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Volume 15
Issue 10
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J. Risk Financial Manag., Volume 15, Issue 10 (October 2022) – 70 articles

Cover Story (view full-size image): Earnings management techniques aid businesses in enhancing their financial performance. Research outputs indicate that income increasing earnings management practices are typical of small enterprises with a public limited ownership structure and mostly in sectors R and M (NACE classification). Conservative (income decreasing) practices can be observed in enterprises in the sectors J or F and are also used by medium-sized enterprises and those with a private limited ownership structure. The results revealed that large enterprises do not tend to manipulate their earnings as well as enterprises operating in sector K. The insights of this study may provide useful information for shareholders and regulators in evaluating determinants that are effective in mitigating earnings management practices. View this paper
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11 pages, 583 KiB  
Review
What Remains Unsolved in Sub-African Environmental Exposure Information Disclosure: A Review
by Abd Alwahed Dagestani, Lingli Qing and Mohamad Abou Houran
J. Risk Financial Manag. 2022, 15(10), 487; https://doi.org/10.3390/jrfm15100487 - 21 Oct 2022
Cited by 37 | Viewed by 2429
Abstract
Background: Africa comprises the bulk of struggling economies. However, Sub-Saharan Africa is experiencing rapid industrialization and urbanization. Excessive resource use, pollution, and the absence of relevant environmental disclosure are factors that contribute to these human-made damages. Environmental pollution as a threat to sustainable [...] Read more.
Background: Africa comprises the bulk of struggling economies. However, Sub-Saharan Africa is experiencing rapid industrialization and urbanization. Excessive resource use, pollution, and the absence of relevant environmental disclosure are factors that contribute to these human-made damages. Environmental pollution as a threat to sustainable development results from these damages. Although it has been established that Sub-Saharan Africa would benefit from resource-management development, sustainable environmental strategies, and a reduction in urbanization and persistent poverty, the information on these issues has not been made public. Objective: To provide a full account of the level of environmental-exposure disclosure in Sub-Saharan African countries, including the current level of progress, gaps, and prospects, we reviewed the literature on environmental exposure information research in African populations. Methodology: We searched PubMed and Google Scholar for peer-reviewed research articles, reviews, or books examining environmental exposure and information disclosure in human populations in Africa. Results: In total, 89 full-text articles were eligible for the inclusion criteria. A quality assessment of the retrieved articles using the PRISMA guidelines resulted in the exclusion of 40 articles; therefore, 49 studies were included in the final analysis. In Sub-Saharan Africa, the environmental exposure information on household injuries, the use of chemicals such as pesticides in farming, industry-linked vectors and diseases, laboratory chemical exposure, industrial exposure, and epigenetic factors are not well-disclosed to the population. Conclusion: Environmental information disclosure standards should be incorporated into central-government policy recommendations. Standards should identify polluting industries, and companies should refrain from the voluntary disclosure of environmental information to manage their reputation. Heavy-pollution industries should be made sufficiently transparent to lessen the company–media collusion on information disclosure. Full article
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19 pages, 438 KiB  
Article
Revisiting the Long-Run Dynamic Linkage between Dividends and Share Price with Advanced Panel Econometrics Techniques
by Sudatta Bharati Mohapatra and Nirmal Chandra Kar
J. Risk Financial Manag. 2022, 15(10), 486; https://doi.org/10.3390/jrfm15100486 - 21 Oct 2022
Cited by 1 | Viewed by 1721
Abstract
The log-linearized present value model (PVM) has been widely used in corporate finance to understand the long-run relationship between share price and dividends using panel data. However, the application of recently established panel econometric approaches that account for slope heterogeneity and cross-section dependency [...] Read more.
The log-linearized present value model (PVM) has been widely used in corporate finance to understand the long-run relationship between share price and dividends using panel data. However, the application of recently established panel econometric approaches that account for slope heterogeneity and cross-section dependency in the recent literature regarding the long-run link between share price and dividends in an Indian setting is limited. This paper re-examines the log-linearized PVM in an Indian setting using newly developed panel unit root, cointegration, and long-run dynamic estimation approaches. This study employed a panel dataset of 60 Bombay Stock Exchange (BSE)-listed Indian firms paying regular dividends for 28 years (1990–2017). The study found unit root, cointegration, and a long-run relationship between dividend and share price series for Indian firms during a 28-year sample period. By demonstrating the presence of a long-run link between share price and dividends, this paper contributes to the literature on the PVM, which is crucial in comprehending market rationality and share price behavior in India. This paper also discusses issues related to panel data, such as cross-section dependency and slope heterogeneity, as well as panel econometric approaches that can be applied in the appropriate settings. Full article
(This article belongs to the Special Issue Mathematical and Empirical Finance)
19 pages, 341 KiB  
Article
Religiosity at the Top and Annual Report Readability
by Toufiq Nazrul, Adam Esplin, Kevin E. Dow and David M. Folsom
J. Risk Financial Manag. 2022, 15(10), 485; https://doi.org/10.3390/jrfm15100485 - 21 Oct 2022
Cited by 3 | Viewed by 1384
Abstract
This paper examines how individual religiosity at the top level of organizations affects the quality of their disclosure practices, as measured by the readability of annual reports. Our paper extends the recent accounting and finance literature that moves away from a location-based measure [...] Read more.
This paper examines how individual religiosity at the top level of organizations affects the quality of their disclosure practices, as measured by the readability of annual reports. Our paper extends the recent accounting and finance literature that moves away from a location-based measure to an individual-based measure for capturing the effect of religiosity. Our findings suggest that the individual religiosity of C-suite executives matters in corporate decision-making and has positive implications for the quality of corporate disclosure practices, as reflected by more readable reports. This main finding is primarily driven by the religiosity of CEOs. Additional findings also suggest that the effect of religiosity is not solely driven by the religious denomination of the majority group within a given location-based setting. Previous research using religiosity proxies based on the majority religion in the locale of firms’ headquarters may have measurement issues that disguise the effect of religiosity. This issue is particularly problematic when CEOs or other executives participate in minority religious denominations. Overall, our paper finds that CEO religiosity is an important attribute that affects the overall quality of business practice. Full article
20 pages, 6200 KiB  
Article
Opportunities of Development of Eco-Tourism in the Karelian Arctic in the Conditions of the Existing Environmental and Social Challenges
by Anastasia V. Vasilieva, Alexander D. Volkov, Valentina V. Karginova-Gubinova and Sergey V. Tishkov
J. Risk Financial Manag. 2022, 15(10), 484; https://doi.org/10.3390/jrfm15100484 - 21 Oct 2022
Cited by 2 | Viewed by 2209
Abstract
The formation of a competitive tourist space in the Arctic regions is expedient from the standpoint of diversification of predominantly single-industry local economies and increasing the socio-economic sustainability of local communities. However, it is extremely important that the measures aimed at achieving these [...] Read more.
