Next Issue
Volume 17, July
Previous Issue
Volume 17, May
 
 

J. Risk Financial Manag., Volume 17, Issue 6 (June 2024) – 39 articles

  • Issues are regarded as officially published after their release is announced to the table of contents alert mailing list.
  • You may sign up for e-mail 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.
Order results
Result details
Section
Select all
Export citation of selected articles as:
34 pages, 1563 KiB  
Article
Portfolio Optimization with Sector Return Prediction Models
by Wolfgang Bessler and Dominik Wolff
J. Risk Financial Manag. 2024, 17(6), 254; https://doi.org/10.3390/jrfm17060254 - 20 Jun 2024
Viewed by 107
Abstract
We analyze return predictability for U.S. sectors based on fundamental, macroeconomic, and technical indicators and analyze whether return predictions improve tactical asset allocation decisions. We study the out-of-sample predictive power of individual variables for forecasting sector returns and analyze multivariate predictive regression models, [...] Read more.
We analyze return predictability for U.S. sectors based on fundamental, macroeconomic, and technical indicators and analyze whether return predictions improve tactical asset allocation decisions. We study the out-of-sample predictive power of individual variables for forecasting sector returns and analyze multivariate predictive regression models, including OLS, regularized regressions, principal component regressions, the three-pass regression filter, and forecast combinations. Using an out-of-sample Black–Litterman portfolio optimization framework and employing predicted returns as investors’ ‘views’, we evaluate the benefits of sector return forecasts for investors. We find that portfolio optimization with sector return prediction models significantly outperforms portfolios using historical averages as well as passive benchmark portfolios. Full article
(This article belongs to the Special Issue Portfolio Selection and Risk Analytics)
19 pages, 314 KiB  
Article
Factors Affecting Return on Assets in the Renewable Energy Sector during Supply Chain Disruptions
by Jie Yu
J. Risk Financial Manag. 2024, 17(6), 253; https://doi.org/10.3390/jrfm17060253 - 19 Jun 2024
Viewed by 302
Abstract
Return on assets (ROA) is a critical metric in assessing a company’s sustainability, especially in light of supply chain disruptions. Within the renewable energy sector, such disruptions often lead to a decline in ROA. Through the utilization of a within-between random model, this [...] Read more.
Return on assets (ROA) is a critical metric in assessing a company’s sustainability, especially in light of supply chain disruptions. Within the renewable energy sector, such disruptions often lead to a decline in ROA. Through the utilization of a within-between random model, this study uncovers the necessity for distinct strategies both prior to and during supply chain disruptions to maintain a high ROA. Pre-disruption, emphasis should be placed on securing additional funding for research and development (R&D) initiatives and expanding market reach. However, amid disruptions, sustaining a high ROA demands a strategic pivot. Specifically, renewable energy firms should scale back expansion efforts, redirect cash toward R&D, and exercise caution when venturing into new international markets, particularly in the absence of substantial government subsidies. Notably, this paper focuses solely on large-scale listed companies, overlooking potential innovative strategies employed by smaller-scale companies—an area ripe for future investigation. Despite this limitation, our findings offer valuable insights into enhancing sustainable performance within the renewable energy sector. Full article
(This article belongs to the Section Energy and Environment: Economics, Finance and Policy)
22 pages, 676 KiB  
Article
Lessons from the Demise of the Brent Crude Oil Futures Contract on the Singapore Exchange
by David K. Ding and Wui Boon Lim
J. Risk Financial Manag. 2024, 17(6), 252; https://doi.org/10.3390/jrfm17060252 - 19 Jun 2024
Viewed by 209
Abstract
This paper highlights the lessons drawn from the demise of the Brent Crude Oil futures contract that was traded on the Singapore Stock Exchange (SGX). We analyze the market microstructure of the contract prior to its failure—specifically, the number of trades, trading volume, [...] Read more.
This paper highlights the lessons drawn from the demise of the Brent Crude Oil futures contract that was traded on the Singapore Stock Exchange (SGX). We analyze the market microstructure of the contract prior to its failure—specifically, the number of trades, trading volume, open interest, bid–ask spread, and volatility. We find a steady decline in the mean volume, open interest, and number of trades as the contracts near their demise. The bid–ask spread of the contract also widens. Investigations of the mutual offset feature of the Brent Crude Oil futures contract between SGX and the International Commodity Exchange (ICE) provides evidence that trading volume, open interest, and the number of trades increase significantly during 4:00–5:45 PM local time when mutual offset is available. Full article
(This article belongs to the Special Issue Contemporary Studies on Corporate Finance and Business Research)
Show Figures

Figure 1

17 pages, 726 KiB  
Article
Corporate Income Taxation Dynamics: A Comparative Analysis of Portugal, Germany, Belgium, The Netherlands, and Luxembourg
by Filipa Jesus, José Amorim and Catarina Cepeda
J. Risk Financial Manag. 2024, 17(6), 251; https://doi.org/10.3390/jrfm17060251 - 19 Jun 2024
Viewed by 217
Abstract
This study seeks to undertake a comprehensive analysis and comparison of the corporate income tax systems across select European Union nations, with a specific focus on discerning disparities between the individual income tax (IIT) and corporate income tax (CIT) frameworks prevalent in Portugal, [...] Read more.
This study seeks to undertake a comprehensive analysis and comparison of the corporate income tax systems across select European Union nations, with a specific focus on discerning disparities between the individual income tax (IIT) and corporate income tax (CIT) frameworks prevalent in Portugal, Holland, Belgium, Luxembourg, and Germany. With an institutional theory lens, we applied document analysis to describe the distinctive attributes characterizing each tax regime within the purview of competitive dynamics and fiscal competitiveness. Despite inherent limitations stemming from challenges in accessing tax-related information and potential oversights regarding socio-political determinants, this study underscores the imperative of grasping the intricate interplay between tax imposition levels and broader economic development trajectories. By furnishing valuable insights into prospective reforms pertaining to Portugal’s corporate income tax architecture, this scholarly inquiry significantly enriches our comprehension of tax competitiveness within the overarching framework of the global economic environment. Full article
(This article belongs to the Special Issue Financial Reporting and Auditing)
Show Figures

