopted in the deliv...

China is the largest CO₂ emitter in the world, and it shared 28% of the global CO₂ emissions in 2017. According to the Paris Agreement, it is estimated that China’s CO₂ emissions will reach its peak by 2030. However, whether or not the CO₂ emissions...