Special Issue "Review Papers for Journal of Risk and Financial Management (JRFM)"

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074).

Deadline for manuscript submissions: closed (31 December 2019).

Special Issue Editor

Prof. Dr. Michael McAleer
Website
Guest Editor
Department of Finance, College of Management, Asia University, Taichung 41354, Taiwan Discipline of Business Analytics, University of Sydney Business School, Sydney 2006, Australia Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, 3062 Rotterdam, The Netherlands Department of Economic Analysis and ICAE, Complutense University of Madrid, 28040 Madrid, Spain Department of Mathematics and Statistics, University of Canterbury, Christchurch 8041, New Zealand Institute of Advanced Sciences, Yokohama National University, Yokohama 240-8501, Japan
Interests: theoretical and applied econometrics; financial econometrics; financial economics; finance, theoretical and applied statistics; time series analysis; forecasting; risk management; energy economics and finance; applied mathematics
Special Issues and Collections in MDPI journals

Special Issue Information

Dear Colleagues,

The Journal of Risk and Financial Management (JRFM) was inaugurated in 2008, and has continued publishing successfully, with Volume 11 in 2018. Since the journal was established, JRFM has published in excess of 110 topical and interesting theoretical and empirical papers in financial economics, financial econometrics, empirical finance, banking, finance, mathematical finance, statistical finance, accounting, decision sciences, information management, tourism economics and finance, international rankings of journals in financial economics, and bibliometric rankings of journals in cognate disciplines. Papers published in the journal range from novel technical and theoretical papers to innovative empirical contributions. The journal/Special Issue wishes to encourage critical review papers on topical subjects in any of the topics mentioned above in financial economics and in cognate disciplines.

See the editorial at: https://www.mdpi.com/1911-8074/11/2/20.

Prof. Dr. Michael McAleer
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

  • Critical reviews of novel technical, innovative theoretical, and new empirical contributions.
  • Coverage of critical reviews includes, but is not restricted to, financial economics, financial econometrics, empirical finance, banking, finance, mathematical finance, statistical finance, accounting, decision sciences, information management, tourism economics and finance, international rankings of journals in financial economics, and bibliometric rankings of journals in cognate disciplines.

Published Papers (8 papers)

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Editorial

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Open AccessEditorial
Editorial Note: Review Papers for Journal of Risk and Financial Management (JRFM)
J. Risk Financial Manag. 2018, 11(2), 20; https://doi.org/10.3390/jrfm11020020 - 25 Apr 2018
Abstract
The Journal of Risk and Financial Management (JRFM) was inaugurated in 2008 and has continued publishing successfully with Volume 11 in 2018. Since the journal was established, JRFM has published in excess of 110 topical and interesting theoretical and empirical papers in financial [...] Read more.
The Journal of Risk and Financial Management (JRFM) was inaugurated in 2008 and has continued publishing successfully with Volume 11 in 2018. Since the journal was established, JRFM has published in excess of 110 topical and interesting theoretical and empirical papers in financial economics, financial econometrics, banking, finance, mathematical finance, statistical finance, accounting, decision sciences, information management, tourism economics and finance, international rankings of journals in financial economics, and bibliometric rankings of journals in cognate disciplines. Papers published in the journal range from novel technical and theoretical papers to innovative empirical contributions. The journal wishes to encourage critical review papers on topical subjects in any of the topics mentioned above in financial economics and in cognate disciplines. Full article
(This article belongs to the Special Issue Review Papers for Journal of Risk and Financial Management (JRFM))