Figure 1

23 pages, 668 KiB  
Article
Does Corporate Social Responsibility Create Value in Acquisitions? Evidence from the German Market
by Jan-Luca Walter, Michel Charifzadeh and Tim Alexander Herberger
J. Risk Financial Manag. 2024, 17(6), 250; https://doi.org/10.3390/jrfm17060250 - 18 Jun 2024
Viewed by 247
Abstract
This paper examines the impact of a firm’s Corporate Social Responsibility (CSR) level on abnormal stock returns around merger and acquisitions (M&A) announcements. Using a sample of transactions announced by German DAX-listed acquirers from 2017 and 2022, the analysis assesses whether CSR creates [...] Read more.
This paper examines the impact of a firm’s Corporate Social Responsibility (CSR) level on abnormal stock returns around merger and acquisitions (M&A) announcements. Using a sample of transactions announced by German DAX-listed acquirers from 2017 and 2022, the analysis assesses whether CSR creates value for acquiring firms’ shareholders and offers a comprehensive discussion of potential factors supporting or opposing this notion. Our study seeks to fill a notable gap in the German literature on the relationship between CSR performance and abnormal stock returns surrounding M&A announcements. Building upon prior research findings in the US and in an international sample, our investigation focuses on the German market. Employing event study methodology, our results indicate that M&A transactions of German-listed acquirers did not yield significant negative or positive cumulative abnormal returns for event windows of 3 and 11 days. Furthermore, based on multiple linear regression, no evidence was found that CSR positively or negatively influenced abnormal stock returns following M&A announcements, suggesting that positive and negative effects potentially offset each other. The outcomes of our research have important implications for investors, as CSR initiatives do not serve as a positive trading signal, guaranteeing excess returns, which contrasts findings from previous studies in other developed countries. For managers, it is essential to concentrate on factors beyond CSR performance, such as synergies and fit. Finally, both managers and investors should not view CSR as a shareholder value-enhancing short-term investment but as an integral component of fostering sustainable business development. Full article
(This article belongs to the Special Issue Recent Developments in Finance and Economic Growth)
Show Figures

Figure 1

15 pages, 443 KiB  
Article
The Impact of Audit Characteristics on Earnings Management: Evidence from Dubai Banks
by Sinan Zuhair Mohammed Jameel, Ali Malallah Al-Sendy and Kubra Muhammad Taher Hamoudi
J. Risk Financial Manag. 2024, 17(6), 249; https://doi.org/10.3390/jrfm17060249 - 13 Jun 2024
Viewed by 485
Abstract
This study investigated the impact of audit committee characteristics on earnings management based on data collected from the annual reports of banks operating in Dubai from 2010 to 2022. The audit committee’s independence and the number of members had a statistically significant effect [...] Read more.
This study investigated the impact of audit committee characteristics on earnings management based on data collected from the annual reports of banks operating in Dubai from 2010 to 2022. The audit committee’s independence and the number of members had a statistically significant effect on earnings management. Nevertheless, auditor reputation, gender, financial expertise, time commitment, and the number of meetings insignificantly affected earnings management. The implications of this study benefit both business leaders and investors, who aim to observe the actual state of their company’s finances by strengthening the auditing process. Full article
(This article belongs to the Special Issue Financial Accounting, Reporting and Disclosure)
Show Figures

Figure 1

44 pages, 636 KiB  
Article
Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets
by Dean Fantazzini
J. Risk Financial Manag. 2024, 17(6), 248; https://doi.org/10.3390/jrfm17060248 - 13 Jun 2024
Viewed by 379
Abstract
This paper investigates the estimation of the value at risk (VaR) across various probability levels for the log-returns of a comprehensive dataset comprising four thousand crypto-assets. Employing four recently introduced adaptive conformal inference (ACI) algorithms, we aim to provide robust uncertainty estimates crucial [...] Read more.
This paper investigates the estimation of the value at risk (VaR) across various probability levels for the log-returns of a comprehensive dataset comprising four thousand crypto-assets. Employing four recently introduced adaptive conformal inference (ACI) algorithms, we aim to provide robust uncertainty estimates crucial for effective risk management in financial markets. We contrast the performance of these ACI algorithms with that of traditional benchmark models, including GARCH models and daily range models. Despite the substantial volatility observed in the majority of crypto-assets, our findings indicate that ACI algorithms exhibit notable efficacy. In contrast, daily range models, and to a lesser extent, GARCH models, encounter challenges related to numerical convergence issues and structural breaks. Among the ACI algorithms, Fully Adaptive Conformal Inference (FACI) and Scale-Free Online Gradient Descent (SF-OGD) stand out for their ability to provide precise VaR estimates across all quantiles examined. Conversely, Aggregated Adaptive Conformal Inference (AgACI) and Strongly Adaptive Online Conformal Prediction (SAOCP) demonstrate proficiency in estimating VaR for extreme quantiles but tend to be overly conservative for higher probability levels. These conclusions withstand robustness checks encompassing the market capitalization of crypto-assets, time-series size, and different forecasting methods for asset log-returns. This study underscores the promise of ACI algorithms in enhancing risk assessment practices in the context of volatile and dynamic crypto-asset markets. Full article
(This article belongs to the Special Issue Financial Technology (Fintech) and Sustainable Financing Volume III)
Show Figures

Figure 1

23 pages, 2621 KiB  
Article
Digital-Platform-Based Ecosystems: CSR Innovations during Crises
by Enoch Opare Mintah and Mahmoud Elmarzouky
J. Risk Financial Manag. 2024, 17(6), 247; https://doi.org/10.3390/jrfm17060247 - 12 Jun 2024
Viewed by 315
Abstract
Humanitarian crises caused by war, natural disasters, famine, or disease outbreaks are growing globally and are persistent human tragedies threatening human health, safety, and well-being. Digital-platform-based ecosystems’ corporate social responsibility (CSR) activities have become a vital tool to support humans during crises. However, [...] Read more.
Humanitarian crises caused by war, natural disasters, famine, or disease outbreaks are growing globally and are persistent human tragedies threatening human health, safety, and well-being. Digital-platform-based ecosystems’ corporate social responsibility (CSR) activities have become a vital tool to support humans during crises. However, little is known about the impact of the innovative CSR practices of digital-platform-based ecosystems during a crisis. Therefore, this study investigates this crucial question. Building on dynamic capabilities theory and using thematic analysis of 89 news articles and data from website sources and reports relating to Airbnb Inc.’s CSR innovation in the Afghan 2021 and the Russia–Ukraine 2022 humanitarian crises, we find that strategic digital-platform-based ecosystem-driven CSR interventions during crises can be helpful for society and for businesses. The results suggest Airbnb.org leveraged its resources and capabilities to provide innovative, quick, and timely responses to redefine refugee resettlement, promoting a platform to harness community partnerships, creating a robust collaboration model with international non-governmental organizations and non-governmental organizations, and initiating a novel financial inclusion strategy for refugees and displaced persons. This result also implies that CSR technological innovations during s crisis can be theoretically explained and have further significant implications for policymakers, companies, and societal stakeholders. Full article
Show Figures