The formation of a competitive tourist space in the Arctic regions is expedient from the standpoint of diversification of predominantly single-industry local economies and increasing the socio-economic sustainability of local communities. However, it is extremely important that the measures aimed at achieving these effects are correlated with the ecological and social context of the territories and, fully using their existing potential, do not lead to an aggravation of ecological and economic risks. The purpose of this work was to assess the prerequisites for the development of eco-tourism in the example of the Arctic region and economically related territories and consider the possibilities of forming ecotourism zones. Based on statistical data, cartographic materials, and content analysis of semi-formalized interviews of experts, this work investigated the current level of socio-economic development of the Karelian Arctic, the existing tourist infrastructure, natural, and cultural-historical objects. Strengths and constraints of eco-tourism development are emphasized. A number of innovative tools and approaches for the development of ecological tourism in the Karelian Arctic were proposed, the introduction of which will increase the tourist attractiveness of the territory, and ensure its sustainable development by reducing negative environmental impacts and depopulation. Full article
(This article belongs to the Section Financial Technology and Innovation)
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16 pages, 338 KiB  
Article
Money Attitude and Spiritual Well-Being
by Hok-Ko Pong
J. Risk Financial Manag. 2022, 15(10), 483; https://doi.org/10.3390/jrfm15100483 - 21 Oct 2022
Cited by 3 | Viewed by 4839
Abstract
This study seeks to explore the relationship between money attitude and spiritual well-being amongst Chinese youths in Hong Kong. Cross-sectional data (N = 501) were obtained from 249 Chinese university students in 2021 and 252 Chinese university students in 2022, aged between 19–23 [...] Read more.
This study seeks to explore the relationship between money attitude and spiritual well-being amongst Chinese youths in Hong Kong. Cross-sectional data (N = 501) were obtained from 249 Chinese university students in 2021 and 252 Chinese university students in 2022, aged between 19–23 years old. The participants were instructed to answer the Spiritual Well-being Questionnaire (SWBQ) to measure their spiritual well-being in the personal-communal, environmental and transcendental domains. The respondents were then asked to complete the Money Attitude Scale (MAS) to assess their attitudes and beliefs regarding money in three dimensions: power-prestige, anxiety and distrust. Results show that a negative correlation exists between the three dimensions of money attitude and the three domains of spiritual well-being. In addition, the power–prestige dimension of money attitude was the most accurate predictor of spiritual well-being. A stepwise regression analysis unveiled that the power-prestige dimension of students’ money attitudes explained 6.2%, 15.4% and 27.6% of the variance in their sense of spiritual well-being across the personal-communal, environmental and transcendental domains, respectively. Adopting healthy perspectives and attitudes towards money are vital for the development of the youths’ (spiritual) well-being. Thus, financial education and knowledge are crucial for adolescents. Full article
(This article belongs to the Section Applied Economics and Finance)
14 pages, 425 KiB  
Article
The Worst Case GARCH-Copula CVaR Approach for Portfolio Optimisation: Evidence from Financial Markets
by Tahani S. Alotaibi, Luciana Dalla Valle and Matthew J. Craven
J. Risk Financial Manag. 2022, 15(10), 482; https://doi.org/10.3390/jrfm15100482 - 21 Oct 2022
Cited by 1 | Viewed by 2098
Abstract
Portfolio optimisation aims to efficiently find optimal proportions of portfolio assets, given certain constraints, and has been well-studied. While portfolio optimisation ascertains asset combinations most suited to investor requirements, numerous real-world problems impact its simplicity, e.g., investor preferences. Trading restrictions are also commonly [...] Read more.
Portfolio optimisation aims to efficiently find optimal proportions of portfolio assets, given certain constraints, and has been well-studied. While portfolio optimisation ascertains asset combinations most suited to investor requirements, numerous real-world problems impact its simplicity, e.g., investor preferences. Trading restrictions are also commonly faced and must be met. However, in adding constraints to Markowitz’s basic mean-variance model, problem complexity increases, causing difficulties for exact optimisation approaches to find large problem solutions inside reasonable timeframes. This paper addresses portfolio optimisation complexities by applying the Worst Case GARCH-Copula Conditional Value at Risk (CVaR) approach. In particular, the GARCH-copula methodology is used to model the portfolio dependence structure, and the Worst Case CVaR (WCVaR) is considered as an alternative risk measure that is able to provide a more accurate evaluation of financial risk compared to traditional approaches. Copulas model the marginal of each asset separately (which may be any distribution) and also the interdependencies between assets This allows an accurate risk to investment assessment to be applied in order to compare it with traditional methods. In this paper, we present two case studies to evaluate the performance of the WCVaR and compare it against the VaR measure. The first case study focuses on the time series of the closing prices of six major market indexes, while the second case study considers a large dataset of share prices of the Gulf Cooperation Council’s (GCC) oil-based companies. Results show that the values of WCVaR are always higher than those of VaR, demonstrating that the WCVaR approach provides a more accurate assessment of financial risk. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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21 pages, 351 KiB  
Article
A Mortality Risk Analysis for OSHA’s COVID-19 Emergency Regulations
by James Broughel and Andrew Baxter
J. Risk Financial Manag. 2022, 15(10), 481; https://doi.org/10.3390/jrfm15100481 - 21 Oct 2022
Cited by 2 | Viewed by 1266
Abstract
In 2021, the Occupational Safety and Health Administration (OSHA) issued two emergency temporary standard regulations related to COVID-19 hazards in US workplaces. One regulation covered healthcare sector workers, while the second regulation would have covered workers at firms with 100 or more employees. [...] Read more.
