Journal of Risk and Financial Management

214 KiB

Open AccessArticle

Financial Distress Comparison Across Three Global Regions

by Harlan D. Platt and Marjorie B. Platt

J. Risk Financial Manag. 2008, 1(1), 129-162; https://doi.org/10.3390/jrfm1010129 - 31 Dec 2008

Cited by 23 | Viewed by 8842

Globalization has precipitated movement of output and employment between regions. We examine factors related to corporate financial distress across three continents. Using a multidimensional definition of financial distress we test three hypotheses to explain financial distress using historical financial data. A null hypothesis [...] Read more.

Globalization has precipitated movement of output and employment between regions. We examine factors related to corporate financial distress across three continents. Using a multidimensional definition of financial distress we test three hypotheses to explain financial distress using historical financial data. A null hypothesis of a single global model was rejected in favor of a fully relaxed model which created individual financial distress models for each region. This result suggests that despite other indications of worldwide convergence, international differences in accounting rules, lending practices, managements skill levels, and legal requirements among others has kept corporate decline from becoming commoditized. Full article

157 KiB

Open AccessArticle

Active Versus Passive Investing - An Analysis of UK Equity Markets, 1991-2005

by Edel Barnes and M. Scott

J. Risk Financial Manag. 2008, 1(1), 100-128; https://doi.org/10.3390/jrfm1010100 - 31 Dec 2008

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Abstract

This study examines the pattern of active versus passive trading in UK equities over the period 1991-2005. We describe a metric to analyse trading activity and volumes in the UK FTSE350 and AIM markets, with emphasis on industrial and size-based effects. Our findings [...] Read more.

This study examines the pattern of active versus passive trading in UK equities over the period 1991-2005. We describe a metric to analyse trading activity and volumes in the UK FTSE350 and AIM markets, with emphasis on industrial and size-based effects. Our findings indicate that active stock picking has been consistently declining in the UK market over the period studied for all markets, size quintiles and in virtually every industrial sector. Moreover, trading patterns reveal a pronounced size effect with significantly less stock picking in larger capitalisation stocks vis-à-vis smaller stocks. Patterns of investment in the AIM suggest an increase in index trading over time but higher overall levels of stock picking relative to the FTSE350 list. Full article

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70 KiB

Open AccessArticle

The Intra-Industry Effects of Life Insurance Company Demutualizaton

by Joseph W. Meador and Emery A. Trahan

J. Risk Financial Manag. 2008, 1(1), 77-99; https://doi.org/10.3390/jrfm1010077 - 31 Dec 2008

Viewed by 4162

Abstract

We examine the impact of demutualization announcements by 13 life insurance companies during 1996-2000 on the value of existing stock-owned life insurance companies and companies in other segments of the insurance industry. Demutualization announcements are associated with negative stock price reactions in the [...] Read more.

We examine the impact of demutualization announcements by 13 life insurance companies during 1996-2000 on the value of existing stock-owned life insurance companies and companies in other segments of the insurance industry. Demutualization announcements are associated with negative stock price reactions in the days around the announcement, and with larger and positive stock price reactions in the days following announcement. Overall, the results support the contention that life insurance company demutualizations signal favorable future industry conditions and/or increased likelihood of future acquisitions for all segments of the insurance industry. Active-minded investors may use these results to develop alpha-generating investment strategies. Full article

523 KiB

Open AccessArticle

Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon

by Michaël Dewally and Luke Marriott

J. Risk Financial Manag. 2008, 1(1), 41-76; https://doi.org/10.3390/jrfm1010041 - 31 Dec 2008

Cited by 3 | Viewed by 6409

Abstract

This study investigates optimal hedge ratios in all base metal markets. Using recent hedging computation techniques, we find that 1) the short-run optimal hedging ratio is increasing in hedging horizon, 2) that the long-term horizon limit to the optimal hedging ratio is not [...] Read more.

This study investigates optimal hedge ratios in all base metal markets. Using recent hedging computation techniques, we find that 1) the short-run optimal hedging ratio is increasing in hedging horizon, 2) that the long-term horizon limit to the optimal hedging ratio is not converging to one but is slightly higher for most of these markets, and 3) that hedging effectiveness is also increasing in hedging horizon. When hedging with futures in these markets, one should hedge long-term at about 6 to 8 weeks with a slightly greater than one hedge ratio. These results are of interest to many purchasing departments and other commodity hedgers. Full article

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245 KiB

Open AccessArticle

Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches

by Thomas C. Chiang, Hooi Hooi Lean and Wing-Keung Wong

J. Risk Financial Manag. 2008, 1(1), 1-40; https://doi.org/10.3390/jrfm1010001 - 31 Dec 2008

Cited by 14 | Viewed by 4752

Abstract

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity among these assets. However, our stochastic [...] Read more.

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity among these assets. However, our stochastic dominance results reveal that in order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is preferable to stocks. On the other hand, to maximize their expected utility, all risk-seeking investors would prefer to invest in stocks than in real estate, but real estate, in turn, is preferable to fixed-income assets. Full article

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J. Risk Financial Manag., Volume 1, Issue 1 (December 2008) – 5 articles , Pages 1-162

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