Figure 1

27 pages, 993 KiB  
Article
Natural Disasters and Human Development in Asia–Pacific: The Role of External Debt
by Markus Brueckner, Sudyumna Dahal and Haiyan Lin
J. Risk Financial Manag. 2024, 17(6), 246; https://doi.org/10.3390/jrfm17060246 - 12 Jun 2024
Viewed by 369
Abstract
The average country in Asia–Pacific experiences more natural disasters than average countries of other developing regions. This paper presents stylized facts on natural disasters, human development, and external debt in Asia–Pacific. The paper also contains estimates of the effects that natural disasters have [...] Read more.
The average country in Asia–Pacific experiences more natural disasters than average countries of other developing regions. This paper presents stylized facts on natural disasters, human development, and external debt in Asia–Pacific. The paper also contains estimates of the effects that natural disasters have on human development. Controlling for country- and time-fixed effects, the dynamic panel model estimates show that external debt has a mitigating effect on the adverse impacts that natural disasters have on human development; in countries with low external debt-to-GDP ratios, natural disasters significantly decrease the human development index, but not so in countries with high external debt-to-GDP ratios. External debt (i.e., borrowing from abroad) is a financial contract for obtaining resources from abroad (i.e., imports of goods and services). When a country experiencing a natural disaster borrows from abroad to increase imports of goods and services, the population suffers less when a natural disaster strikes. Natural disasters destroy goods and capital (e.g., food, machinery, buildings, and roads) in the countries in which they occur. If imports of goods and services do not increase, then the population has less goods and services to consume following a natural disaster. By increasing imports, which are mirrored on the financial side by an increase in external debt, the population of a country that was struck by a natural disaster can experience consumption smoothing. As the incidence of natural disasters increases globally, a policy recommendation for disaster-prone countries, supported by the empirical results of this paper, is the need for deeper and innovative mechanisms of access to international financing, including reforms in both domestic and international financial systems. The paper’s most significant contribution is the unique lens through which it analyzes the often-studied subject of natural disasters. Rather than looking at disasters as merely adverse events and debt as an unwelcome obligation in isolation, it connects the two and uncovers the paradoxically positive and beneficial role a healthy level of external debt can play in mitigating the adverse effects of these disasters. It provides a fresh perspective, a shift in thinking that may immensely benefit external debt and disaster management policies. Full article
Show Figures

Figure 1

27 pages, 364 KiB  
Article
Follow the Leader: How Culture Gives Rise to a Behavioral Bias That Leads to Higher Greenhouse Gas Emissions
by Le Zhao, Nima Vafai, Marcos Velazquez and Abu Amin
J. Risk Financial Manag. 2024, 17(6), 245; https://doi.org/10.3390/jrfm17060245 - 11 Jun 2024
Viewed by 540
Abstract
This research investigates the influence of national culture, particularly power distance, on firms’ carbon dioxide (CO2) emissions. Drawing on a large international dataset spanning over a decade, we examine how power distance, agency conflict, and socioeconomic stability interact to shape firms’ [...] Read more.
This research investigates the influence of national culture, particularly power distance, on firms’ carbon dioxide (CO2) emissions. Drawing on a large international dataset spanning over a decade, we examine how power distance, agency conflict, and socioeconomic stability interact to shape firms’ emission decisions. Our analysis reveals a significant positive relationship between power distance and firms’ CO2 emissions, indicating that firms located in countries characterized by higher power distance tend to emit more greenhouse gases (GHGs). Furthermore, we find that agency conflict moderates this relationship, with firms experiencing high levels of debt or paying substantial dividends exhibiting lower emissions in high power distance environments. Additionally, socioeconomic stability attenuates the positive association between power distance and emissions, suggesting that the effectiveness of cultural influences on emission decisions is contingent upon the stability of the societal context. These findings underscore the importance of considering cultural dimensions, agency dynamics, and socioeconomic conditions in understanding corporate environmental behavior. Our research contributes to the literature by providing empirical evidence of the nuanced interplay between national culture, agency conflict, and socioeconomic stability in shaping firms’ emission decisions. Policymakers and practitioners can use these insights to develop more targeted environmental policies and strategies aimed at promoting sustainable development globally. Full article
(This article belongs to the Special Issue Quantitative Finance in Energy)
18 pages, 301 KiB  
Article
An Exogenous Risk in Fiscal-Financial Sustainability: Dynamic Stochastic General Equilibrium Analysis of Climate Physical Risk and Adaptation Cost
by Shuqin Gao
J. Risk Financial Manag. 2024, 17(6), 244; https://doi.org/10.3390/jrfm17060244 - 11 Jun 2024
Viewed by 505
Abstract
This research aims to explore the fiscal and public finance viability on climate physical risk externalities cost for building social-economic-environmental sustainability. It analyzes climate physical risk impact on the real business cycle to change the macroeconomic output functions, its regressive cyclic impact alters [...] Read more.
This research aims to explore the fiscal and public finance viability on climate physical risk externalities cost for building social-economic-environmental sustainability. It analyzes climate physical risk impact on the real business cycle to change the macroeconomic output functions, its regressive cyclic impact alters tax revenue income and public expenditure function; This research also analyzes that the climate physical risk escalates social-economic inequality and change fiscal-financial policy functions, illustrates how the climate damage cost and adaptation cost distorts fiscal-finance cyclical and structural equilibrium function. This research uses binary and multinomial logistic regression analysis, dynamic stochastic general equilibrium method (DSGE) and Bayesian estimation model. Based on the climate disaster compensation scenarios, damage cost and adaptation cost, analyzing the increased public expenditure and reduced revenue income, demonstrates how climate physical risk externalities generate binary regression to financial fiscal equilibrium, trigger structural and cyclical public budgetary deficit and fiscal cliff. This research explores counterfactual balancing measures to compensate the fiscal deficit from climate physical risk: effectively allocating resources and conducting the financial fiscal intervention, building greening fiscal financial system for creating climate fiscal space. Full article
26 pages, 415 KiB  
Article
Do Internal Corporate Governance Practices Influence Stock Price Volatility? Evidence from Egyptian Non-Financial Firms
by Mohamed Sherif, Doaa El-Diftar and Tamer Shahwan
J. Risk Financial Manag. 2024, 17(6), 243; https://doi.org/10.3390/jrfm17060243 - 11 Jun 2024
Viewed by 485
Abstract
The objective of this research paper is to investigate the association between internal Corporate Governance (CG) mechanisms and stock price volatility in Egypt as an emerging market. The paper investigates the impact of ownership structure and board structure as internal CG mechanisms on [...] Read more.
The objective of this research paper is to investigate the association between internal Corporate Governance (CG) mechanisms and stock price volatility in Egypt as an emerging market. The paper investigates the impact of ownership structure and board structure as internal CG mechanisms on stock price volatility. Data are analyzed using a two-way fixed effects model, a one-step dynamic panel data model, and a panel weighted least squares model. The study concluded that ownership concentration has a negative influence on volatility. Interestingly, an inverted U-shaped relationship between the percentage of ownership by the greatest shareholder and volatility is evidenced. Managerial ownership also showed a negative influence on volatility. As for board structure mechanisms, the findings show that both board size and frequency of board meetings negatively influence volatility, whereas board independence has a positive impact. Full article
(This article belongs to the Section Economics and Finance)
18 pages, 3076 KiB  
Article
Neural Network-Based Predictive Models for Stock Market Index Forecasting
by Karime Chahuán-Jiménez
J. Risk Financial Manag. 2024, 17(6), 242; https://doi.org/10.3390/jrfm17060242 - 11 Jun 2024
Viewed by 506
Abstract
The stock market, characterised by its complexity and dynamic nature, presents significant challenges for predictive analytics. This research compares the effectiveness of neural network models in predicting the S&P500 index, recognising that a critical component of financial decision making is market volatility. The [...] Read more.
The stock market, characterised by its complexity and dynamic nature, presents significant challenges for predictive analytics. This research compares the effectiveness of neural network models in predicting the S&P500 index, recognising that a critical component of financial decision making is market volatility. The research examines neural network models such as Long Short-Term Memory (LSTM), Convolutional Neural Network (CNN), Artificial Neural Network (ANN), Recurrent Neural Network (RNN), and Gated Recurrent Unit (GRU), taking into account their individual characteristics of pattern recognition, sequential data processing, and handling of nonlinear relationships. These models are analysed using key performance indicators such as the Root Mean Square Error (RMSE), Mean Absolute Percentage Error (MAPE), and Directional Accuracy, a metric considered essential for prediction in both the training and testing phases of this research. The results show that although each model has its own advantages, the GRU and CNN models perform particularly well according to these metrics. GRU has the lowest error metrics, indicating its robustness in accurate prediction, while CNN has the highest directional accuracy in testing, indicating its efficiency in data processing. This study highlights the potential of combining metrics for neural network models for consideration when making decisions due to the changing dynamics of the stock market. Full article
(This article belongs to the Special Issue Financial Valuation and Econometrics)
Show Figures