In 2021, the Occupational Safety and Health Administration (OSHA) issued two emergency temporary standard regulations related to COVID-19 hazards in US workplaces. One regulation covered healthcare sector workers, while the second regulation would have covered workers at firms with 100 or more employees. This paper conducts an original mortality risk analysis for these regulations. Mortality risk analysis evaluates the increase or decrease in expected mortality associated with a new policy, such as a rule or regulation, taking into account economic factors like lost income due to regulatory costs. If we accept OSHA’s cost and health benefit estimates at face value, we find that the first regulation related to COVID-19 hazards in the healthcare sector reduces risk initially but increases risk over a longer time horizon. We find that the second regulation would reduce risk according to OSHA’s main estimates but may not reduce risk after including some ancillary costs and adjusting the agency’s prevented hospitalizations estimate based on more reasonable assumptions. Moreover, OSHA’s economic analysis for the two regulations in question does not purport to comprehensively evaluate costs; ergo, our mortality risk estimates probably underestimate countervailing mortality risks stemming from these regulations. We review some of OSHA’s underlying assumptions that could change the outcomes of our mortality analysis. These estimates demonstrate that OSHA would benefit from more comprehensive consideration of costs in its economic analysis. Full article
(This article belongs to the Special Issue Health Economics and Insurance)
21 pages, 898 KiB  
Article
Volatility Spillover among Japanese Sectors in Response to COVID-19
by Hideto Shigemoto and Takayuki Morimoto
J. Risk Financial Manag. 2022, 15(10), 480; https://doi.org/10.3390/jrfm15100480 - 20 Oct 2022
Cited by 3 | Viewed by 1693
Abstract
This study clarifies how risks spread across economic sectors and indicates the sectors that are the most affected to help investors with asset allocation and to support them in risk management. Although the Japanese stock market is one of the relatively large global [...] Read more.
This study clarifies how risks spread across economic sectors and indicates the sectors that are the most affected to help investors with asset allocation and to support them in risk management. Although the Japanese stock market is one of the relatively large global stock markets, no studies have explored volatility spillovers among its sectors. Using the forecast error variance decomposition of the vector autoregressive model, this study examines the volatility spillovers among sectors classified on the Tokyo Stock Exchange. Our findings show that the pattern of volatility spillovers across sectors in the Japanese stock market differs between a few years preceding the coronavirus disease 2019 (pre-COVID-19), from 2014 to 2019, and during the COVID-19 period, in 2020. Although the energy resources and bank sectors are risk receivers in the pre-COVID-19 period, these sectors are risk transmitters during the COVID-19 period. We also find that volatility spillovers in the Japanese stock market are mainly driven by negative realized semivariance. These results are useful for asset allocation and risk management. Full article
(This article belongs to the Special Issue Public Economics and Finance Pre-during-Post COVID-19 Pandemic)
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14 pages, 308 KiB  
Article
Idiosyncratic Risk Volatility: Stock Price Informativeness or Price Error?
by Yuni Pristiwati Noer Widianingsih and Doddy Setiawan
J. Risk Financial Manag. 2022, 15(10), 479; https://doi.org/10.3390/jrfm15100479 - 20 Oct 2022
Cited by 1 | Viewed by 1870
Abstract
Research on idiosyncratic volatility in developing countries, particularly Indonesia, is scant. This study is the first to explain idiosyncratic concepts through an information environment approach and an examination of information asymmetry. This study aims to analyze the phenomenon of idiosyncratic risk in Indonesia, [...] Read more.
Research on idiosyncratic volatility in developing countries, particularly Indonesia, is scant. This study is the first to explain idiosyncratic concepts through an information environment approach and an examination of information asymmetry. This study aims to analyze the phenomenon of idiosyncratic risk in Indonesia, whether it is related to price informativeness or price error, by considering the information environment. We identified the information environment based on the liquidity levels and stock liquidity risk. Our research revealed the relationship between information asymmetry in the information environment and idiosyncratic volatility by using a sample of 499 companies listed on the Indonesia Stock Exchange during the period 2017–2019. One thousand, two hundred and twenty-nine (firm_year) observation data were obtained. The dependent variable was idiosyncratic volatility, and the independent variable used an information environment consisting of stock liquidity, liquidity risk, and information asymmetry. The findings of this study are expected to contribute to the literature on idiosyncratic volatility by showing how it can predict the development of the information environment, and how the latter is a consequence of information asymmetry. Moreover, this study should also complement views that are related to the concept of idiosyncratic volatility equivalent to price errors; this research has been carried out in previous studies. Full article
(This article belongs to the Special Issue Business Performance)
17 pages, 367 KiB  
Article
The Implication of IFRS Financial Instruments Disclosure on Value Relevance
by Taleb Alsarayreh, Mohammad Saleh Altarawneh and Ahmed Eltweri
J. Risk Financial Manag. 2022, 15(10), 478; https://doi.org/10.3390/jrfm15100478 - 19 Oct 2022
Cited by 2 | Viewed by 2273
Abstract
The main objective of this research is to examine the effects of financial instruments declared under IFRSs on value relevance over thirteen years. The research sample included 35 European enterprises that were listed on the main market of the London Stock Exchange from [...] Read more.
The main objective of this research is to examine the effects of financial instruments declared under IFRSs on value relevance over thirteen years. The research sample included 35 European enterprises that were listed on the main market of the London Stock Exchange from 2007 to 2019. This study focuses on the adoption of IFRS.7 and IAS.32 disclosure standards, in line with previous studies. The Ohlson model (1995) was utilised in the study to evaluate the dependent variable since it is the module used most often in determining value relevance. The findings indicated that financial knowledge about financial instruments (FI) was typically valuable throughout the research. In addition, the significance of financial instruments and other disclosures when examining sub-components were not valued as relevant but rather provided information regarding the kind and level of exposure to FI risks. Furthermore, the earnings and book value of the common equity have a favourable impact on the value relevance. Hence, the key contributions of this study went beyond enriching the body of literature to make recommendations regarding the most influential determinant among financial instrument items that positively enhance value relevance. Full article
(This article belongs to the Section Sustainability and Finance)
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17 pages, 6216 KiB  
Article
Extreme Connectedness between Green Bonds, Government Bonds, Corporate Bonds and Other Asset Classes: Insights for Portfolio Investors
by Emmanuel Joel Aikins Abakah, Aviral Kumar Tiwari, Aarzoo Sharma and Dorika Jeremiah Mwamtambulo
J. Risk Financial Manag. 2022, 15(10), 477; https://doi.org/10.3390/jrfm15100477 - 18 Oct 2022
Cited by 9 | Viewed by 2537
Abstract
This paper aims to examine the connectedness between green and conventional assets, particularly during the period of economic downturn. Specifically, we examine quantile-based time-varying connectedness between the green bond market and other financial assets using quantile vector autoregression (QVAR) from 9 March 2018 [...] Read more.
