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J. Risk Financial Manag., Volume 13, Issue 10 (October 2020) – 27 articles

Cover Story (view full-size image): The coronavirus crisis has damaged the U.S. economy. This paper uses stock returns of 125 sectors to investigate its impact. It decomposes returns into components driven by sector-specific and macroeconomic factors. Idiosyncratic factors harmed industries including airlines, aerospace, real estate, tourism, oil, brewers, retail apparel, and funerals. There are thus large swaths of the economy whose recovery depends not on the macroeconomic environment but on controlling the pandemic. Macroeconomic factors harmed industries such as production equipment, machinery, and electronic and electrical equipment. Thus, reviving capital goods spending requires not just an end to the pandemic, but a macroeconomic recovery as well. View this paper.
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18 pages, 925 KiB  
Article
Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis
by Ashok Chanabasangouda Patil and Shailesh Rastogi
J. Risk Financial Manag. 2020, 13(10), 248; https://doi.org/10.3390/jrfm13100248 - 20 Oct 2020
Cited by 15 | Viewed by 3595
Abstract
The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the [...] Read more.
The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the series are identified using the Bai and Perron procedure, and in each segment, Multifractal Detrended Fluctuation Analysis (MFDFA) and Multifractal Detrended Cross-Correlation Analysis (MFDCCA) are conducted to capture the long memory in each series. The price series is persistent in small fluctuations and anti-persistent in large fluctuations across all the structural segments. This confirms that long memory in the series is not affected by the structural breaks. Both volume and price-volume cross-correlation are anti-persistent in all the structural segments. In other words, volume acts as a carrier of the information only in the non-volatile (normal) market. The varying Hurst exponent across the structural segments indicates the varying levels of persistence and signifies the volatile market. The findings of the study are useful for understanding the practical implications of the Adaptive Market Hypothesis (AMH). Full article
(This article belongs to the Special Issue Market Anomalies in Emerging and Frontier Markets)
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<p>Visualization of the data.</p>
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<p>BIC and residual sum of squares.</p>
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<p>Visualization of segment-wise structural breaks.</p>
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<p>Whole data price, volume, and price-volume cross-correlation spectrum.</p>
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<p>Segment 1 price, volume, and price-volume cross-correlation spectrum.</p>
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<p>Segment 2 price, volume, and price-volume cross-correlation spectrum.</p>
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<p>Segment 3 price, volume, and price-volume cross-correlation spectrum.</p>
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<p>Segment 4 price, volume, and price-volume cross-correlation spectrum.</p>
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<p>Segment 5 price, volume, and price-volume cross-correlation spectrum.</p>
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20 pages, 335 KiB  
Article
Empirical Evidence of a Changing Operating Cost Structure and Its Impact on Banks’ Operating Profit: The Case of Germany
by Florian Diener
J. Risk Financial Manag. 2020, 13(10), 247; https://doi.org/10.3390/jrfm13100247 - 19 Oct 2020
Cited by 1 | Viewed by 6014
Abstract
The financial sector is undergoing extensive changes and challenges that affect the entire market and infrastructure of financial service providers. Technological development leads to increased digitalisation and allows new business models to emerge. With regard to the banking sector, it is evident that [...] Read more.
The financial sector is undergoing extensive changes and challenges that affect the entire market and infrastructure of financial service providers. Technological development leads to increased digitalisation and allows new business models to emerge. With regard to the banking sector, it is evident that this sector is characterized by employees and associated services. However, due to changing conditions, a decline in personnel has been recorded for many years. This raises the question as to what extent—based on contrary assumptions of the principle agency theory and the expense preference hypothesis—personnel changes influence the operational success of banks. On this basis, six hypotheses were formulated and tested. The principal component analysis method was applied to prepare the data. Afterwards, the actual analysis was carried out using a mixed method approach. The results on the basis of the years 2013–2017 showed a negative personnel development, which contributed to the improvement of the operating results of banks. Hereby it becomes evident that the business model design of savings and cooperative banks is of secondary importance. Full article
(This article belongs to the Special Issue Banking and the Economy)
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13 pages, 1450 KiB  
Article
The Potential Use of Drones for Tourism in Crises: A Facility Location Analysis Perspective
by Shiva Ilkhanizadeh, Mahmoud Golabi, Siamand Hesami and Husam Rjoub
J. Risk Financial Manag. 2020, 13(10), 246; https://doi.org/10.3390/jrfm13100246 - 19 Oct 2020
Cited by 27 | Viewed by 5244
Abstract
Considering the recent lockdowns and travel bans due to COVID-19, novel tourism strategies are necessary to face the increasing need for innovative products and services and to ensure long-term sustainable growth. This study looks into the potential use of drones in providing online [...] Read more.