Review

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Open AccessReview
The Cross Section of Country Equity Returns: A Review of Empirical Literature
J. Risk Financial Manag. 2019, 12(4), 165; https://doi.org/10.3390/jrfm12040165 - 28 Oct 2019
Cited by 3
Abstract
The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows [...] Read more.
The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows or political regimes. Nonetheless, the different studies vary remarkably in terms of their dataset and methods employed. This study aims to provide a comprehensive review of the current literature on the cross-section of country equity returns. We focus on three particular aspects of the asset pricing literature. First, we study the choice of dataset and sample preparation methods. Second, we survey different aspects of the methodological approaches. Last but not least, we review the country-level equity anomalies discovered so far. The discussed cross-sectional return patterns not only provide new insights into international asset pricing but can also be potentially translated into effective country allocation strategies. Full article
(This article belongs to the Special Issue Review Papers for Journal of Risk and Financial Management (JRFM))
Open AccessReview
Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature
J. Risk Financial Manag. 2019, 12(2), 105; https://doi.org/10.3390/jrfm12020105 - 22 Jun 2019
Abstract
This paper conducts a review of the literature on the price–volume relationship and its relation with the implications of the adaptive market hypothesis. The literature on market efficiency is classified as efficient market hypothesis (EMH) studies or adaptive market hypothesis (AMH) studies. Under [...] Read more.
This paper conducts a review of the literature on the price–volume relationship and its relation with the implications of the adaptive market hypothesis. The literature on market efficiency is classified as efficient market hypothesis (EMH) studies or adaptive market hypothesis (AMH) studies. Under each class, studies are categorized either as return predictability studies or price–volume relationship studies. Finally, review in each category is analyzed based on the methodology used. Our review shows that the literature on return predictability and price–volume relationship in classical EMH approach is extensive while studies in return predictability in the AMH approach have gained increased attention in the last decade. However, the studies in price–volume relationship under adaptive approach are limited, and there is a scope for studies in this area. Authors did not find any literature review on time-varying price–volume relationship. Authors find that there is a scope to study the nonlinear cross–correlation between price and volume using detrended fluctuation analysis (DFA)-detrended cross–correlational analysis (DXA) in the AMH domain. Further, it would be interesting to investigate whether the same cross–correlation holds across different measures of stock indices within a country and across different time scales. Full article
(This article belongs to the Special Issue Review Papers for Journal of Risk and Financial Management (JRFM))
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Open AccessReview
Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis
J. Risk Financial Manag. 2019, 12(2), 97; https://doi.org/10.3390/jrfm12020097 - 08 Jun 2019
Cited by 1
Abstract
The expansion of investment strategies and capital markets is altering the significance and empirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is essential for efficiency research. The authors explore here the development and contemporary status of the efficient market [...] Read more.
The expansion of investment strategies and capital markets is altering the significance and empirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is essential for efficiency research. The authors explore here the development and contemporary status of the efficient market hypothesis by emphasizing anomaly/excess returns. Investors often fail to get excess returns; however, thus far, market anomalies have been witnessed and stock prices have diverged from their intrinsic value. This paper presents an analysis of anomaly returns in the presence of the theory of the efficient market. Moreover, the market efficiency progression is reviewed and its present status is explored. Finally, the authors provide enough evidence of a data snooping issue, which violates and challenges the existing proof and creates room for replication studies in modern finance. Full article
(This article belongs to the Special Issue Review Papers for Journal of Risk and Financial Management (JRFM))
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Open AccessReview
Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review
J. Risk Financial Manag. 2019, 12(1), 48; https://doi.org/10.3390/jrfm12010048 - 24 Mar 2019
Cited by 3
Abstract
The literature on portfolio selection and risk measurement has considerably advanced in recent years. The aim of the present paper is to trace the development of the literature and identify areas that require further research. This paper provides a literature review of the [...] Read more.