This paper aims to examine the connectedness between green and conventional assets, particularly during the period of economic downturn. Specifically, we examine quantile-based time-varying connectedness between the green bond market and other financial assets using quantile vector autoregression (QVAR) from 9 March 2018 to 10 March 2021. We use daily prices of S&P U.S. Treasury Bond Index, S&P US Aggregate Bond Index, S&P US Treasury Bond Current 10Y Index, S&P 500 Bond Index, S&P 500 Financials index, S&P 500 Energy Bond Index and S&P 500, giving a total of 784 observations, and using Composite Index as a representative of conventional assets classes and S&P Green Bond Index to denote the green bond market. Results shows the connectedness between green bonds and the conventional asset classes intensified during the outbreak of the Coronavirus pandemic (COVID-19) as investors shifted their investment towards fixed income assets due to the plunge in the prices of stocks and commodities. The results also shows that green bonds are strongly connected with treasury bonds, aggregate bonds and bond index, as they share similarities with respect to issuance, risk and governance. Connectedness is weak in the case of composite index and energy bond index, as their prices do not have substantial influence on the green bond market. The study highlights the hedging and diversification benefits of green bonds. We have several implications for portfolio managers, policy makers and researchers. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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26 pages, 2753 KiB  
Article
The Interplay between COVID-19 and the Economy in Canada
by Vinicius Albani, Matheus Grasselli, Weijie Pang and Jorge P. Zubelli
J. Risk Financial Manag. 2022, 15(10), 476; https://doi.org/10.3390/jrfm15100476 - 18 Oct 2022
Cited by 2 | Viewed by 2204
Abstract
We propose a generalized susceptible-exposed-infected-removed (SEIR) model to track COVID-19 in Canadian provinces, taking into account the impact of the pandemics on unemployment. The model is based on a network representing provinces, where the contact between individuals from different locations is defined by [...] Read more.
We propose a generalized susceptible-exposed-infected-removed (SEIR) model to track COVID-19 in Canadian provinces, taking into account the impact of the pandemics on unemployment. The model is based on a network representing provinces, where the contact between individuals from different locations is defined by a data-driven mixing matrix. Moreover, we use time-dependent parameters to account for the dynamical evolution of the disease incidence, as well as changes in the rates of hospitalization, intensive care unit (ICU) admission, and death. Unemployment is accounted for as a reduction in the social interaction, which translates into smaller transmission parameters. Conversely, the model assumes that higher proportions of infected individuals reduce overall economic activity and therefore increase unemployment. We tested the model using publicly available sources and found that it is able to reproduce the reported data with remarkable in-sample accuracy. We also tested the model’s ability to make short-term out-of-sample forecasts and found it very satisfactory, except in periods of rapid changes in behavior. Finally, we present long-term predictions for both epidemiological and economic variables under several future vaccination scenarios. Full article
(This article belongs to the Special Issue Systemic Recovery: Lessons from COVID-19, Modeling, Analysis, and Policy Implications)
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20 pages, 382 KiB  
Article
Inflation Forecasts and European Asset Returns: A Regime-Switching Approach
by Nicolas Pesci, Jean-Philippe Aguilar, Victor James and Fabien Rouillé
J. Risk Financial Manag. 2022, 15(10), 475; https://doi.org/10.3390/jrfm15100475 - 18 Oct 2022
Viewed by 1625
Abstract
Considering market-based inflation expectations, we show that investors’ forecasts are non-linear. We capture this non-linear behavior with a Markov-switching model that allows us to identify a regime of high uncertainty, and a regime of low uncertainty and low concern about inflation. Using a [...] Read more.
Considering market-based inflation expectations, we show that investors’ forecasts are non-linear. We capture this non-linear behavior with a Markov-switching model that allows us to identify a regime of high uncertainty, and a regime of low uncertainty and low concern about inflation. Using a complete cross-asset panel of equity sectors, bonds, and commodities, we perform regressions in both regimes including several control variables, and show that the exposure of European assets returns to implied inflation is regime-dependent. We show that inflation-indexed government bonds and oil are the best way to get exposure to slow upward revisions of future inflation that correspond to periods of rallying inflation. We thus identify alternatives to hedge oneself against revisions in inflation forecasts when inflation is considered as a variable of interest by market participants, which, in fact, corresponds to periods of breaks in the trend of realized inflation. In particular, we provide empirical evidence that some equity sectors exhibit good inflation-hedging properties. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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18 pages, 481 KiB  
Article
Attitude towards Online Shopping during Pandemics: Do Gender, Social Factors and Platform Quality Matter?
by Nada Mallah Boustani, May Merhej Sayegh and Zaher Boustany
J. Risk Financial Manag. 2022, 15(10), 474; https://doi.org/10.3390/jrfm15100474 - 18 Oct 2022
Cited by 5 | Viewed by 3109
Abstract
Because of the advancement of electronic commerce, online shopping has emerged, merging commercial and social activities and enhancing the social presence and value of the online environment. To improve the understanding of the changes in the consumer behavior during the COVID-19 pandemic, this [...] Read more.
Because of the advancement of electronic commerce, online shopping has emerged, merging commercial and social activities and enhancing the social presence and value of the online environment. To improve the understanding of the changes in the consumer behavior during the COVID-19 pandemic, this study proposes a set of characteristics connected to the social side of online shopping and their influence on client purchasing attitude in addition to the quality of the platforms that are being used (service quality, system quality and information quality). For this matter, a survey of 289 Lebanese people was circulated in 2021 and a quantitative method was used to answer three research questions. Types of goods purchased and frequency of buying on-line were tested to check the presence of any gender differences, in addition to the relationship between the variables studied in the model. According to the research, social presence, social value, and tendency to compare products on different shopping platforms all have a significant correlation with the attitude towards online shopping, where the system quality was the least significant. When it comes to purchasing frequency and product types, the data gathered imply that gender disparities are considerable. This study does not consider the consumer’s living environment or whether there are any age differences between the generations shopping online. Full article
(This article belongs to the Special Issue Customer Orientation, Job Satisfaction and Knowledge Management as Drivers of Improved Organisational Performance)
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22 pages, 1846 KiB  
Article
The Methodology Matters: What Influences Market Reaction, and Post-Issue Returns in Seasoned Equity Offerings?
by C. N. V. Krishnan and Minghao Wu
J. Risk Financial Manag. 2022, 15(10), 473; https://doi.org/10.3390/jrfm15100473 - 18 Oct 2022
Viewed by 1489
Abstract
Using a large database of U.S. seasoned equity offering (SEO) announcements from 2010 to 2015, we examine the effects of several explanatory variables—firm specific, macroeconomic, fixed income, and stock market variables—on the announcement period abnormal stock returns and on the longer-run post-issue abnormal [...] Read more.