Figure 1

39 pages, 392 KiB  
Article
ChatGPT, Help! I Am in Financial Trouble
by Minh Tam Tammy Schlosky, Serkan Karadas and Sterling Raskie
J. Risk Financial Manag. 2024, 17(6), 241; https://doi.org/10.3390/jrfm17060241 - 11 Jun 2024
Viewed by 451
Abstract
This study examines the capability of ChatGPT to provide financial advice based on personal finance cases. We first write our own cases and feed them to ChatGPT to get its advice (recommendations) on them. Next, we assess the quality and the validity of [...] Read more.
This study examines the capability of ChatGPT to provide financial advice based on personal finance cases. We first write our own cases and feed them to ChatGPT to get its advice (recommendations) on them. Next, we assess the quality and the validity of ChatGPT’s recommendations on these cases. We find that ChatGPT serves as a suitable starting point, but its recommendations tend to be generic, and they often overlook alternative solutions and viewpoints and priority of recommendations. Overall, our analysis demonstrates the strengths and weaknesses of using ChatGPT in personal finance matters. Further, it serves as a helpful guide to financial advisors, households, and instructors of personal finance who are already using or considering using ChatGPT and want to develop a suitable understanding of the benefits and limitations of this new technology in addressing their professional and personal needs. Full article
(This article belongs to the Section Financial Technology and Innovation)
20 pages, 2790 KiB  
Article
Resource Price Interconnections and the Impact of Geopolitical Shocks Using Granger Causality: A Case Study of Ukraine–Russia Unrest
by Eirini Kostaridou, Nikolaos Siatis and Eleni Zafeiriou
J. Risk Financial Manag. 2024, 17(6), 240; https://doi.org/10.3390/jrfm17060240 - 9 Jun 2024
Viewed by 642
Abstract
Political events significantly impact economic indices, including agricultural commodities. While Granger causality is a well-established method for analyzing interdependencies between time series data, its traditional application can be challenging to interpret across multiple periods. This research enhances the Granger causality method to quantify [...] Read more.
Political events significantly impact economic indices, including agricultural commodities. While Granger causality is a well-established method for analyzing interdependencies between time series data, its traditional application can be challenging to interpret across multiple periods. This research enhances the Granger causality method to quantify changes in the interlinkages among variables over time, offering a more intuitive framework for analyzing how political events affect economic indices. The proposed method involves conducting Granger causality tests across different periods, forming vectors from the results to capture transitions from Granger-causing to non-Granger-causing variables. These vector amplitudes provide quantitative measures of changes with explanatory power over time. The dataset includes eight variables over a decade, focusing on the following major geopolitical events: the Russian occupation of Crimea in 2014 and the invasion of Ukraine in 2022, with an intermediate “no-shocks” period as the reference. The results show significant changes in the interlinkages among the variables during crisis periods compared to stable periods. This enhanced method provides valuable insights, informing trading strategies and risk management during periods of geopolitical instability. This innovative approach offers a novel tool for market participants to better understand and respond to economic shocks caused by political events. Full article
(This article belongs to the Special Issue Financial Markets Reaction to Russo-Ukrainian War)
Show Figures

Figure 1

16 pages, 1477 KiB  
Article
Exploring the Resilience of Islamic Stock in Indonesia and Asian Markets
by Nofrianto Nofrianto, Deni Pandu Nugraha, Amanj Mohamed Ahmed, Zaenal Muttaqin, Maria Fekete-Farkas and István Hágen
J. Risk Financial Manag. 2024, 17(6), 239; https://doi.org/10.3390/jrfm17060239 - 7 Jun 2024
Viewed by 544
Abstract
This study aims to investigate the relationship between returns and risk of Islamic stock under stable economic conditions, crises, and pandemics within the scope of Indonesian and Asian Islamic capital markets. How do economic conditions affect the risks and returns of investors in [...] Read more.
This study aims to investigate the relationship between returns and risk of Islamic stock under stable economic conditions, crises, and pandemics within the scope of Indonesian and Asian Islamic capital markets. How do economic conditions affect the risks and returns of investors in the Indonesian and Asian Islamic capital markets? Verification of the veracity of the Islamic capital market serves as a more resilient option for alternative investments. This study uses Granger causality to determine exogenous and endogenous variables when building the model. The model that is formed is then analyzed using regression with dummy variables of stable economic conditions, crises, and pandemics. The first research findings on differences in crisis, stable and pandemic times in the Asian stock market show that there is no significant difference in effect between stable times and during a crisis, but there are differences in the effect during stable and pandemic times. The second research finding states that the return on Asian market Shariah stocks has no influence on increasing or reducing the value of risk or value at risk. The third finding explains that Islamic stocks in Indonesia have a greater risk value during pandemics and crises than in stable times, but the effect of pandemic and crisis conditions is not as great as Islamic stocks in Asia as a whole. In order to stabilize markets and reduce risks, regulatory bodies and governments frequently employ a variety of actions during times of crisis. When applied to trading volume, risk, and return patterns, these findings can help determine the appropriate policy. Full article
(This article belongs to the Section Financial Markets)
Show Figures

