Journal of Risk and Financial Management, Volume 14, Issue 5

The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and financial contagion during three recent financial market anomalies that originated in the U.S. and Chinese markets. In particular,...

In this study, we study information processing by financial professionals benchmarked with non-professionals and how correlation among individual forecasts explains the group level forecast performance. In an experiment in which participants make pri...

Using real-time customer data holds great potential for the insurance industry. The frequency and relevance of interactions can be improved to provide assistance in real time. Better prevention and risk management can significantly improve pricing an...

The unanticipated coronavirus disease 2019 (COVID-19) pandemic has hit global business heavily, disrupting the management of human resources across numerous industries. More than 500 articles (indexed in Scopus and the Web of Science) on the impact o...

This paper studies multiscale stochastic volatility models of financial asset returns. It specifies two components in the log-volatility process and allows for leverage/asymmetric effects from both components while return innovation terms follow a he...

Using monthly data from January 2000 to August 2018, this paper examines how the Canadian oil and gas industry and individual firms’ equity prices react to oil price fluctuations, which are measured by the traditional West Texas Intermediate (WTI) be...

This paper intended to employ a portfolio approach to assess the effect of exchange rate expectation on Chinese RMB internationalization and empirically test the interactive effects among short-term capital flows, RMB appreciation expectation and the...

Recently, debt structure research has started focusing on the strategic perspective of financing choices, particularly to understand the reasons for debt specialization (DS). This paper examines trends of specialization over time and industry by usin...

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariat...

The purpose of this study was to emphasize that the Data Envelopment Analysis (DEA) method is an important benchmarking tool which provides necessary information for improving business performance. To fulfil the abovementioned goal, we used a sample...

The paper deals with the issue of analyzing the financial failure of businesses. The aim was to select key performance indicators entering the DEA model. The research was carried out on a sample of 343 Slovak heat management companies. When addressin...

Financial performance and financial equilibrium are two key aspects that should be monitored by any business manager interested in passing the test of time and overcoming unpredictable events such as economic crises. The organic link between financia...

This paper endeavors to understand the research landscape of finance research in Vietnam during the period 2008 to 2020 and predict the key defining future research directions. Using the comprehensive database of Vietnam’s international publications...

The current study examines macro-economic and bank specific determinants of non-performing loans (NPLs) for commercial banks from 2008–2018. The Pakistani banking sector has observed a significant increase in NPLs. In addition, the current study is u...

Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable from the multivariate probability distribution describing the reciprocal influence between the system’s variables. The effect of stres...

This paper employs a cross-sectional research design to collect quantitative data for a group of Greek pharmaceutical companies in order to evaluate their credit risk. The data are processed using a variety of quantitative approaches, including serie...

This article considers the problems of overdue credit debt and the creation of effective methods to manage problem debts in banks. The purpose of this paper is to study the problem of overdue credit debt and create effective methods to manage problem...

This study analyzes the importance of the Tokyo Stock Exchange Co-Location dataset (TSE Co-Location dataset) to forecast the realized volatility (RV) of Tokyo stock price index futures. The heterogeneous autoregressive (HAR) model is a popular linear...

This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split t...

This article deals with the issue of managing bank credit risk using a cost risk model. Modeling of bank credit risk management was proposed based on neural-cell technologies, which expand the possibilities of modeling complex objects and processes a...

The purpose of this study is to analyze the contents of cryptocurrency value design based on adaptability to the current market. It is also intended to provide a method of issuing cryptocurrency before its creation, and an operation method afterwards...

This study examines whether the dynamic relationship between the Chinese and international fossil markets changed during the 2008 financial crisis and is changing during the COVID-19 pandemic. The impact of the crises are analyzed by including the pe...

Tourism currently contributes significantly to the national economy. When investing in the accommodation facility on the real-estate market, the tourism sector also represents a certain risk due to a high level of seasonality. This paper investigates...

Financialisation, i.e., the process by which financial markets and their participants gain more influence over the functioning of enterprises/companies and the framework of the financial system, changes the functioning of the economic system, both at...

The money market rates in the United States exhibit various calendar patterns that are grounded in institutional and regulatory factors. In this paper, we document a new regularity in the overnight fed funds market. Specifically, we identify patterns...

We re-examined the seasonal pattern in the excess returns of highly visible American firms. In contrast to the seasonality for risky, less visible firms, we found that highly visible stocks display return seasonality that shows the opposite trend. Fu...

We study the bond price reaction of a merged firms peers, in order to better understand how the market responds to a restructuring. We argue that a merger announcement may signal the possibility of a merger wave to the industry, and in doing so, incr...

This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize conditional value-at-risk and investigate two performance attributes, asset allocation (AA) and the sel...

Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance portfolio concerning different lines of business. One of the main problems...

The AI factory is an effective way of managing artificial intelligence (AI) processes, enabling broad AI deployment in a firm. The purpose of this study is to explore the role of the AI factory in an entrepreneurship context. How do AI-powered startu...

Financial performance of firms is very important to bankers, shareholders, potential investors, and creditors. The inability of firms to meet their liabilities will affect all its stakeholders and will result in negative consequences in the wider eco...

In this study, we examine the effect of the COVID-19 pandemic on global economic activity, the stock market, and the energy sector considering the sizable damaging impacts in these crucial aspects. Our results, based on the structural vector autoregr...

Gold is often used by investors as a hedge against inflation or adverse economic times. Consequently, it is important for investors to have accurate forecasts of gold prices. This paper uses several machine learning tree-based classifiers (bagging, s...

This study examines the effect of the CEO–employee pay gap on productivity and performance. Using extensive data of 751 constituents of the Standard and Poor’s (S&P) 1500 index between the years 1992–2016, we found a cubic relationship between sa...

In response to questions about the relative importance of different types of capital flow for international competitiveness, we develop a structural vector auto-regressive model of the real exchange rate and international capital flows. We reveal tha...

This paper assesses risk management practices at South African universities by analyzing the extent of risk management disclosure recommended by King IV and the level of risk governance maturity. This study was motivated by #Feesmustfall disruptions,...

The donation-based crowdfunding platforms witness a mix of different entities seeking funding for numerous campaigns, adding complexities in understanding the donor behavior and factors that motivate donation. This study builds upon the economic theo...

The available research literature on stock performance has primarily stressed the importance of asset price theories, macroeconomic and microeconomic, and institutional differences. However, there is still an open question: Are there any other factor...

We investigate how intangible assets in the form of R&D influence firms’ hazards of engaging in international acquisitions. On the one hand, previous research has noted that the tacit and redeployable nature of R&D investments may prompt firm...

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,...

This paper studies the relationship between natural disasters and economic growth in the disaster-prone country of Iran, using a spatial Durbin panel model and covering the time period from 2010 to 2016 and including 29 provinces. The results of the...

This paper investigates the American option price in a two-state regime-switching model. The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process. That means the interest rate, the appreciation rate, and the volatility of...

The aim of this paper is the definition of a daily index representing the risk-return on investments in the American film industry. The index should be used to predict the riskiness and the expected return of movie projects at the level of the overal...