2022 January - 38 articles
This paper proposes a new combined semiparametric estimator of the conditional variance that takes the product of a parametric estimator and a nonparametric estimator based on machine learning. A popular kernel-based machine learning algorithm, known...
This paper studies the effects of a firm’s financial performance (FP) and chief executive officer’s (CEO) duality on the quality of corporate social responsibility (CSR) disclosure in the context of state-owned enterprises (SOEs) among Ch...
The motivation for this study hinges around the fact that Trinidad and Tobago (T&T) is suffering from the Dutch disease which inadvertently hinders the growth of non-energy exports. This paper examines measures that can be adopted for a small pet...
In this study, we apply several advanced machine learning techniques including extreme gradient boosting (XGBoost), support vector machine (SVM), and a deep neural network to predict bankruptcy using easily obtainable financial data of 3728 Belgian S...
Trading activities represent the flow of market information to the investors. This paper examines the effect of trading activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH mo...
This paper aims to contribute to the lack of research on the learning process of mutual fund markets. The empirical design is focused on the ability of the Spanish equity mutual fund industry to learn from its important errors. The choice of this ind...
Quantitative researchers often use Student’s t-test (and its p-values) to claim that a particular regressor is important (statistically significantly) for explaining the variation in a response variable. A study is subject to the p-hacking prob...
This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the...
The redistribution of resources in global stock markets is prevalent: the capital is transferred from one investor to another. Sometimes, earning a substantial return in the stock market seems complicated to implement for an individual investor. Inve...
Hedging down-and-out puts (and up-and-out calls), where the maximum payoff is reached just before a barrier is hit that would render the claim worthless afterwards, is challenging. All hedging methods potentially lead to large errors when the underly...
The aim of the study is to investigate the influence of the capitalist spirit in conjunction with the distribution of income on economic growth. The capitalist spirit is represented by the fact that savings rates increase with increasing relative inc...
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the...
Financial data are expensive and highly sensitive with limited access. We aim to generate abundant datasets given the original prices while preserving the original statistical features. We introduce the Wasserstein Generative Adversarial Network with...
Corporate bond yields are the manifestation of the cost of financing for private firms, and if properly evaluated, they provide researchers with valuable risk information. Within this context, this work is the first study producing corporate yield sp...
This study proposes a wavelet procedure for estimating partial correlation coefficients between stock market returns over different time scales. The estimated partial correlations are subsequently used in a cluster analysis to identify, for each time...
Entrepreneurs are constantly looking for new models to address growing global challenges in a sustainable manner. Over the past several decades, those challenges have been identified and responded to through the development of social entrepreneurship...
The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed that the linear drift coefficient may switch to a different value at the exponentially distributed time. The size of the drift jump...
The role of digital transformation in creating value for commercial banks has been interesting to researchers for a long time. While many commercial banks have significantly investigated digital transformation, researchers and managers have still met...
We read with great enthusiasm the recent article by Daynes et al [...]
Human resources are very important in a business; however, the return on investment in human resources is longer than in fixed assets, so entrepreneurs frequently consider how much to actually invest. This article, based on primary research, examines...
In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous aut...
This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential Fama–MacBeth approach and developed in a kernel regression framework. However, the meth...
The effectiveness of the unification of enterprises in the cluster is also associated with high uncertainty and risks. Thus, the development of theoretical approaches and methodological instruments for efficient risk management of enterprises under t...
The Uppsala model explains the traditional internationalisation process of multinational enterprises (MNEs), which gradually begin to internationalise from countries with smaller psychic distances. However, in the turbulent global economy, an increas...
This paper reports the results of analysing desk-based data on organisational support for high performance athletes to develop their financial literacy and self-management skills when transitioning out of sport. There are two research questions: (1)...
This paper proposes new dynamic conditional futures hedge ratios and compares their hedging performances along with those of common benchmark hedge ratios across three broad asset classes. Three of the hedge ratios are based on the upward-biased carr...
Institutional investors often have to decide which strategy to use across international business cycles. This is especially important during economic and financial crises. The exogenous nature of the outbreak of the dramatic COVID-19 crisis represent...
This paper examines equilibrium relationships and dynamic causality between economic growth, exports, and imports in Nepal using time-series data between 1965 and 2020. This research examines the impact of exports and imports on the economic growth o...
The article researches the features of the synergy of the social functions of the state and the housing mortgage loan (HML) in order to develop a tool that allows determining guidelines and directions for strengthening the effectiveness of collaborat...
The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes ove...
Certificate-of-need (CON) laws are intended to restrain health care spending by limiting the acquisition of duplicative capital and the initiation of unnecessary services. Critics contend that need is difficult to objectively assess, especially consi...
This paper explores passengers’ perceptions toward airport service quality through a content analysis. Using 1341 review comments posted on the Skytrax website, we identify satisfiers, dissatisfiers, and performance factors that determine passengers’...
Exploiting a representative sample of the French population by age, wealth, and asset classes, we document novel facts about their expectations and perceptions of stock market returns. Both expectations and perceptions of returns are very dispersed,...
This paper examines the impact of board diversity, CEO characteristics, and board committees on the financial performance of the companies listed on the Bucharest Stock Exchange (BSE). In order to test the influence of these characteristics, detailed...
The article analyzes the literature and provides an assessment of the development of the stock market in the Russian Federation between 2016–2020. Today, the process of improving electronic technologies for carrying out operations in the stock...
The development of a methodology for the growth of the stock market through a deep transformation of the economic development system and introduction of digital technologies. The article is devoted to the study of the development of stock markets&rsq...
The primary purpose of the paper is to enable deeper insight into the measurement of economic forecast accuracy. The paper employs the systematic literature review as its research methodology. It is also the first systematic review of the measures of...
Historically, exchange rate forecasting models have exhibited poor out-of-sample performances and were inferior to the random walk model. Monthly panel data from 1973 to 2014 for ten currency pairs of OECD countries are used to make out-of sample for...