The literature on portfolio selection and risk measurement has considerably advanced in recent years. The aim of the present paper is to trace the development of the literature and identify areas that require further research. This paper provides a literature review of the characteristics of financial data, commonly used models of portfolio selection, and portfolio risk measurement. In the summary of the characteristics of financial data, we summarize the literature on fat tail and dependence characteristic of financial data. In the portfolio selection model part, we cover three models: mean-variance model, global minimum variance (GMV) model and factor model. In the portfolio risk measurement part, we first classify risk measurement methods into two categories: moment-based risk measurement and moment-based and quantile-based risk measurement. Moment-based risk measurement includes time-varying covariance matrix and shrinkage estimation, while moment-based and quantile-based risk measurement includes semi-variance, VaR and CVaR. Full article
(This article belongs to the Special Issue Review Papers for Journal of Risk and Financial Management (JRFM))
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Open AccessReview
Factors, Outcome, and the Solutions of Supply Chain Finance: Review and the Future Directions
J. Risk Financial Manag. 2019, 12(1), 3; https://doi.org/10.3390/jrfm12010003 - 21 Dec 2018
Cited by 5
Abstract
In the current highly competitive and fast-changing business environment, in which the optimisation of all resources matters, creating an efficient supply chain is crucial. Earlier studies on supply chains have focussed on aligning product/services and information flows while neglecting the financial aspects. Due [...] Read more.
In the current highly competitive and fast-changing business environment, in which the optimisation of all resources matters, creating an efficient supply chain is crucial. Earlier studies on supply chains have focussed on aligning product/services and information flows while neglecting the financial aspects. Due to this, in recent times, importance has been given to align financial flows with the other components of the supply chain. The interest in supply chain finance rose after the financial crisis when the bank loans declined considerably, as the need for better management and the optimisation of working capital became obvious. This paper reviews the articles on supply chain finance based on three themes—factors, outcomes, and solutions—while at the same time providing directions for future research on supply chain finance. This article is unique, as it investigates the factors affecting supply chains according to the existing literature. It also sheds light on the outcome of the supply chain without limiting the discussion only to the benefits. Further, it addresses the question: what are the solutions constituting supply chain finance? Full article
(This article belongs to the Special Issue Review Papers for Journal of Risk and Financial Management (JRFM))
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Open AccessFeature PaperReview
On the Rising Complexity of Bank Regulatory Capital Requirements: From Global Guidelines to their United States (US) Implementation
J. Risk Financial Manag. 2018, 11(4), 77; https://doi.org/10.3390/jrfm11040077 - 01 Nov 2018
Cited by 3
Abstract
After the Latin American Debt Crisis of 1982, the official response worldwide turned to minimum capital standards to promote stable banking systems. Despite their existence, however, such standards have still not prevented periodic disruptions in the banking sectors of various countries. After the [...] Read more.
After the Latin American Debt Crisis of 1982, the official response worldwide turned to minimum capital standards to promote stable banking systems. Despite their existence, however, such standards have still not prevented periodic disruptions in the banking sectors of various countries. After the 2007–2009 crisis, bank capital requirements have, in some cases, increased and overall have become even more complex. This paper reviews (1) how Basel-style capital adequacy guidelines have evolved, becoming higher in some cases and overall more complex, (2) how the United States (US) implementation of these guidelines has contributed to regulatory complexity, even when omitting other bank capital regulations that are specific to the US, and (3) how the US regulatory measures still do not provide equally valuable information about whether a bank is adequately capitalized. Full article
(This article belongs to the Special Issue Review Papers for Journal of Risk and Financial Management (JRFM))
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Open AccessFeature PaperReview
Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections
J. Risk Financial Manag. 2018, 11(1), 15; https://doi.org/10.3390/jrfm11010015 - 20 Mar 2018
Cited by 10
Abstract
The paper provides a review of the literature that connects Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology, and discusses research issues that are related to the various disciplines. Academics could develop theoretical models and subsequent econometric and statistical models to [...] Read more.
The paper provides a review of the literature that connects Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology, and discusses research issues that are related to the various disciplines. Academics could develop theoretical models and subsequent econometric and statistical models to estimate the parameters in the associated models, as well as conduct simulation to examine whether the estimators in their theories on estimation and hypothesis testing have good size and high power. Thereafter, academics and practitioners could apply theory to analyse some interesting issues in the seven disciplines and cognate areas. Full article
(This article belongs to the Special Issue Review Papers for Journal of Risk and Financial Management (JRFM))
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