Journal of Risk and Financial Management, Volume 13, Issue 12

There are two different forms of property tax systems: value-based tax, which is used in most countries of the world, and area-based tax, which is used mainly in Central and Eastern Europe and developing countries in Africa. Area-based property tax p...

The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the main a...

The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk-free fiat m...

The pandemic caused by COVID-19 has changed the mindset of many consumers. They are increasingly aware of the risks of not caring for the planet. Before the pandemic, there was a perceived increase in collective environmental concern and sustainabili...

Crowdfunding has quickly gained popularity in recent years, providing an additional way for entrepreneurial individuals and organizations (creators) to attract funds for their projects. Scholars have been interested in predicting the success of crowd...

Crowdfunding improves access to financing, yet cases of crowdfunding’s importance, besides traditional financing, are rare and notably localized. In explaining why global crowdfunding volumes are so heterogeneous, previous academic research has...

When traditional financial institutions faced difficulties in the task of assisting micro, small and medium-sized enterprises (MSMEs) with capital allocations, crowdfunding can upsurge as an innovative and vibrant vehicle that can support and assist...

Financial (il-)literacy and its effects have been studied extensively in recent years. The measurement of this concept is, however, tricky and numerous measurement instruments exist. In this paper, we study the connection between these measures empir...

Environmental and quality management practices are extremely relevant for a firm’s development and international recognition. However, dealing with the standards required and obtaining an international standards certification involves costs for...

In this paper, we examine the impact that COVID-19 has had on enterprise risk management (ERM). Guided by the origins and philosophy of ERM, we suggest an agenda for future research on ERM in a “post-COVID-19” reality, by addressing its integrated, s...

Despite the fact that growth theories suggest that natural disasters should have an impact on economic growth, parametric empirical studies have provided little to no evidence supporting that prediction. On the other hand, pure nonparametric regressi...

Using the Donsker–Prokhorov invariance principle, we extend the Kim–Stoyanov–Rachev–Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying...

We examine the impact of aggregate tax policy uncertainty on firm-level default risk. Due to uncertainties associated with tax policies, firms could have difficulties in determining their optimal debt level and use too much debt to increase their val...

The aim of this study is to investigate the effect of educational technologies on the Corporate Social Responsibility (CSR) perception of tourism students and their intention to work in the tourism business industry. By improving education programs w...

Amid growing concern over sustainability issues, there is increasing demand to incorporate environmental and social issues into assessments of credit risk, the possibility of loss resulting from a borrower’s failure to meet their financial obli...

The development of financial markets and the low level of financial literacy does not facilitate consumer protection. A significant problem is the lack of information or unclear information regarding financial offers, including consumer credit. Finan...

This study examines the impact of domestic and foreign shocks on the real and financial sector of BRIC countries. For this purpose, we use a structural vector autoregressive (SVAR) model over the extended period of 1997 to 2016. We conclude that dome...

Information availability, firm performance, idiosyncratic volatility and bankruptcy-risk vary across the Corporate Life Cycle (CLC) stages. The purpose of this paper is to examine whether CLC stages explain firm’s propensity to engage in both a...

In this paper, we propose multifactor models for the pan-European Equity Market using a block-bootstrap method and compare the results with those of traditional inferential techniques. The new factors are built from statistical measurements on stock...

This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility asymmetry depends on the volatility regime and the forecast horizon. For one-day ahead forecasts, good volatility commands a stronger...

This study uses the hidden Markov model (HMM) to identify different market regimes in the US stock market and proposes an investment strategy that switches factor investment models depending on the current detected regime. We first backtested an arra...

The main aim of this paper was to investigate the impact of bank characteristics on capital structure empirically. The study employed a panel data analysis, Pooled Mean Group (PMG) and Cross-Sectionally Augmented Autoregressive Distributed Lag (CS-AR...

We develop a theoretical model based on several theories, mainly pecking order theory and theory of information economics, as well as on theoretical arguments provided by economic sociology and psychology to investigate for the first time the impact...

We have published a lot of interesting and excellent research articles in the Journal of Risk and Financial Management [...]

The original contribution of this paper is to empirically document the contagion of the Covid-19 on financial markets. We merge databases from Johns Hopkins Coronavirus Center, Oxford-Man Institute Realized Library, NYU Volatility Lab, and St-Louis F...

The study analyzes the impact of macroeconomic, governance and risk factors on foreign direct investment (FDI) intensity with respect to the US market during the period 1960–2019. The study adopted regression methodology. The FDI, macroeconomic...

Sustainability and corporate social responsibility have today become key assets of many successful businesses and corporations. Despite constantly growing environmental awareness, we are still facing the issue of overconsumption in both the textile a...

The Polish corporate bond market does not have a history as long as the American one, however, it is characterized by stable annual growth. The growth of the market is related to the growth of its liquidity and is determined by a number of entities,...

In this paper, the possibility of using fundamental weighting as a tool to intentionally tilt a portfolio toward specific and unobservable risk factors in the illiquid and undeveloped Croatian stock market is explored. Thus far, fundamental-weighting...

Today, international tourism is one of the most affected sectors of the economy due to the global COVID-19 pandemic. The main purpose of this article is to analyze current trends and identify prospects for the international tourism development in the...

Volatility clustering and fat tails are prominently observed in financial markets. Here, we analyze the underlying mechanisms of three agent-based models explaining these stylized facts in terms of market instabilities and compare them on empirical g...

We analyze the effect of fisheries subsidy negotiations on financial markets and aggregate demand in developed and developing countries. We examine the plausible scenarios that are likely to emerge in the event of elimination or reduction of subsidie...

In this paper we study estimating ruin probability which is an important problem in insurance. Our work is developed upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the Fourier tra...

The article is devoted to the topical issue of optimization and harmonization of the formation of the corporate property portfolio. The method of managing the corporate property portfolio in order to reduce the level of risk was optimized in the rese...

The article is devoted to the theoretical substantiation and development of methodological approaches and practical recommendations for modeling the assessment of the financial stability of a service sector enterprise. To assess the financial conditi...

We build a model of debt for firms with investment projects, for which flexibility and free cash flow problems are important issues. We focus on the factors that lead the firm to select the zero-debt policy. Our model provides an explanation of the s...

During financial crises, liquidity tends to become scarce, a problem that disproportionately affects small companies. This paper shows that obligation-clearing is a very effective liquidity-saving method for providing relief in the trade credit marke...

Of the numerous important, significant, and high-quality papers that have been published in the Journal of Risk and Financial Management (JRFM), the journal’s highly dedicated and efficient team have determined the top 10 cited papers for 2018–2020,...

The discussion on the necessity of a larger volume of very highly quality liquid assets (VHQLA) in the euro area has been very extensive. The debate on expanding the pool of comparable euro area assets focuses on “safe assets”, often on v...