Using a large database of U.S. seasoned equity offering (SEO) announcements from 2010 to 2015, we examine the effects of several explanatory variables—firm specific, macroeconomic, fixed income, and stock market variables—on the announcement period abnormal stock returns and on the longer-run post-issue abnormal returns. We use five different statistical methods—multivariate linear regression, regression on a reduced model using principal components analysis, year-by-year regression on a reduced model using principal components analysis, random forest regression on the whole sample, and year-by-year random forest regression. In general, across the methods, we find that firm’s profitability in the recent past is an important explanatory factor in both short-term and long-term abnormal stock returns, but several other significant explanatory factors change based on the statistical method used. Therefore, the statistical method used affects the results reported. Full article
(This article belongs to the Special Issue Advances in Financial Decisions Modeling and Analytics)
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22 pages, 1601 KiB  
Article
A Time Series Analysis of Judicial Foreclosures in Spain
by Rafael González-Val
J. Risk Financial Manag. 2022, 15(10), 472; https://doi.org/10.3390/jrfm15100472 - 18 Oct 2022
Cited by 1 | Viewed by 1313
Abstract
There was an unprecedented wave of foreclosures and evictions in Spain after the 2008 global financial crisis. The subsequent Great Recession had strong economic, social and environmental consequences. This paper explores the frequency of permanent shocks in foreclosure quarterly rates (defined as the [...] Read more.
There was an unprecedented wave of foreclosures and evictions in Spain after the 2008 global financial crisis. The subsequent Great Recession had strong economic, social and environmental consequences. This paper explores the frequency of permanent shocks in foreclosure quarterly rates (defined as the number of judicial foreclosures per 1000 inhabitants) for 50 Spanish provinces (NUTS 3 regions) during the period from 2001 (Q1) to 2019 (Q4) using time series analysis. We examine whether the foreclosure rate is a stationary series, exhibits a unit root or is stationary around a process subject to structural breaks. A clear finding from this analysis is that not all shocks have transitory effects on the foreclosure rate. The percentage of unit root rejections is around 40%, thus, providing the evidence of both stationarity around occasional shocks that have permanent effects, and of a unit root, where all shocks have a permanent effect on the foreclosure rate. We also test for unit roots allowing for the presence of one and two structural breaks. Most of the structural breaks are positive, and the majority are grouped from 2008 onwards, coinciding with the financial crisis and the subsequent collapse of the Spanish housing bubble. We also find a later decrease in foreclosures in some regions that can be related to the effectiveness of the Code of Good Practice for banks and financial institutions approved in 2012. Nevertheless, the level of the foreclosure rate time series has not returned to the pre-2008 level in any case. Full article
(This article belongs to the Special Issue Shocks, Public Policies and Housing Markets)
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18 pages, 965 KiB  
Article
International Information Spillovers and Asymmetric Volatility in South Asian Stock Markets
by Dinesh Gajurel and Akhila Chawla
J. Risk Financial Manag. 2022, 15(10), 471; https://doi.org/10.3390/jrfm15100471 - 18 Oct 2022
Cited by 2 | Viewed by 1917
Abstract
This is the first comprehensive study to investigate the dynamics of international information spillovers, regional linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation) member nation equity markets. We propose a multi-factor model nested within the [...] Read more.
This is the first comprehensive study to investigate the dynamics of international information spillovers, regional linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation) member nation equity markets. We propose a multi-factor model nested within the generalized autoregressive conditional heteroskedasticity framework and enlist comprehensive equity market data. While modeling, we consider global, regional (Asia), and largest neighboring (India) equity markets as sources of information spillover. Our results show that equity returns in all these South Asian markets have positive autocorrelation. The equity markets of India, Pakistan, and Sri Lanka have some degree of global integration; however, their degree of regional integration is comparatively higher. The stock markets of Bangladesh and Nepal, in contrast, lack both global and regional integration. We find limited evidence of neighborhood (India) spillover effect on other markets in the sample. The stock markets of Bangladesh, India and Pakistan stock markets exhibit asymmetric volatility responses, while Nepal exhibits an inverted asymmetric volatility response, and in contrast Sri Lanka exhibits a symmetric volatility response to return shocks. Finally, most of these markets experience volatility spillover effects from the US, Asia, and India stock markets. Full article
(This article belongs to the Special Issue Financial Markets, Financial Volatility and Beyond)
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25 pages, 938 KiB  
Article
Stochastic Conditional Duration Model with Intraday Seasonality and Limit Order Book Information
by Tomoki Toyabe and Teruo Nakatsuma
J. Risk Financial Manag. 2022, 15(10), 470; https://doi.org/10.3390/jrfm15100470 - 17 Oct 2022
Viewed by 1117
Abstract
It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks is short at the beginning of business hours and long in the middle of the day. In this paper, we extend the stochastic conditional [...] Read more.
It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks is short at the beginning of business hours and long in the middle of the day. In this paper, we extend the stochastic conditional duration (SCD) model to capture the pattern of intraday trading intervals and propose a new Markov chain Monte Carlo method to estimate this intraday seasonality simultaneously. To efficiently generate the Monte Carlo sample, we used a hybrid of the Gibbs/Metropolis–Hastings (MH) sampling scheme and also applied generalized Gibbs sampling. In addition to capturing this intraday seasonality, this paper also considers limit order book information. Three-day tick data for three stocks obtained from Nikkei NEEDS are used for estimation, and model selection is performed on smooth parameters, Weibull distribution and Gamma distribution. The typical intraday regularity of frequent trading immediately after the start of trading is confirmed, and the spread of the limit order book information is also found to affect the trading time interval. Full article
(This article belongs to the Special Issue Innovative Financial Econometrics and Machine Learning)
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19 pages, 2933 KiB  
Article
Appraising Executive Compensation ESG-Based Indicators Using Analytical Hierarchical Process and Delphi Techniques
by Reon Matemane, Tankiso Moloi and Michael Adelowotan
J. Risk Financial Manag. 2022, 15(10), 469; https://doi.org/10.3390/jrfm15100469 - 17 Oct 2022
Cited by 5 | Viewed by 2803
Abstract
Economic, social and governance (ESG) have become topical subjects amidst the deleterious effects of climate change, inequality and similar pressing challenges facing the people and the planet. The main objective of this study was to rank the importance of both the pillars within [...] Read more.
