2023 June - 15 articles
Long-memory models are frequently used in finance and other fields to capture long-range dependence in time series data. However, correctly identifying whether a process has long memory is crucial. This paper highlights a significant limitation in us...
Disclosing information on environmental, social, and governance (ESG) parameters is voluntary for most firms across the world. Companies disclose their performance on ESG datapoints due to two main reasons—(i) to gain the trust of stakeholders...
This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift coefficient of stocks, and the interest rate are time-dependent deterministic functions. Together with it, we make the assumption that the vo...
The Prediction Accuracy Index (PAI) monitors stability, defined as whether the predictive power of a model has deteriorated due to a change in the distribution of the explanatory variables since its development. This paper shows how the PAI is relate...
Using a unique sample constructed by 600 investors’ responses to a structured questionnaire, we investigate the impact of behavioral biases on the investors’ investment decision making in the Pakistani equity market, as well as the roles...
The gaps observed in entities’ traditional reports and accounts led to the emergence of the integrated report (IR), which includes several content elements, namely the component relating to risks and opportunities. Within this scope, the specif...
This study proposes a structured product (SP) for hedging defined contribution pension fund members against capital market risk. Using Monte Carlo simulations on three different guaranteed returns to test the investment strategy of the SP against a b...
Today’s dynamic business environment has pushed service-oriented firms such as banks to collaborate with external partners through open innovation (OI) to address issues of service differentiation, optimize customer experience, and create effec...
In this paper, we propose a comparison among three portfolio insurance strategies, namely the constant proportion portfolio insurance, the time-invariant portfolio protection, and the exponential proportion portfolio insurance, via an in-depth perfor...
The purpose of the Bank for International Settlements regulatory agenda, as implemented by financial regulators globally, has been to make banks safer and reduce the likelihood of systemic events. Using an original model of bank profit maximisation u...
We study the valuation of a pension fund’s obligations in a discrete time and space incomplete market model. The market’s incompleteness stems from the non-replicability of the wage process that finances the pension plan through time. The...
Since it first appeared, agency theory has argued that debt can decrease agency issues between agent and principal and enhance the value of firms. This paper explores the moderating effect of agency cost on the association between capital structure a...
Currently, organizations are faced with a variety of cyber-threats and are possibly challenged by a wide range of cyber-attacks of varying frequency, complexity, and impact. However, they can do something to prevent, or at least mitigate, these cyber...
Cryptocurrencies are said to be very risky, and so are the currencies of emerging economies, including the South African rand. The steady rise in the movement of South Africans’ investments between the rand and BitCoin warrants an investigation...
Territory risk analysis has played an important role in auto insurance rate regulation. It aims to design rating territories from a set of basic rating units so that their respective risk relativities can be estimated to reflect the regional risk of...
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