Figure 1

14 pages, 253 KiB  
Article
CEO Characteristics and Risk-Taking under Economic Policy Uncertainty
by Ivan Stetsyuk, Ayca Altintig, Kerim Peren Arin and Moo Sung Kim
J. Risk Financial Manag. 2024, 17(6), 238; https://doi.org/10.3390/jrfm17060238 - 7 Jun 2024
Viewed by 483
Abstract
This paper investigates the effects of such CEO characteristics as gender, age, and education on the CEOs’ risk-taking behavior during periods of economic policy uncertainty. The paper utilizes Execucomp, BoardEx, and Compustat data from 2005 to 2017 in order to give a novel [...] Read more.
This paper investigates the effects of such CEO characteristics as gender, age, and education on the CEOs’ risk-taking behavior during periods of economic policy uncertainty. The paper utilizes Execucomp, BoardEx, and Compustat data from 2005 to 2017 in order to give a novel perspective on how CEO characteristics may provide differing risk-taking positions when faced with varying levels of uncertainty. The results offer robust evidence that older CEOs generally take less risk—regardless of the level of economic policy uncertainty. However, more educated CEOs take less risk only during economically uncertain times. The results also indicate that while female CEOs tend to be younger and have lower levels of education, gender does not provide a significant difference in risk-taking behavior during periods of economic policy uncertainty. Furthermore, we do not find any significant effect of insider status or corporate governance variables on CEO risk-taking under economic policy uncertainty once gender, age, and education are controlled for. Full article
(This article belongs to the Special Issue Economic Policy Uncertainty)
21 pages, 535 KiB  
Article
Perception of Corporate Social Responsibility, Organizational Commitment and Employee Innovation Behavior: A Survey from Chinese AI Enterprises
by Hao He and Chonlavit Sutunyarak
J. Risk Financial Manag. 2024, 17(6), 237; https://doi.org/10.3390/jrfm17060237 - 6 Jun 2024
Viewed by 398
Abstract
This study delves into the relationships between the perception of corporate social responsibility (PCSR), organizational commitment and employee innovation behavior, as well as the multiple mediating roles of affective, normative and continuance commitment in the relationship between the perception of CSR and innovation [...] Read more.
This study delves into the relationships between the perception of corporate social responsibility (PCSR), organizational commitment and employee innovation behavior, as well as the multiple mediating roles of affective, normative and continuance commitment in the relationship between the perception of CSR and innovation behavior. This research involved 419 employees from 15 artificial intelligence (AI) enterprises in Shenzhen, China. This study’s hypotheses were tested using structural equation modeling. The findings indicate that PCSR significantly impacts innovation behavior, and affective, continuance and normative commitments also positively influence innovation behavior. Moreover, these three commitments play a partial mediating role in the relationship between PCSR and innovation behavior. This study enriches and expands the understanding of the multiple mediating mechanisms between PCSR and employee innovation behavior, providing a theoretical basis and guidance for management to comprehensively understand the role of employees’ PCSR in enhancing organizational commitment and fostering innovation behavior. Full article
(This article belongs to the Special Issue Fintech and Green Finance)
Show Figures

Figure 1

15 pages, 772 KiB  
Review
Does Islamic Sustainable Finance Support Sustainable Development Goals to Avert Financial Risk in the Management of Islamic Finance Products? A Critical Literature Review
by Lukman Raimi, Ibrahim Adeniyi Abdur-Rauf and Saheed Afolabi Ashafa
J. Risk Financial Manag. 2024, 17(6), 236; https://doi.org/10.3390/jrfm17060236 - 6 Jun 2024
Viewed by 529
Abstract
Policymakers, governments, and Islamic financial institutions are increasingly focusing on sustainable development, leading to an in-depth examination of current sustainable finance practices, projects, and product portfolios. This study examines the role of Islamic sustainable finance (ISF) in promoting Sustainable Development Goals (SDGs) to [...] Read more.
Policymakers, governments, and Islamic financial institutions are increasingly focusing on sustainable development, leading to an in-depth examination of current sustainable finance practices, projects, and product portfolios. This study examines the role of Islamic sustainable finance (ISF) in promoting Sustainable Development Goals (SDGs) to avert financial risk in the management of Islamic Finance Products (ISFP). Through qualitative analysis, the study conducts a critical literature review (CLR) that incorporates conceptual, theoretical, and empirical perspectives on ISF and SDGs and addresses two specific research questions. Our study examines over 48 journals from 2010 to 2024 and provides insights into how ISF advances the SDGs across all environmental, social, and economic dimensions. It also highlights that ISF promotes green entrepreneurship by investing in sustainable projects, supporting SMEs, and offering alternative financing. ISF also promotes financial stability, justice, and growth and is consistent with the principles of Maqasid al-Shari’ah. Key ISF mechanisms that promote the SDGs include Islamic Green Sukuk, Socially Responsible Investment Funds, Islamic Microfinance, and Islamic Impact Investing. Integrating Islamic ethical principles into financial activities is crucial for inclusive and sustainable economic development. These qualitative insights are critical for policymakers, Islamic financial institutions, Halal entrepreneurs, environmentalists, and investors to understand the potential of Islamic social finance (ISF) to support sustainable practices, projects, and portfolios. Furthermore, the ISFs alignment with Maqasid al-Shari’ah highlights its importance in promoting sustainable development while mitigating financial risk in ISFPs management. The study offers robust contributions to the existing literature to provide comprehensive insights into how ISF can be effectively used to promote SDGs. Full article
(This article belongs to the Special Issue Finance, Risk and Sustainable Development)
Show Figures