Economic, social and governance (ESG) have become topical subjects amidst the deleterious effects of climate change, inequality and similar pressing challenges facing the people and the planet. The main objective of this study was to rank the importance of both the pillars within the ESG model and the five indicators beneath each pillar for the purposes of executive compensation plans through the Analytical hierarchical process (AHP). It is not known which pillar within the ESG model should be prioritised by companies operating in a developing economy context such as South Africa, and neither is it known which of the available indicators should be prioritised when designing executive compensation plans. AHP and pairwise comparison is employed in prioritising important pillars and indicators. The environmental pillar is identified to be the most important among the three pillars. Indicators that are prioritised mirror both the environmental and socio-economic challenges prevalent in South Africa as an emerging economy. Companies’ boards, remuneration committees, investors and policymakers can use the ESG-based indicators that have been prioritised in this study in designing the executive compensation plans. AHP and pairwise comparison are novel approaches used to prioritise the important pillars within the ESG model and the underlying indicators. Full article
(This article belongs to the Section Sustainability and Finance)
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21 pages, 2482 KiB  
Article
The Uneven Short-Run Effects of the COVID-19 Pandemic on Foreign Direct Investment
by Roxana Wright and Chen Wu
J. Risk Financial Manag. 2022, 15(10), 468; https://doi.org/10.3390/jrfm15100468 - 17 Oct 2022
Cited by 1 | Viewed by 2360
Abstract
This study examines short-run economic and business impacts of the COVID-19 pandemic as a global disruption event. The purpose is to build propositions about specific subnational FDI (Foreign Direct Investment) developments in the short-term of global disturbance. We approach the investigation by reviewing [...] Read more.
This study examines short-run economic and business impacts of the COVID-19 pandemic as a global disruption event. The purpose is to build propositions about specific subnational FDI (Foreign Direct Investment) developments in the short-term of global disturbance. We approach the investigation by reviewing FDI outcomes in the year prior and in the first year of the pandemic, at the U.S. national and subnational levels, and through the lens of local characteristics and FDI outcomes in the state of New Hampshire. Our methods include distribution and frequency analyses on two sets of data: secondary data on FDI and trade at the state level, and primary data as direct observations on firm activities in New Hampshire. Our leading method is the evaluation of data aimed at triangulating and consequently generating a set of propositions that explain phenomena observed in relation to short-term effects of disruption. Our methodological tools consist of an in-focus instance of the phenomena in one state, as a particular case for verifying the validity of our propositions, and comparisons with available data across states to establish the reliability of the proposed consequences. Our analysis provides evidence for subnational heterogeneity of global disruption impact. Our interstate trend analysis and unique data on FDI-related activities in New Hampshire reveal how foreign businesses respond to the external shock of global disruption in the short-run. We use our insights to propose that established regional supply chains and differences in local advantages determine varying FDI outcomes across subnational locations. As a result, we set forth three calls-to-action for regional policymakers: the development of initiatives to support strong trade and FDI-outcomes at all times and in preparation for global disruption; the promotion and facilitation of firms’ access to markets; and the implementation of actions that encourage the establishment of regional supply chains. Full article
(This article belongs to the Special Issue Economic and Financial Implications of COVID-19)
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20 pages, 954 KiB  
Article
BWM—RAPS Approach for Evaluating and Ranking Banking Sector Companies Based on Their Financial Indicators in the Saudi Stock Market
by Mohammed H. Alamoudi and Omer A. Bafail
J. Risk Financial Manag. 2022, 15(10), 467; https://doi.org/10.3390/jrfm15100467 - 17 Oct 2022
Cited by 6 | Viewed by 1615
Abstract
Seeking the greatest possible return on long-term investments, investors naturally seek equities of the best-performing companies that fit their investment timeframe. Long-term investment success rests on selecting the best companies, which requires a challenging analysis reviewing voluminous and often-conflicting data about companies and [...] Read more.
Seeking the greatest possible return on long-term investments, investors naturally seek equities of the best-performing companies that fit their investment timeframe. Long-term investment success rests on selecting the best companies, which requires a challenging analysis reviewing voluminous and often-conflicting data about companies and understanding broader economic forecasts. This paper undertook a case study deployment of MCDM methodologies to examine the suitability and effectiveness of Multi-Criteria Decision-Making (MCDM) methods in assessing and ranking the best stocks for portfolio inclusion. A combination of MCDM techniques comprised a methodology to evaluate and rank Saudi Arabian banking stocks based on their performance in the Saudi stock market. Specifically, the paper combined the Best–Worst Method (BWM) and Ranking Alternatives by Perimeter Similarity (RAPS) for the analysis. BWM calculated each criterion’s relative impact (weight) in selecting a stock. RAPS then used the weighting to rank the results of the investigation. The study’s findings yielded encouraging results regarding using an integrated MCDM technique to derive optimal banking sector securities in the expansive Saudi stock market. The novel application of the robust RAPS technique combined with BWM encourages continued and increased use of MCDM techniques in financial matters and broader application in evaluating equities. Full article
(This article belongs to the Special Issue Predictive Modeling for Economic and Financial Data)
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19 pages, 912 KiB  
Article
Would You like to Work More Hours?—An Investigation on South Africa
by Cristina Raluca Gh. Popescu and Esra Karapınar Kocağ
J. Risk Financial Manag. 2022, 15(10), 466; https://doi.org/10.3390/jrfm15100466 - 17 Oct 2022
Viewed by 1676
Abstract
To begin with, Sustainable Development Goals are of tremendous importance in all areas, being seen as vital aims in all domains, which makes them indispensable when it comes to addressing the particularities of the labour market these days. Subsequently, human resources occupy a [...] Read more.
To begin with, Sustainable Development Goals are of tremendous importance in all areas, being seen as vital aims in all domains, which makes them indispensable when it comes to addressing the particularities of the labour market these days. Subsequently, human resources occupy a distinctive and unique position when referring to the implications derived from targeting Sustainable Development Goals, especially in the context represented by the period specific to the COVID-19 pandemic and the international events that followed immediately after that. This study investigates the work motivation of individuals, and whether they would be willing to work more hours if they are paid. Motivation and attitudes towards working more hours might be affected by several factors, and they are important contributors to business performance. Not only business performance is to be affected, but this is also a part of Sustainable Development Goals where labour market conditions and productivity concerns are addressed, along with several other factors. Using the Quarterly Labour Force Survey from 2017 to 2022 that is conducted by Statistics South Africa, this study attempts to shed light on individual preferences for working more hours in the case of South Africa. Considering the dichotomous dependent variable, a binary response model is utilised to explore the determinants of such behaviour. Findings of the probit model reveal that socio-demographic factors such as gender, marital status, education level, and work experience are important indicators to explain this preference. More precisely, being female increases the likelihood of willingness to work more hours if paid by 1.1 percentage points, and being never married increases that probability by 2.7 percentage points. Within education categories, the highest coefficient in magnitude, having tertiary education decreases the probability of willingness to work more hours by 8.2 percentage points. As an important labour market indicator, one more year to commence working increases the probability of willingness to work more hours by 0.4 percentage points. Full article
(This article belongs to the Special Issue Business Performance)
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15 pages, 338 KiB  
Article
Price Stability Properties and Volatility Analysis of Precious Metals: An ICSS Algorithm Approach
by Sameen Fatima, Christopher Gan and Baiding Hu
J. Risk Financial Manag. 2022, 15(10), 465; https://doi.org/10.3390/jrfm15100465 - 17 Oct 2022
Cited by 1 | Viewed by 1512
Abstract
This paper investigates the price stability properties of precious metals during the 1997 Asian Financial Crisis, 2007–2008 Global Financial Crisis, and 2010 Eurozone Crisis. To analyse the interaction between precious metal prices and the US stock market stock performances, we use the ICSS [...] Read more.
