Journal of Risk and Financial Management, Volume 17, Issue 4

Moroccan manufacturing companies investing in the metallurgical, mechanical, and electromechanical industries sector are among the contributors to the growth of the national economy. The projects they are awarded do not have the same specific feature...

This paper reveals the impact of environmental, social, and governance (ESG) scores on systematic and downside risks in the Russian stock market. We analyze the influence of a broad set of ESG factors controlling for stock liquidity, financial indica...

Corporate Social Responsibility (CSR) was usually referred to as a concept where companies initiate voluntary action towards social and environmental concerns in the context of business operations related to the stakeholders of the company prior to t...

Conventionally, the unknown parameters in Merton’s model are set using a calibration method that estimates the current asset value and volatility from observable stock prices. This paper describes a completely different approach for estimating...

This paper examines the market responses to concurrent earnings and stock split announcements for evidence on the information content of stock splits. The majority of stock split research excludes splits announced with other information events due to...

We clear up an ambiguity in the statement of the GRS statistic by providing the correct formula of the GRS statistic and the first proof of its F-distribution in the general multiple-factor case. Casual generalization of the Sharpe-ratio-based interp...

This paper focuses on returns comovements in global stock portfolios including the US Dollar as a defensive asset. The main contribution is the selection of a large set of macroeconomic and financial variables as potential drivers of these comovement...

The increasing importance of environmental, social, and governance (ESG) factors has sparked scholarly interest in how company reputation influences stock market investment decisions. Most ESG research has focused on secondary data from public firms,...

This paper discusses the application of digital information management tools in the context of financial control. In Bulgaria, such research is innovative as it is the first time that digital transformation in crucial financial control institutions,...

Nowadays, the dynamism caused by constant changes to strategic decisions in markets poses an additional difficulty in an organization’s management. The strategic decisions made by managers can easily become obsolete. One of the major difficulti...

This study addresses the implementation of the International Financial Reporting Standard 9 (IFRS 9) in the European Union as of 1 January 2018, replacing the International Accounting Standard 39 (IAS 39) to introduce a new model for recognizing Loan...

Financial signaling and stock return synchronicity may not be at crossroads. This paper optimizes the signaling effect of firms’ financial indicators on stock return synchronicity. The ultimate objective is to align firms’ financial signa...

How does stock overvaluation in secondary financial markets affect long-term firm performance when significant corporate “insiders” seek to realize self-benefit? Using a sample of Chinese listed companies from 2007 to 2018, we find that o...

We investigate the potential of global real estate to improve the long-term performance of a US equity portfolio, utilizing a recent dataset of 40 years’ worth of US stocks, US real estate, 13 foreign stock markets, and 13 foreign real estate m...

This study investigates the dynamics within entrepreneurial ecosystems, focusing on the influence of venture capital (VC) financing clusters and industry clusters on startup success. VC financing clusters, geographic hubs with intense VC funding acti...

We construct a model where, at each time instance, risky securities can only take a limited number of values and the equity-linked policy sold by the insurer to policyholders pays benefits linked to these securities. Since the number of states in the...

Recent years have seen increasing initiatives involving more applications of real options to value the strategizing process. These initiatives, referred to as Real Option Theory (ROT), imply greater inclusiveness of simple and advanced real options i...

This study examines the relationships between Greek macroeconomic variables, examining before and after the euro’s introduction as a currency. We conducted an extensive analysis from 1980 to 2019, examining various economic indicators such as g...

The increase in global economic policy uncertainty (EPU), volatility or stock market uncertainty (VIX), and geopolitical risk (GPR) has affected gold prices (GD), crude oil prices (WTI), and stock markets, which present challenges for investors. Sust...

In this study, we aim to investigate the effects of remittance on sustainable economic development in 52 developing and emerging economies from 1996 to 2021. The study uses other variables such as real GDP per capita, total natural resource rents, gl...

The objective of this paper is to assess the behavior of policyholders and insurance companies in the presence of adverse selection by accounting for costly search and selection efforts, respectively. Insurers seek to stave off high-risk types, while...

Based on the theoretical frameworks on dynamic capabilities and business model innovation, we conducted a comprehensive survey and analysis involving 451 Chinese university student enterprises. The primary objective was to investigate the synergistic...

