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

Deadline for manuscript submissions: closed (31 December 2020) | Viewed by 32462

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Special Issue Editor

Prof. Dr. Nusret Cakici

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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.

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 submissions that pass pre-check are 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 1400 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 (7 papers)

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Research

19 pages, 1425 KiB

Open AccessArticle

Preference between Individual Products and Bundles: Effects of Complementary, Price, and Discount Level in Portugal

by Paulo Martins, Paula Rodrigues, Carlos Martins, Teresa Barros, Nelson Duarte, Rebecca Kechen Dong, Yiyi Liao, Ubaldo Comite and Xiaoguang Yue

J. Risk Financial Manag. 2021, 14(5), 192; https://doi.org/10.3390/jrfm14050192 - 22 Apr 2021

Cited by 1 | Viewed by 3292

Abstract

This paper aims to (1) compare consumers’ preferences between individual products and bundles as well as (2) investigate some of the factors involved in bundle characteristics that may affect consumer’s preferences. Those factors are complementarity, price level, and discount level. An online survey developed by means of questionnaires were collected from the Portuguese population. Student’s t-tests were used to test the hypothesis formulated and to analyze the consumers’ preferences. The findings corroborate that in a scenario where the bundle does not offer any discounts, preference of individual products is higher. When a 20% discount is assigned to bundles, the overall preference for individual products is still superior. By offering a discount level of 45%, the overall preference for bundles becomes higher. The positive effect of complementarity bundles valuation is confirmed. This is the first approach to evaluate the preferences between bundles and individual products in the Portuguese market. The findings contribute to clarify the customer map within a Business Model Canvas. Furthermore, this paper analyzes the bundle complementarity and discount level effects simultaneously. Full article

(This article belongs to the Special Issue Empirical Asset Pricing)

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32 pages, 1509 KiB

Open AccessArticle

Modelling Sector-Level Asset Prices

by Daniel J. Tulloch, Ivan Diaz-Rainey and I. M. Premachandra

J. Risk Financial Manag. 2020, 13(6), 120; https://doi.org/10.3390/jrfm13060120 - 10 Jun 2020

Cited by 2 | Viewed by 1939

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.

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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21 pages, 1648 KiB

Open AccessArticle

GARCH Option Pricing Models and the Variance Risk Premium

by Wenjun Zhang and Jin E. Zhang

J. Risk Financial Manag. 2020, 13(3), 51; https://doi.org/10.3390/jrfm13030051 - 09 Mar 2020

Cited by 5 | Viewed by 5297

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 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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17 pages, 847 KiB

Open AccessArticle

Carry Cost Rate Regimes and Futures Hedge Ratio Variation

by Dean Leistikow and Ren-Raw Chen

J. Risk Financial Manag. 2019, 12(2), 78; https://doi.org/10.3390/jrfm12020078 - 03 May 2019

Cited by 5 | Viewed by 9201

Abstract

This paper tests whether the traditional futures hedge ratio (h_T) and the carry cost rate futures hedge ratio (h_c) vary in accordance with the Sercu and Wu (2000) and Leistikow et al. (2019) “h_c” 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, h_T is inefficient and h_c is biased. Across c regimes, h_c’s Bias Adjustment Multiplier (BAM) does not vary significantly. Even though h_c’s bias-adjusted variant’s BAM is restricted to old data that is from a different c regime, the hedging performance of h_c and its bias-adjusted variant (=h_c × BAM), are superior to that for h_T. Variation in c may account for the h_T 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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21 pages, 1812 KiB

Open AccessArticle

News Co-Occurrences, Stock Return Correlations, and Portfolio Construction Implications

by Yi Tang, Yilu Zhou and Marshall Hong

J. Risk Financial Manag. 2019, 12(1), 45; https://doi.org/10.3390/jrfm12010045 - 19 Mar 2019

Cited by 3 | Viewed by 3738

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 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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31 pages, 988 KiB

Open AccessArticle

Equity Options During the Shorting Ban of 2008

by Nusret Cakici, Gautam Goswami and Sinan Tan

J. Risk Financial Manag. 2018, 11(2), 17; https://doi.org/10.3390/jrfm11020017 - 31 Mar 2018

Cited by 3 | Viewed by 4096

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 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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31 pages, 756 KiB

Open AccessFeature PaperArticle

Groups, Pricing, and Cost of Debt: Evidence from Turkey

by A. Melih Küllü and Steven Raymar

J. Risk Financial Manag. 2018, 11(1), 14; https://doi.org/10.3390/jrfm11010014 - 16 Mar 2018

Cited by 2 | Viewed by 3910

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 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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