International Journal of Financial Studies, Volume 6, Issue 1

n/a

This paper explores the market efficiency of the six base metals traded on the LME (London Metal Exchange) using daily data from January 2000 to June 2016. The hypothesis that futures prices 3M (3-month) are unbiased predictors of spot prices (cash)...

A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary. The resulting...

There are indications that value investing strategies have been able to outperform the overall market in several countries across the globe. In this article, the specific case of South Korea is analyzed. It would appear that from a rigorous statistic...

This paper examines short- and long-term behavior of the price-to net asset value ratio in six Asian public real estate markets. We find mean-reverting behavior of the ratio and spillover effects, where each of the examined public real estate markets...

In this paper, I study the impact of market competition on mutual fund marketing expenses. In a sample of US domestic equity mutual funds, I find that marketing expenses decrease with the competition. This effect is stronger for top-performing funds....

This paper gives a review of numerical methods for solving the BSDEs, especially, finite difference methods. For numerical methods of finite difference, we should divide them into three branches. Distributed method (or parallel method) should now bec...

This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The contributions of this paper are two-fold. Firstly, we...

In this paper, we examine whether the readability of different types of corporate risk disclosures influences the risk judgments of nonprofessional investors. Our study contributes evidence to the Security and Exchange Commission’s ongoing initiative...

This study tests for racial discrimination against minority managers in Major League Baseball using financial-market imbalances as it relates to the wagering marketplace for the sport. Using detailed betting data on the percentage bet on the favorite...

Cochrane (2014) shows that high-powered money balances and short-term government bonds can be considered as perfect substitutes for the U.S economy during the past twenty years. We build on this claim and consider a variant of the standard cashless n...

Does speculation facilitate price discovery or instability? If it is price discovery, it is beneficial and should be encouraged; if it is instability, welfare is enhanced by its reduction. This paper seeks to distinguish between these two characteris...

This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and...

This paper analyses the integration of financial market supervision at international level, particularly focusing on EU law and the actual processes taking place in this area considering Brexit as its part. Current legislative action at EU level has...

Using a generalized linear model to determine the claim frequency of auto insurance is a key ingredient in non-life insurance research. Among auto insurance rate-making models, there are very few considering auto types. Therefore, in this paper we ar...

Assuming that a time series incorporates “signal” and “noise” components, we propose a method to estimate the extent of the “noise” component by considering the smoothing properties of the state-space of the time series. A mild degree of smoothing in...

After diversification, periodic portfolio rebalancing has become one of the most widely practiced methods for reducing portfolio risk and enhancing returns. Most of the rebalancing strategies found in the literature are generally regarded as contrari...

Although one of the primary objectives of microfinance has been the reduction of poverty through the provision of credit for income-generating purposes, evidence of its impact on poverty has been mixed. Even if there is no direct impact of microfinan...

We study the effect of board governance in state-owned and private banks by undertaking a study of commercial banks in India that has both bank groups. Covering a ten-year period from 2003 to 2012 that witnessed a large number of governance reforms i...

This paper examines whether there is a causal relationship between bank loans and deposits in the Vietnamese banking system and the efficiency of the use of loans and deposits by the Vietnamese banks. In a country such as Vietnam, where inter-bank mo...

This paper empirically examines the significance of credit ratings for optimal capital structure decisions. Non-financial Asian listed companies, evaluated by Standard and Poor’s, are selected from 2000 to 2016. Panel data analysis with pooled ordina...

Previous research has assessed the impact of policy uncertainty on a few macro variables. In this paper, we consider its impact on oil prices. Oil prices are usually determined in global markets by the law of demand and supply. Our concern in this pa...

The maritime industry is one of those rare industries that are both highly international integrated to international trade and also highly capital intensive dependent on substantial investment amount. In the literature, ship investments have not been...

Modigliani and Miller present an equity-quantity shifting equilibrating process to achieve an optimal firm value in the presence of corporate taxes. However, in the era in which they derived their various propositions regarding the relation between a...

Peer review is an essential part in the publication process, ensuring that International Journal of Financial Studies maintains high quality standards for its published papers[...]

In this paper, we investigate investment flows into mutual funds that hold more high corporate social responsible stocks (top CSR funds) vs. mutual funds that hold more low corporate social responsible stocks (bottom CSR funds). Using a large sample...

The global economic crisis and deep financialization processes recently suffered by the real estate market have exposed the latter to further and greater risks. Against this, the importance of real estate risk management has noticeably grown within t...

This study investigates whether conference calls accompanying M&A announcements in Europe provide valuable information for capital market participants and hence induce an abnormal stock price revaluation on the bidder’s equity. Based on handpicke...

The problems of tax evasion and tax avoidance are as old as taxes themselves. Between 2015 and 2016 alone, many U.S. multinational corporations were involved in tax disputes with the European Commission. From a historical perspective, these disputes...

The aim of this research was to explore one of the most intriguing dimensions of every firm’s business—its performance. Aside from analysing the influence of industry’s characteristics on the firm’s performance, the authors addressed the characterist...

Stochastic correlation models have become increasingly important in financial markets. In order to be able to price vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing...

It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volat...

Poverty remains a pervasive problem all over the world, but the problem is worst in underdeveloped areas like Africa. While microfinance is supposed to address this problem through the promotion of viable businesses, it has not been very successful i...