Audit committees are appointed by the board of directors of corporations to oversee the financial reporting process, monitor financial control processes, hire and assess independent auditors, and communicate findings with management and auditors. We...

The attainment of adequate finance remains a substantial hindrance for small- and medium-sized enterprises (SMEs) across many countries. This study aim to investigate the association between SMEs’ external finance utilization and perceived risk...

This paper examines the stochastic behaviour of the realized betas in the CAPM model for the ten largest companies in terms of market capitalisation included in the U.S. Dow Jones stock market index. Fractional integration methods are applied to esti...

Estimating the expected capital and its variability is a crucial objective for a non-life insurance company, which enables the firm to develop effective management strategies. Many studies have been devoted to this topic, with simulative approaches b...

The carbon–financial nexus helps firms evaluate susceptibility to carbon risk more effectively. This is the first research article to model the short- and long-run co-integrating association between European financial markets, the CBOE oil pric...

Sustainability reporting has become increasingly crucial for businesses worldwide, communicating environmental, social, and governance (ESG) performance to stakeholders. Despite the growing importance of sustainability reporting, there remains a gap...

Numerous stakeholders concur that tackling the climate change effect requires massive financial mobilization from the public and private sectors to reduce the climate financing gap. Capital markets are among the key players fostering this mobilizatio...

We examine the association between strategic deviation—defined as the deviation of firms’ resource allocation from that of industry peers—and corporate tax avoidance. By combining the agency perspective with the risk aspect, we argu...

In this paper, we utilize a machine learning model (the convolutional neural network) to analyze aerial images of winter hard red wheat planted areas and cloud coverage over the planted areas as a proxy for future yield forecasts. We trained our mode...

The problem addressed in this study is the profound impact of the COVID-19 pandemic on the tourism economies of Kosovo (KOS) and Albania (AL), which led to economic–financial stagnation and price increases. The aim was to analyze the financial...

The historical prevalence of banking crises and their profound impact on global economies underscores the imperative for policy makers to refine their crisis forecasting frameworks. Against this backdrop, the present study endeavors to predict potent...

In this paper, the use of artificial neural networks (ANNs) is proposed to approximate the option price sensitivities of Johannesburg Stock Exchange (JSE) Top 40 European call options in a classical and a modern multi-curve framework. The ANNs were t...

The accounting principles prevalent in Hollywood are seemingly crafted to mislead creators and investors. Film studios and streaming platforms have been found to use complex strategies to annually divert millions in net profits. Many contracts includ...

We develop a binary tree pricing model with underlying asset price dynamics following Itô–McKean skew Brownian motion. Our work was motivated by the Corns–Satchell, continuous-time, option pricing model. However, the Corns–Sat...

How can we explain the success of cooperative networks of firms which share innovations, such as Silicon Valley or the Open Source community? This paper shows that if innovations are cumulative, making an invention publicly available to a network of...

This is a study of decision problems under two-dimensional risk. We use an existing index of absolute correlation aversion to conveniently classify bivariate preferences, with respect to attitudes toward this risk. This classification seems to be mor...

This article focuses on the study of issues related to the functionality and structure of an economy. To achieve this, the theory of the cycle of money is used. The structural features of an economy are reflected in its operational characteristics, a...

Bitcoin (BTC) represents an emerging asset class, offering investors an alternative avenue for diversification across various units of exchange. The recent global banking crisis of 9 March 2023 has provided an opportunity to reflect on how Bitcoin&rs...

This paper presents a novel theoretical framework for incorporating climate risks and adaptation investments into infrastructure debt pricing. Utilizing the Capital Asset Pricing Model (CAPM), the framework extends the conventional modeling of infras...

The present paper aims to compare the predictive performance of five models namely the Linear Discriminant Analysis (LDA), Logistic Regression (LR), Decision Trees (DT), Support Vector Machine (SVM) and Random Forest (RF) to forecast the bankruptcy o...

In this paper, we propose a new proxy for the unobserved volatility process that will allow us to better understand and hence model a rough or persistent volatility. Starting with a stochastic volatility model with minimal assumptions on the volatili...