This paper investigates the price stability properties of precious metals during the 1997 Asian Financial Crisis, 2007–2008 Global Financial Crisis, and 2010 Eurozone Crisis. To analyse the interaction between precious metal prices and the US stock market stock performances, we use the ICSS algorithm along with the GARCH model to evaluate how the number of rapid changes in volatility of precious metals has been reduced. The results suggest gold is the most stable of the precious metals. However, silver, platinum, and palladium showed positive price correlation when the US Dow Jones market was unstable. These results imply that: (1) the correlation among stocks market returns has little to no significant impact on the price movement of precious metals, but the US Dow Jones has some influence on precious metal markets except gold, which means investors can reap this benefit from diversification; (2) investors can systematically increase their portfolio returns by going short with the gold investments with low price co-movement and long on silver, platinum, and palladium with high co-movement with stock prices. Full article
(This article belongs to the Special Issue Financial Econometrics and Models)
17 pages, 501 KiB  
Article
Correlations of Taxation and Macroeconomic Indicators in the OECD Member Countries from 2014 to the First Year of the Crisis Caused by COVID-19
by Csaba Lentner, Szilárd Hegedűs and Vitéz Nagy
J. Risk Financial Manag. 2022, 15(10), 464; https://doi.org/10.3390/jrfm15100464 - 17 Oct 2022
Cited by 2 | Viewed by 1883
Abstract
This paper explores the characteristics and inter-relationships of tax systems in the OECD countries over the period 2014–2020, i.e., from a relatively consolidated economic period until the end of the first year of the COVID-19 pandemic. A predictable tax system is essential for [...] Read more.
This paper explores the characteristics and inter-relationships of tax systems in the OECD countries over the period 2014–2020, i.e., from a relatively consolidated economic period until the end of the first year of the COVID-19 pandemic. A predictable tax system is essential for the proper functioning of the economy. One of our two main research objectives was to develop a composite indicator for taxation, consisting of tax rates and tax administration time. This composite indicator was then tested using multivariate statistical methods. Our second research objective was to explore the correlation between tax rates, tax burden indicators and macroeconomic indicators over the period 2014–2020, focusing on three years, 2014, 2019 and 2020. An important criterion for the choice of the study years was that 2014 was considered the first overall year of recovery from the crisis, 2019 the last year before the COVID-19 pandemic, and 2020 the first year affected by the pandemic. We investigated the significant differences between the composite indicator categories and the tax burden macroeconomic indicators, and examined and tested correlations between the variables under study (tax rates, tax burden and macroeconomic variables). We found that the amount of working time spent on tax administration is decreasing, presumably due to the increasingly digitalised environment, but this trend has been slightly interrupted by the pandemic. Furthermore, we found that countries with more complex tax systems with a high tax burden perform worse on certain macroeconomic indicators, mainly in southern Europe from a geographical perspective; however, these potentially more burdensome, higher-rate tax systems of more developed countries do not put these countries at a competitive disadvantage. This reflects on the fact that these countries rely on the monetarist school rather than the Keynesian school, a fact which was also compared and considered in our paper. Full article
(This article belongs to the Special Issue Sustainable Development and CSR – Perfect Match?)
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18 pages, 470 KiB  
Article
Pricing Cat Bonds for Cloud Service Failures
by Loretta Mastroeni, Alessandro Mazzoccoli and Maurizio Naldi
J. Risk Financial Manag. 2022, 15(10), 463; https://doi.org/10.3390/jrfm15100463 - 15 Oct 2022
Cited by 1 | Viewed by 2269
Abstract
The use of the cloud to store personal/company data and to run programs is gaining wide acceptance as it is more efficient and cost-effective. However, cloud services may not always be available, which could lead to losses for customers and the cloud provider [...] Read more.
The use of the cloud to store personal/company data and to run programs is gaining wide acceptance as it is more efficient and cost-effective. However, cloud services may not always be available, which could lead to losses for customers and the cloud provider (the provider is typically obligated to compensate its customers). It can protect itself from such losses through insurance, which transfers the risk to the insurer. In the case of poor cloud availability, the amount that the insurer has to pay back to the cloud provider may become so high that it endangers the insurer’s financial solvency. We propose the use of cat bonds as reinsurance tools as well as the Nowak–Romaniuk pricing scheme. The outage frequency was described by the Poisson process and the loss severity was described by a Pareto random variable; we derived a closed formula for the price of a cat bond in a stochastic interest rate environment, using both one-factor and two-factor short-rate models. We demonstrated the applicability of our pricing formula in a real context. Full article
(This article belongs to the Special Issue Mathematical and Empirical Finance)
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20 pages, 1612 KiB  
Article
Do the Underlying Portfolios Matter? A Comparative Study of Equity-Linked Pay-at-Maturity Principal Protected Notes in Canada and the UK
by Yuanshun Li, Scott Anderson and Patricia A. McGraw
J. Risk Financial Manag. 2022, 15(10), 462; https://doi.org/10.3390/jrfm15100462 - 14 Oct 2022
Viewed by 1266
Abstract
This study examines the relationship between the return and the holding cost of equity-linked pay-at-maturity principal protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in the UK and Canada between 2003 and 2015. We [...] Read more.
This study examines the relationship between the return and the holding cost of equity-linked pay-at-maturity principal protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in the UK and Canada between 2003 and 2015. We find that: (i) the underlying portfolio’s mean return decreases the note holding cost; (ii) the underlying portfolio’s volatility increases the note return and decreases the note holding cost; (iii) investors could maximize note return and minimize holding costs by choosing EL-PAM-PPNs prudently. Investors in both countries should purchase notes with higher participation rates, where the underlying portfolio contains a higher number of stocks and lower expected volatility. UK investors should avoid callable notes and choose notes with a longer time to maturity, where payoff is determined by a single observation of the underlying portfolio’s value at maturity. Surprisingly, Canadian investors should choose callable notes and notes with a shorter time to maturity, where payoff is determined by the average of multiple observations of the underlying portfolio’s value over the life of the note. They should also look for notes that include a guaranteed positive return, and where the underlying asset has a higher dividend yield. Full article
(This article belongs to the Special Issue European Financial Market Efficiency: Investors' Behaviour, Efficient Market Hypothesis and Behavioural Finance)
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15 pages, 789 KiB  
Article
On Financial Distributions Modelling Methods: Application on Regression Models for Time Series
by Paul R. Dewick
J. Risk Financial Manag. 2022, 15(10), 461; https://doi.org/10.3390/jrfm15100461 - 13 Oct 2022
Cited by 2 | Viewed by 1704
Abstract
The financial market is a complex system with chaotic behavior that can lead to wild swings within the financial system. This can drive the system into a variety of interesting phenomenon such as phase transitions, bubbles, and crashes, and so on. Of interest [...] Read more.