Considering the recent lockdowns and travel bans due to COVID-19, novel tourism strategies are necessary to face the increasing need for innovative products and services and to ensure long-term sustainable growth. This study looks into the potential use of drones in providing online virtual tours of open-space tourist attractions. To do so, a novel mixed-integer linear mathematical model is developed to optimally determine the number and location of required facilities and the number of drones assigned to each center. The model is applied to a case study of Rome by selecting six historic sites as the tourist attractions and considering several candidate locations for establishing the facilities. The results of different potential scenarios imply that the project is profitable, even if the demand for virtual tours is low. Full article
(This article belongs to the Special Issue Tourism and Green Economy)
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<p>Hotspot Triangular Zone. Note: <span class="html-fig-inline" id="jrfm-13-00246-i001"> <img alt="Jrfm 13 00246 i001" src="/jrfm/jrfm-13-00246/article_deploy/html/images/jrfm-13-00246-i001.png"/></span> Numbers in blue circles represent selected touristic hotspots in Rome, Italy, including 1. Colosseum; 2. Trevi Fountain; 3. Roman Forum; 4. Pantheon; 5. Piazza di Spagna; 6. Navona. <span class="html-fig-inline" id="jrfm-13-00246-i002"> <img alt="Jrfm 13 00246 i002" src="/jrfm/jrfm-13-00246/article_deploy/html/images/jrfm-13-00246-i002.png"/></span> pinpoints the candidate drone locations, indicated by capital letters from A to L. Source: Google Maps, 2020.</p>
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22 pages, 1906 KiB  
Article
What Explains the Sovereign Credit Default Swap Spreads Changes in the GCC Region?
by Nader Naifar
J. Risk Financial Manag. 2020, 13(10), 245; https://doi.org/10.3390/jrfm13100245 - 16 Oct 2020
Cited by 11 | Viewed by 6036
Abstract
This paper aimed to investigate the drivers of sovereign credit risk spreads changes in the case of four Gulf Cooperation Council (GCC) countries, namely Kingdom of Saudi Arabia (KSA), the United Arab Emirates (UAE), Qatar, and Bahrain. Specifically, we explained the changes in [...] Read more.
