You are currently on the new version of our website. Access the old version .

Journal of Risk and Financial Management, Volume 17, Issue 5

May 2024 - 42 articles

Cover Story: The expectile-based Value at Risk (EVaR) is more sensitive to extreme losses than the traditional quantile-based VaR (QVaR). This study uses expectile regression to evaluate the EVaR of Australian and Japanese stock market indices, considering lagged returns and common risk factors. Our findings reveal that both markets are influenced by past developments and international stock markets. Notably, the ASX 200 index significantly impacts the Nikkei 225 regarding downside tail risk, whereas the Nikkei 225's influence on the ASX 200 is not significant. View this paper
  • Issues are regarded as officially published after their release is announced to the table of contents alert mailing list .
  • You may sign up for email alerts to receive table of contents of newly released issues.
  • PDF is the official format for papers published in both, html and pdf forms. To view the papers in pdf format, click on the "PDF Full-text" link, and use the free Adobe Reader to open them.

Articles (42)

  • Article
  • Open Access
5 Citations
6,098 Views
18 Pages

Financial Literacy: A Case Study for Portugal

  • Luís Almeida,
  • João Chanoca and
  • Fernando Tavares

This work aims at understanding the level of financial literacy in Portugal, identifying the determinants of financial literacy in the Portuguese population, taking as an example certain sociodemographic factors such as gender and age. The aim is to...

  • Article
  • Open Access
2,768 Views
18 Pages

South African Real Estate Investment Trusts Prefer Tuesdays

  • Oluwaseun Damilola Ajayi and
  • Emmanuel Kofi Gavu

This study examines the day-of-the-week effect on the returns of different classifications of South African REITs. Ordinary least squares regression (OLS), generalized autoregressive conditional heteroskedasticity (GARCH) (1,1) (2,1), and Kruskal&nda...

  • Article
  • Open Access
3 Citations
2,977 Views
23 Pages

Working Capital Management and Bank Mergers

  • Baoqi Na and
  • Katsutoshi Shimizu

This study investigates the consequences of bank mergers on non-financial borrowers’ working capital management. We find evidence that bank mergers increase corporate cash holdings and decrease receivables and investments in inventories by redu...

  • Article
  • Open Access
2,501 Views
13 Pages

Valuation of Goodwill for an Engineering Firm

  • Bhushan Lohar,
  • John Wade and
  • Sean Walker

The concept of valuing personal and enterprise goodwill is a study in the art of quantifying subjective values. Sellers strive to maximize goodwill, while buyers strive to minimize goodwill. No persons are denying the existence of goodwill; rather, t...

  • Article
  • Open Access
2 Citations
1,518 Views
9 Pages

We examine the risk–return tradeoff of a portfolio of firms that have tangible environmental, social, and governance (ESG) attributes. We introduce a new type of penalized regression using the Mahalanobis distance-based method and show its usef...

  • Article
  • Open Access
1 Citations
5,557 Views
24 Pages

This research investigates the connection between dividend policy, third-party funds, financial performance, and company value, with a focus on IT Innovation as a moderating factor. This research was conducted using a quantitative approach, utilizing...

  • Article
  • Open Access
1 Citations
2,196 Views
15 Pages

Taiwan is an island where the city and nature combine to become the most beautiful open-air museum in the world, known as Formosa. With climate change and industrial development as the main changes in consumption behavior, the integration of ecology,...

  • Article
  • Open Access
1 Citations
3,909 Views
25 Pages

In this study, we examine whether and how banks employ dividend payout policies in response to the risk of stock price crashes. Using a sample of U.S. banks, we find that banks increase their dividend payouts when faced with a higher risk of stock pr...

  • Article
  • Open Access
4,112 Views
15 Pages

This paper proposes a method for conducting quantitative inductive research on survey data when the variable of interest follows an ordinal distribution. A methodology based on novel and traditional penalising models is described. The main aim of thi...

  • Article
  • Open Access
3 Citations
2,740 Views
11 Pages

This study examines stock market response (SMR) to the Japanese tourism industry (TI) after the government’s announcement of travel subsidies (TRSs) during the COVID-19 pandemic in 2020, using a sample comprising 80 listed Japanese firms in the...

of 5

Get Alerted

Add your email address to receive forthcoming issues of this journal.

XFacebookLinkedIn
J. Risk Financial Manag. - ISSN 1911-8074