Figure 1

29 pages, 3274 KiB  
Article
Financial Fragility and Public Social Spending: Unraveling the Endogenous Nexus
by Dionysios Kyriakopoulos, John Yfantopoulos and Theodoros Stamatopoulos
J. Risk Financial Manag. 2024, 17(6), 235; https://doi.org/10.3390/jrfm17060235 - 5 Jun 2024
Viewed by 372
Abstract
This article provides both stylized facts and estimations of the endogenous nexus of the financial fragility hypothesis (FFH) with public social spending (PSS) for a paradigmatic Eurozone member country. The sample period 1995–2022 includes three major economic crises, the global financial crisis 2007–2009, [...] Read more.
This article provides both stylized facts and estimations of the endogenous nexus of the financial fragility hypothesis (FFH) with public social spending (PSS) for a paradigmatic Eurozone member country. The sample period 1995–2022 includes three major economic crises, the global financial crisis 2007–2009, the European debt crisis 2010–2015 and the COVID-19 pandemic one in 2020–2022. Within the context of the financialization literature, this paper is founded, for the first time, as far as we know, on the “financial fragility hypothesis”, combining the effects of both Minsky’s “financial instability”, as it has been extended for open economies, and the “Eurozone fragility one”. Similar to the relevant literature, the findings show that the PSS is associated, in a long-term steady state (cointegration), with the financial fragility process, starting, firstly, from the hedge-financing structure with high profitability of firms, when PSS decreases; secondly, to hyper-speculative financing with risky options, supported by bank credit and openness, indebtedness or discretionary fiscal policy, when PSS rises; thirdly, to the hyper-speculative or even Ponzi financing structures with over-indebtedness (leverage) from the global capital market, inflated asset prices and internationalized fragility, when PSS also rises, and so on. Our conclusion validates Minsky’s famous saying, “stability breeds instability”, also in the architecturally incomplete Eurozone. Policy implications are straightforward and discussed. Full article
(This article belongs to the Special Issue Featured Papers in Mathematics and Finance)
Show Figures

Figure 1

29 pages, 1016 KiB  
Article
Can the Presence of Big 4 Auditors in IPO Prospectus Reduce Failure Risk?
by Manal Alidarous
J. Risk Financial Manag. 2024, 17(6), 234; https://doi.org/10.3390/jrfm17060234 - 5 Jun 2024
Viewed by 442
Abstract
This paper addresses a void in the research on auditing and initial public offering (IPO) failure by investigating the impact of the Big 4 auditing firms on the likelihood of an IPO failure. This research is the first comprehensive analysis of more than [...] Read more.
This paper addresses a void in the research on auditing and initial public offering (IPO) failure by investigating the impact of the Big 4 auditing firms on the likelihood of an IPO failure. This research is the first comprehensive analysis of more than 33,000 global IPOs that either failed or were successful between 1995 and 2019 across a wide range of nations with vastly different regulatory, cultural, and economic settings. A cross-sectional probit regression model is utilized to investigate the influence of hiring the Big 4 auditing firms on IPO failure, building upon prior studies on IPO failure. We found strong evidence that IPO failure rates were diminished by up to 67% when one of the Big 4 auditing firms was involved in auditing the IPO prospectus. For IPO founders, hiring Big 4 auditors before an IPO is a quality signaling strategy that minimizes the risk of a failed IPO by reducing information asymmetry among IPO participants. Our findings provide useful policy implications. Hiring one of the Big 4 auditing firms before an IPO is a reassuring signaling strategy for founders, since it decreases information asymmetry among IPO investors and so lowers the risk of the IPO failing. Primary market investors now have access to credible evidence indicating that backing IPOs from companies that use the Big 4 auditing firms increases the likelihood of such IPOs being listed on stock exchanges and yields positive returns. This is the first time, as far as the academicians are aware, that conclusive evidence has been found of a strong inverse association between the presence of Big 4 audits and failure risk for IPO firms. Our research could be helpful to primary market regulators since it shows how crucial it is to encourage Big 4 audits in IPO companies. The quality work of the Big 4 auditors does lower the risk of failure in the IPO market, which might help owners of small private equities to list their firms on the IPO market, boosting economic growth. Full article
(This article belongs to the Special Issue Judgment and Decision-Making Research in Auditing)
Show Figures

Figure 1

28 pages, 430 KiB  
Review
The Principle of Proportionality: Unraveling the Practical Application of Proportionality in the EU Regulations and the Solvency II Directive for Insurance Undertakings
by Aaron Baldacchino, Simon Grima and Kiran Sood
J. Risk Financial Manag. 2024, 17(6), 233; https://doi.org/10.3390/jrfm17060233 - 4 Jun 2024
Viewed by 371
Abstract
Proportionality, pivotal to EU regulations and Solvency II, tailors rules to insurers’ size and complexity. Inconsistent application by supervisory authorities (NSAs) necessitates clarity to prevent undue costs. This study examines the issue via a review of the literature and industry discussions, emphasizing Solvency [...] Read more.
Proportionality, pivotal to EU regulations and Solvency II, tailors rules to insurers’ size and complexity. Inconsistent application by supervisory authorities (NSAs) necessitates clarity to prevent undue costs. This study examines the issue via a review of the literature and industry discussions, emphasizing Solvency II’s introduction of proportionality and the varied interpretations it evokes. Transparent communication is crucial, and regulatory evolution must align with market dynamics, with the European Insurance and Occupational Pensions Authority (EIOPA) fostering convergence. Assessing proportionality mandates a comprehensive evaluation of an insurer’s nature, scale, and complexity. Regulatory distinctions between first-party and third-party risks could enhance market efficiency. Ultimately, a holistic, market-oriented approach is essential for proportionate regulation in the insurance sector, requiring concerted efforts to elucidate frameworks, foster transparency, and align regulatory evolution with market dynamics. Full article
(This article belongs to the Section Financial Markets)
Show Figures

