Special Issue "Empirical Asset Pricing"

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Economics".

Deadline for manuscript submissions: 31 December 2020.

Special Issue Editor

Prof. Dr. Nusret Cakici
Website
Guest Editor
Gabelli School of Business, Fordham University, New York, NY 10023, USA
Interests: empirical asset pricing; derivatives

Special Issue Information

Dear Colleagues,

JRFM is currently accepting submissions for a Special Issue on “Empirical Asset Pricing”, with special emphasis on emerging markets and frontier markets.

The main goal of this Special Issue of JRFM is to encourage comparative studies that deepen our knowledge of empirical asset pricing by focusing on emerging and frontier markets. Over the past two decades, emerging economies assumed a significant role in global markets. This makes a Special Issue of comparative studies with a focus on emerging and frontier markets timely and important. We seek papers that shed light on new knowledge to enrich the literature on empirical asset pricing. We invite submissions in all areas of empirical asset pricing. Priority will be given to empirical papers related to emerging and frontier markets.

Submitted papers will be sent to two reviewers, chosen by the Guest Editors and the JRFM Editorial Board. Authors may expect to receive notification of decisions from the Guest Editor in conjunction with the journal office approximately 45 days after submission. 

Prof. Dr. Nusret Cakici
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1000 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • Empirical asset pricing and cross section of stock returns
  • Factor investing (smart beta)
  • Frontier markets
  • Emerging markets
  • volatility modelling
  • high-frequency financial econometrics
  • empirical market microstructure
  • risk management
  • extreme event modelling
  • credit risk
  • pricing anomalies
  • liquidity
  • portfolio selection in equity and bond markets 
  • asset pricing predictability
  • etc.

Published Papers (6 papers)

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Research

Open AccessArticle
Modelling Sector-Level Asset Prices
J. Risk Financial Manag. 2020, 13(6), 120; https://doi.org/10.3390/jrfm13060120 - 10 Jun 2020
Abstract
We present a modelling approach for sector asset pricing studies that incorporates sector-level risk factors, subgroup portfolios, and structural breakpoint tests that are better at isolating the time-varying nature and the firm-specific component of returns. Our results show considerable subsector heterogeneity, while the [...] Read more.
We present a modelling approach for sector asset pricing studies that incorporates sector-level risk factors, subgroup portfolios, and structural breakpoint tests that are better at isolating the time-varying nature and the firm-specific component of returns. Our results show considerable subsector heterogeneity, while the asset pricing model using local risk factors and inductive structural breaks results in a superior model ( R 2 of 80.42% relative to R 2 of 68.79% of “conventional” models). Finally, we show that some of the variances of residuals, normally assumed to be the firm-specific component of returns, can be attributed to the changing relationship between sector returns and risk factors. Full article
(This article belongs to the Special Issue Empirical Asset Pricing)
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Open AccessArticle
GARCH Option Pricing Models and the Variance Risk Premium
J. Risk Financial Manag. 2020, 13(3), 51; https://doi.org/10.3390/jrfm13030051 - 09 Mar 2020
Abstract
In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than [...] Read more.
In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than in the physical one, so that one is able to capture the variance risk premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use our mLRNVR when pricing options with GARCH models. Full article
(This article belongs to the Special Issue Empirical Asset Pricing)
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Open AccessArticle
Carry Cost Rate Regimes and Futures Hedge Ratio Variation
J. Risk Financial Manag. 2019, 12(2), 78; https://doi.org/10.3390/jrfm12020078 - 03 May 2019
Cited by 1
Abstract
This paper tests whether the traditional futures hedge ratio (hT) and the carry cost rate futures hedge ratio (hc) vary in accordance with the Sercu and Wu (2000) and Leistikow et al. (2019) “hc” theory. It does [...] Read more.
This paper tests whether the traditional futures hedge ratio (hT) and the carry cost rate futures hedge ratio (hc) vary in accordance with the Sercu and Wu (2000) and Leistikow et al. (2019) “hc” theory. It does so, both within and across high and low spot asset carry cost rate (c) regimes. The high and low c regimes are specified by asset across time and across currency denominations. The findings are consistent with the theory. Within and across c regimes, hT is inefficient and hc is biased. Across c regimes, hc’s Bias Adjustment Multiplier (BAM) does not vary significantly. Even though hc’s bias-adjusted variant’s BAM is restricted to old data that is from a different c regime, the hedging performance of hc and its bias-adjusted variant (=hc × BAM), are superior to that for hT. Variation in c may account for the hT variation noted in the literature and variation in c should be incorporated into ex ante hedge ratios. Full article
(This article belongs to the Special Issue Empirical Asset Pricing)
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Open AccessArticle
News Co-Occurrences, Stock Return Correlations, and Portfolio Construction Implications
J. Risk Financial Manag. 2019, 12(1), 45; https://doi.org/10.3390/jrfm12010045 - 19 Mar 2019
Cited by 1
Abstract
In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same [...] Read more.
In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same news articles. We decompose a news co-occurrence into an expected component and a shock component. We find that it is the shock component that arouses abnormal retail investor attention. The expected and shock components significantly predict return correlations 12 months into the future. Finally, a global minimum variance (GMV) portfolio with the covariance matrix augmented by the predictive power of news co-occurrences for future return correlations produces relatively superior performance compared to the benchmark GMV portfolio. Full article
(This article belongs to the Special Issue Empirical Asset Pricing)
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Open AccessArticle
Equity Options During the Shorting Ban of 2008
J. Risk Financial Manag. 2018, 11(2), 17; https://doi.org/10.3390/jrfm11020017 - 31 Mar 2018
Cited by 2
Abstract
The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price [...] Read more.
The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting Authority), we study the options volume, spreads, pricing measures and option trade volume informativeness during the ban. We also consider the put–call parity relationship. While mostly statistically significant, economic magnitudes of our results suggest that the impact of the ban on the equity options market was likely not as dramatic as initially thought. Full article
(This article belongs to the Special Issue Empirical Asset Pricing)
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Open AccessFeature PaperArticle
Groups, Pricing, and Cost of Debt: Evidence from Turkey
J. Risk Financial Manag. 2018, 11(1), 14; https://doi.org/10.3390/jrfm11010014 - 16 Mar 2018
Abstract
The paper examines the impact of business group affiliation on cost of loans in an emerging market setting. It focuses on operational strategy, organizational structure and internationalization policies of business group firms and their impact on borrowing cost of affiliated firms. Bank loans [...] Read more.
The paper examines the impact of business group affiliation on cost of loans in an emerging market setting. It focuses on operational strategy, organizational structure and internationalization policies of business group firms and their impact on borrowing cost of affiliated firms. Bank loans are a dominant source of corporate funding in emerging markets, in which business groups exist as leading economic entities. Yet, the impact of belonging to a group on the firm’s cost of debt has not been studied in depth. Our results reveal that the extent of group affiliation, government ownership, and diversification increase the cost of loans. However, a group bank is advantageous in terms of borrowing, and decreases the cost of loans. While foreign ownership is beneficial in terms of pricing, being affiliated with a foreign group is not. Being a financial firm and being cross-listed are not significantly associated with bank loan terms. Borrowing costs are thus influenced in various ways by organizational structure, operational strategies, and global policies of business groups and affiliates. Therefore, business groups may benefit from strategically implementing policies and selecting loan applicant firms. Full article
(This article belongs to the Special Issue Empirical Asset Pricing)
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