The financial market is a complex system with chaotic behavior that can lead to wild swings within the financial system. This can drive the system into a variety of interesting phenomenon such as phase transitions, bubbles, and crashes, and so on. Of interest in financial modelling is identifying the distribution and the stylized facts of a particular time series, as the distribution and stylized facts can determine if volatility is present, resulting in financial risk and contagion. Regression modelling has been used within this study as a methodology to identify the goodness-of-fit between the original and generated time series model, which serves as a criterion for model selection. Different time series modelling methods that include the common Box–Jenkins ARIMA, ARMA-GARCH type methods, the Geometric Brownian Motion type models and Tsallis entropy based models when data size permits, can use this methodology in model selection. Determining the time series distribution and stylized facts has utility, as the distribution allows for further modelling opportunities such as bivariate regression and copula modelling, apart from the usual forecasting. Determining the distribution and stylized facts also allows for the identification of the parameters that are used within a Geometric Brownian Motion forecasting model. This study has used the Carbon Emissions Futures price between the dates of 1 May 2012 and 1 May 2022, to highlight this application of regression modelling. Full article
(This article belongs to the Special Issue Financial Data Analytics and Statistical Learning)
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24 pages, 2983 KiB  
Article
Factor-Based Investing in Market Cycles: Fama–French Five-Factor Model of Market Interest Rate and Market Sentiment
by Yu-Shang Kuo and Jen-Tsung Huang
J. Risk Financial Manag. 2022, 15(10), 460; https://doi.org/10.3390/jrfm15100460 - 13 Oct 2022
Viewed by 3038
Abstract
This study explores risk–reward patterns in the US stock market and establishes optimal factor-based investing using the Fama–French five-factor model through market cycles constructed by Shiller’s interest rates and Baker–Wurgler’s sentiments. Our emerging evidence confirms that the high-interest rate, high-sentiment cycle generates higher [...] Read more.
This study explores risk–reward patterns in the US stock market and establishes optimal factor-based investing using the Fama–French five-factor model through market cycles constructed by Shiller’s interest rates and Baker–Wurgler’s sentiments. Our emerging evidence confirms that the high-interest rate, high-sentiment cycle generates higher excess returns, and the low-interest rate, low-sentiment cycle generates lower excess returns, which supports the hypothesis that the market cycles as investment horizons have an asymmetric effect on stock returns. Furthermore, the size factor outperforms in the low-interest rate, low-sentiment cycle, whilst the value factor outperforms in the high-interest rate, high-sentiment cycle. Using the asymmetric GARCH model, the asymmetric leverage effect of interest rates and sentiments on five-factor returns is empirically demonstrated with explanatory power of five-factor characteristics. Unlike previous studies, our findings also imply that high- and low-sentiment cycles asymmetrically affect the value factor, and the value premium does not disappear over time, highlighting the role of the market cycles in five-factor returns. Full article
(This article belongs to the Special Issue Interdisciplinary Empirical Research in Financial Econometrics)
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15 pages, 1082 KiB  
Article
Evidential Strategies in Financial Statement Analysis: A Corpus Linguistic Text Mining Approach to Bankruptcy Prediction
by Tobias Nießner, Daniel H. Gross and Matthias Schumann
J. Risk Financial Manag. 2022, 15(10), 459; https://doi.org/10.3390/jrfm15100459 - 13 Oct 2022
Cited by 1 | Viewed by 3106
Abstract
The qualitative information of companies’ financial statements provides useful information that can increase the accuracy of bankruptcy prediction models. In this research, a dataset of 924,903 financial statements from 355,704 German companies classified into solvent, financially distressed, and bankrupt companies using the Amadeus [...] Read more.
The qualitative information of companies’ financial statements provides useful information that can increase the accuracy of bankruptcy prediction models. In this research, a dataset of 924,903 financial statements from 355,704 German companies classified into solvent, financially distressed, and bankrupt companies using the Amadeus database from Bureau van Dijk was examined. The results provide empirical evidence that a corpus linguistic approach implementing evidential strategy analysis towards financial statements helps to distinguish between companies’ financial situations. They show that companies use different approaches and confidence assessments when evaluating their financial statements based on solvency and vary their use of evidential strategies accordingly. This leads to the proposition of a procedure to quantify and generate features based on the analysis of evidential strategies that can be used to improve corporate bankruptcy prediction. The results presented here stem from an interdisciplinary adaptation of linguistic findings and provide future research with another means of analysis in the area of text mining. Full article
(This article belongs to the Special Issue Financial Risk Modeling)
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15 pages, 545 KiB  
Article
Social Identity Dimensions as Drivers of Consumer Engagement in Social Media Sports Club
by Željka Marčinko Trkulja, Jasmina Dlačić and Dinko Primorac
J. Risk Financial Manag. 2022, 15(10), 458; https://doi.org/10.3390/jrfm15100458 - 12 Oct 2022
Cited by 2 | Viewed by 2354
Abstract
Consumer engagement is defined as a multidimensional concept in this study via the identification of members of a sports club social network and consumer identification with a sports club brand on social networks. Hence, the study focuses on sports clubs that engage with [...] Read more.
Consumer engagement is defined as a multidimensional concept in this study via the identification of members of a sports club social network and consumer identification with a sports club brand on social networks. Hence, the study focuses on sports clubs that engage with their customers through social media. The purpose of this paper is to provide a conceptual and theoretical understanding of consumer engagement, particularly among sports teams that employ interactive platforms to establish relationships with customers. Furthermore, in order to better comprehend the interaction between consumer and brand, this research approaches customer identification as consisted of two distinct constructs. Consumer identification with members of a sports club social network is separated from customer identification with a sports club brand. Research results point out that the consumer identification with members of the sports club’s social network and consumer identification with the sports club’s brand are positively related to consumer engagement. Furthermore, the value creation process is enhanced if the sport club approaches separately different dimensions of customer engagement in the social networks of the sports club. Full article
(This article belongs to the Special Issue Consumer Behavior and Marketing Strategy)
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