Figure 1

11 pages, 249 KiB  
Article
Public Law Liability of the Financial Market Supervisor
by Michal Janovec and János Kálmán
J. Risk Financial Manag. 2024, 17(6), 232; https://doi.org/10.3390/jrfm17060232 - 1 Jun 2024
Viewed by 260
Abstract
This article deals with the liability of the supervisory authority of the financial market. It could be questioned whether the supervisory authority, as the public authority, is liable for the supervisory performance. If the answer is yes, then the question is what kind [...] Read more.
This article deals with the liability of the supervisory authority of the financial market. It could be questioned whether the supervisory authority, as the public authority, is liable for the supervisory performance. If the answer is yes, then the question is what kind of liability could be found and if any special conditions (prerequisites) are needed. In general, there could be two lines of public liability found. One is systemic liability for the safe financial market—e.g., financial market stability. The other perspective is individual liability for damages caused by unlawful administrative procedure or maladministration, where unlimited strict liability is granted. This kind of liability might be widely questioned, especially when the central bank is the supervisory authority, like in the Czech Republic, Slovakia, Hungary, and other EU member states. This article aims to evaluate the liability of the supervisory authority in the Czech Republic and Hungary concerning the European level of such liability. Full article
(This article belongs to the Special Issue Financial Markets and Institutions and Financial Crises)
16 pages, 693 KiB  
Article
Optimizing Concession Agreement Terms and Conditions: Stakeholder Interest Alignment in the Petrochemical Sector
by Tatyana Ponomarenko, Ilya Gorbatyuk, Sergey Galevskiy and Evgenii Marin
J. Risk Financial Manag. 2024, 17(6), 231; https://doi.org/10.3390/jrfm17060231 - 1 Jun 2024
Viewed by 397
Abstract
This article is devoted to the examination of models and the selection of optimal parameters for concession agreements pertaining to construction and operation projects within the pipeline infrastructure of the petrochemical sector. Pipelines are underscored as capital-intensive assets crucial for the organization of [...] Read more.
This article is devoted to the examination of models and the selection of optimal parameters for concession agreements pertaining to construction and operation projects within the pipeline infrastructure of the petrochemical sector. Pipelines are underscored as capital-intensive assets crucial for the organization of complex petrochemical production processes. These processes play a vital role in generating added value, tax revenue, employment opportunities, and fostering territorial development while upholding environmental quality standards. This study aims to ascertain the economic parameters of concession agreements, with a focus on achieving a balance of economic interests between the government and businesses. Through a comparative analysis of fundamental economic and mathematical models of concession agreements, the authors model economic parameters to determine the government’s share in investments and concession fees concerning pipeline projects. Subsequently, an oil product pipeline project is discussed as a case study. The results gleaned from this analysis can be harnessed to optimize the parameters of concession agreements and enhance the economic efficiency of project implementation. Economically viable parameters not only facilitate the execution of concession agreements but also foster the generation of added value, social benefits, and environmental oversight, thus aligning with the principles of sustainable development. Full article
Show Figures

Figure 1

16 pages, 589 KiB  
Article
Financial Development, Financial Openness, and Policy Effectiveness
by Niraj P. Koirala, Hassan Anjum Butt, Jeffrey Zimmerman and Ahmed Kamara
J. Risk Financial Manag. 2024, 17(6), 230; https://doi.org/10.3390/jrfm17060230 - 29 May 2024
Viewed by 467
Abstract
This study explores how financial development and openness influence the effectiveness of fiscal and monetary policies. An analysis of data from about 100 countries between 1980 and 2018 reveals that both financial openness and development weaken the impact of monetary and fiscal policies. [...] Read more.
This study explores how financial development and openness influence the effectiveness of fiscal and monetary policies. An analysis of data from about 100 countries between 1980 and 2018 reveals that both financial openness and development weaken the impact of monetary and fiscal policies. Our results further show that financial development in a country diminishes policy effectiveness depending on the country’s level of financial development; specifically, the more developed a country, the less effective the policies would be. Additionally, through a detailed examination employing a dynamic panel GMM approach, the study investigates the global repercussions of economic downturns in the US and how financial maturity shapes policy effectiveness during these times. We also discuss some policy implications that show that the positive impacts of monetary policy on output growth are lessened during crisis periods, and policymakers should act accordingly. Full article
(This article belongs to the Special Issue Applied Econometrics and Time Series Analysis (Volume II))
Show Figures

Figure 1

23 pages, 4797 KiB  
Article
An Empirical Examination of Bitcoin’s Halving Effects: Assessing Cryptocurrency Sustainability within the Landscape of Financial Technologies
by Juraj Fabus, Iveta Kremenova, Natalia Stalmasekova and Terezia Kvasnicova-Galovicova
J. Risk Financial Manag. 2024, 17(6), 229; https://doi.org/10.3390/jrfm17060229 - 29 May 2024
Viewed by 418
Abstract
This article explores the significance of Bitcoin halving events within the cryptocurrency ecosystem and their impact on market dynamics. While the existing literature addresses the periods before and after Bitcoin halving, as well as financial bubbles, there is an absence of forecasting regarding [...] Read more.
This article explores the significance of Bitcoin halving events within the cryptocurrency ecosystem and their impact on market dynamics. While the existing literature addresses the periods before and after Bitcoin halving, as well as financial bubbles, there is an absence of forecasting regarding Bitcoin price in the time after halving. To address this gap and provide predictions of Bitcoin price development, we conducted a rigorous analysis of past halving events in 2012, 2016, and 2020, focusing on Bitcoin price behaviour before and after each occurrence. What interests us is not only the change in the price level of Bitcoins (top and bottom), but also when this turn occurs. Through synthesizing data and trends from previous events, this article aims to uncover patterns and insights that illuminate the impact of Bitcoin halving on market dynamics and sustainability, movement of the price level, the peaks reached, and price troughs. Our approach involved employing methods such as RSI, MACD, and regression analysis. We looked for the relationship between the price of Bitcoin (top and bottom) and the number of days after the halving. We have uncovered a mathematical model, according to which the next peak will be reached 19 months (in November 2025) and the trough 31 months after Bitcoin halving 2024 (in November 2026). Looking towards the future, this study estimates predictions and expectations for the upcoming Bitcoin halving. These discoveries significantly enhance our understanding of Bitcoin’s trajectory and its implications for the finance cryptocurrency market. By offering novel insights into cryptocurrency market dynamics, this study contributes to advancing knowledge in the field and provides valuable information for cryptocurrency markets, investors, and stakeholders. Full article
(This article belongs to the Special Issue Stability of Financial Markets and Sustainability Post-COVID-19)
Show Figures

Figure 1

18 pages, 568 KiB  
Article
European Structural and Investment Funds (ESIFs) and Regional Development across the European Union (EU)
by Nikolitsa Spilioti and Athanasios Anastasiou
J. Risk Financial Manag. 2024, 17(6), 228; https://doi.org/10.3390/jrfm17060228 - 29 May 2024
Viewed by 474
Abstract
This scoping review synthesizes the evidence from eleven key studies to assess the impact of European Structural and Investment Funds (ESIFs) on regional development across the European Union (EU), focusing on fund efficiency, regional disparities and convergence, governance quality, economic freedom, and fund [...] Read more.
This scoping review synthesizes the evidence from eleven key studies to assess the impact of European Structural and Investment Funds (ESIFs) on regional development across the European Union (EU), focusing on fund efficiency, regional disparities and convergence, governance quality, economic freedom, and fund management. A systematic search was conducted across multiple databases to identify the relevant literature published up to 2023. Eleven studies were selected based on the date published and their focus on ESIFs’ role in regional development, employing a range of methodological approaches including Data Envelopment Analysis (DEA), spatial econometrics, and multivariate analyses. The thematic analysis identified four main categories: Methodological Approaches in Evaluating Fund Efficiency, Regional Disparities and Convergence, The Interconnection between Governance Quality, Economic Freedom, and the Efficiency of Structural Fund Management, and The Absorption Capacity and Fund Management. The review highlights the importance of sophisticated analytical tools in evaluating fund efficiency, with DEA and spatial econometrics providing critical insights into fund management efficiency. Studies underscored the nuanced efficacy of ESIFs in reducing regional disparities, albeit pointing to the need for more targeted fund allocation. Governance quality and economic freedom emerged as pivotal factors enhancing fund management efficiency, suggesting the potential of governance reforms in optimizing ESIF allocation and utilization. Challenges related to fund absorption and management were illuminated, advocating for enhanced institutional management capabilities and the development of innovative performance indicators. The findings of this scoping review contribute to a deeper understanding of the complexities surrounding ESIFs’ impact on regional development within the EU. They underscore the critical importance of governance quality, economic freedom, methodological rigor, and strategic fund allocation in enhancing the effectiveness of ESIFs. The review calls for tailored policy interventions and the integration of national and European funding strategies to maximize the impact of these programs on regional development and SME support. Future research should continue to refine these methodological approaches and explore the causal effects of funding, to enhance our understanding of ESIFs’ efficiency in promoting regional development and convergence within the European Union. Full article
(This article belongs to the Section Economics and Finance)
Show Figures

Figure 1

18 pages, 254 KiB  
Article
Do CEOs Identified as Value Investors Outperform Those Who Are Not?
by George Athanassakos
J. Risk Financial Manag. 2024, 17(6), 227; https://doi.org/10.3390/jrfm17060227 - 29 May 2024
Viewed by 400
Abstract
The aim of this study is to examine whether good asset allocation by a CEO leads to superior stock returns and, if so, how one might be able to identify CEOs that are good asset allocators. Employing US data from May 2001 to [...] Read more.
The aim of this study is to examine whether good asset allocation by a CEO leads to superior stock returns and, if so, how one might be able to identify CEOs that are good asset allocators. Employing US data from May 2001 to April 2019, we find that CEOs that invest the company’s cash flows according to a value-investing style seem to outperform companies that do not. We find that high goodwill to assets and high operating margin (good asset allocator) companies outperform companies with high or low goodwill to assets and low operating margin (poor asset allocator) companies. The findings are corroborated with out-of-sample (May 2019–April 2023) robustness tests. When buying other businesses, value investor CEOs ensure that their consolidated operating margins remain high, as opposed to other firms managed by poor asset allocator CEOs who buy businesses that bring down operating margins, either because they overpay or due to an inability to materialize expected synergies. Using both summary statistics and regression analysis, the findings of this study help us identify companies that allocate assets like value investors and enable us to anticipate future stock performance. For example, if a company, on average, has a goodwill/assets ratio of 41.03%, and an operating margin of 21.38%, it is likely this firm would be at the top quartile in terms of stock return performance over at least the next three years. At the same time, if a firm has a low average goodwill/assets ratio (i.e., 1.95%), its operating margins, on average, should be 24.46%, if it wants to achieve a similar performance as that of firms with high goodwill/assets. Moreover, the future stock return predictability of high (low) goodwill/assets and high (low) operating margin firms, found in this study, can help an investor develop trading strategies that can lead to superior stock price performance by effectively taking long positions in (shorting) firms that are (not) managed by value investor CEOs. Finally, the paper’s findings can also help investors in another way. For example, investors tend to be skeptical about companies with high goodwill/assets. The rule of thumb is to beware of companies carrying goodwill on their balance sheets that is more than 25% of assets. Based on our findings, this should not be a problem as long as the company’s operating margin has remained high and is rising. Full article
(This article belongs to the Special Issue Featured Papers in Corporate Finance and Governance)
12 pages, 1973 KiB  
Article
Goodwill Valuation Enhancement through Capitalization Method and Statistical Impact Analysis
by Shariq Mohammed, Amir Ahmad Dar, Mohammad Shahfaraz Khan, Imran Azad, Gopu Jayaraman and Olayan Albalawi
J. Risk Financial Manag. 2024, 17(6), 226; https://doi.org/10.3390/jrfm17060226 - 28 May 2024
Viewed by 394
Abstract
The valuation of Goodwill (GW) has remained one of the several critical issues in financial analysis. This aspect is particularly important for mergers and acquisitions due to the significance of intangible assets. This study delves into the capitalization method of super profit (CMSP), [...] Read more.
The valuation of Goodwill (GW) has remained one of the several critical issues in financial analysis. This aspect is particularly important for mergers and acquisitions due to the significance of intangible assets. This study delves into the capitalization method of super profit (CMSP), a prominent technique for GW valuation, enhanced by the integration of statistical tools. Assessing a company’s excess profits over its average return on tangible assets is part of the CMSP. Finding the variables that have a significant impact on GW valuation, such as average profit, capital employed, and rate of return, is the main goal of this research. These issues are thoroughly investigated through statistical analysis to give stakeholders useful information for well-informed decision-making. Additionally, the study seeks to identify the external elements influencing this process as well as the internal aspects influencing GW valuation. Regression analysis, correlation matrices, response analysis and ANOVA are used to improve GW assessment and comprehension of the complex relationships between different factors. Full article
(This article belongs to the Section Mathematics and Finance)
Show Figures

Figure 1

13 pages, 514 KiB  
Article
Diversification Is Not a Free Lunch
by Dirk G. Baur
J. Risk Financial Manag. 2024, 17(6), 225; https://doi.org/10.3390/jrfm17060225 - 27 May 2024
Viewed by 423
Abstract
This study analyzed the statement “diversification is a free lunch”. We empirically showed that diversification is only a free lunch under uncertainty or ignorance, confirming Warren Buffett’s “diversification is protection against ignorance”. Using historical returns of the S&P500 constituents illustrated that diversification not [...] Read more.
This study analyzed the statement “diversification is a free lunch”. We empirically showed that diversification is only a free lunch under uncertainty or ignorance, confirming Warren Buffett’s “diversification is protection against ignorance”. Using historical returns of the S&P500 constituents illustrated that diversification not only decreased the risk but also the returns if the expected returns could be estimated. The findings of this study highlight that diversification reduces risk but that the risk reduction is not for free. Full article
(This article belongs to the Section Economics and Finance)
Show Figures

Figure 1

Previous Issue
Next Issue
Back to TopTop