This paper aimed to investigate the drivers of sovereign credit risk spreads changes in the case of four Gulf Cooperation Council (GCC) countries, namely Kingdom of Saudi Arabia (KSA), the United Arab Emirates (UAE), Qatar, and Bahrain. Specifically, we explained the changes in sovereign credit default swap (hereafter SCDS) spreads at different locations of the spread distributions by three categories of explanatory variables: global uncertainty factors, local financial variables, and global financial market variables. Using weekly data from 5 April 2013, to 17 January 2020, and the quantile regression model, empirical results indicate that the global factors outperform the local factors. The most significant variables for all SCDS spreads are the global financial uncertainty embedded in the Chicago Board Options Exchange (CBOE) volatility index (VIX) and the global conventional bond market uncertainty embedded in the Merrill Lynch Option Volatility Estimate (MOVE) index. Moreover, the MOVE index affects the various SCDS spreads only when the CDS markets are bullish. Interestingly, the SCDS spreads are not affected by the global economic policy and the gold market uncertainties. Additionally, a weak dependence is observed between oil prices and SCDS spreads. For the country-specific factors, stock market returns are the most significant variable and impact the SCDS spreads at different market circumstances. Full article
(This article belongs to the Section Economics and Finance)
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<p>Time trend of the Gulf Cooperation Council (GCC) sovereign credit default swap (CDS) spreads.</p>
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<p>Time trend of the GCC stock market indexes.</p>
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<p>Time trend of the various uncertainty indices (VIX, OVX, GVZ and MOVE indexes).</p>
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<p>The non-normality of the SCDS spreads.</p>
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<p>Quantile regression coefficient estimates in the case of UAE, with 95% confidence intervals. Vertical axes show the coefficient estimates of the explanatory variable over the UAE CDS spreads distribution. Horizontal axes show the quantiles of the dependent variable.</p>
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<p>Quantile regression coefficient estimates in the case of Saudi Arabia, with 95% confidence intervals. Vertical axes show the coefficient estimates of the explanatory variable over the Saudi Arabia CDS spreads distribution. Horizontal axes show the quantiles of the dependent variable.</p>
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<p>Quantile regression coefficient estimates in the case of Bahrain, with 95% confidence intervals. Vertical axes show the coefficient estimates of the explanatory variable over the Bahrain CDS spreads distribution. Horizontal axes show the quantiles of the dependent variable.</p>
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<p>Quantile regression coefficient estimates in the case of Qatar, with 95% confidence intervals. Vertical axes show the coefficient estimates of the explanatory variable over the Qatar CDS spreads distribution. Horizontal axes show the quantiles of the dependent variable.</p>
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17 pages, 778 KiB  
Article
The Unusual Trading Volume and Earnings Surprises in China’s Market
by Terence Tai Leung Chong, Yueer Wu and Jue Su
J. Risk Financial Manag. 2020, 13(10), 244; https://doi.org/10.3390/jrfm13100244 - 16 Oct 2020
Cited by 6 | Viewed by 2945
Abstract
This study examines the empirical relationship between unusual trading volume and earnings surprises in China’s A-share market. We provide evidence that an unusually low trading volume can signify negative information about firm fundamentals. Moreover, unusual trading volumes could predict abnormal returns close to [...] Read more.
This study examines the empirical relationship between unusual trading volume and earnings surprises in China’s A-share market. We provide evidence that an unusually low trading volume can signify negative information about firm fundamentals. Moreover, unusual trading volumes could predict abnormal returns close to the earnings announcement date. The degree of, and changes in, divergence of opinion could explain this result. Our study provides an insight into China’s market, where short sales are strictly forbidden. We report a strong relationship that is quite different from that described in most studies on the United States market. Full article
(This article belongs to the Special Issue Stock Markets Behavior)
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<p>Tradable Market Capitalization in China from 2008 to 2017 (Billion RMB). Note: Average monthly data from the Wind Database are used.</p>
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<p>Distribution of the Turnover Quantile of CAR sample.</p>
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<p>Time-series averages of divergence of opinion.</p>
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13 pages, 863 KiB  
Article
Banking Development and Economy in Greece: Evidence from Regional Data
by Christos Floros
J. Risk Financial Manag. 2020, 13(10), 243; https://doi.org/10.3390/jrfm13100243 - 15 Oct 2020
Cited by 5 | Viewed by 3740
Abstract
This article examines the development of Greek systemic banks for the period 2003–2018, using data such as the ATM network and branches at a regional level. We test the impact of the ATM network and branches on the deposits of Greek commercial banks [...] Read more.
This article examines the development of Greek systemic banks for the period 2003–2018, using data such as the ATM network and branches at a regional level. We test the impact of the ATM network and branches on the deposits of Greek commercial banks as well as the impact of local GDP on the regional banking efficiency. The analysis is carried out in two steps, (1) we use the Data Envelopment Analysis (DEA) for efficiency analysis, and (2) we use panel regression models for regression analysis. The results show that branches that operate at small regions are less efficient than those of the larger regions. Furthermore, both the ATMs and the number of branches have a positive relationship with deposits. This means that banks must continue to operate branches and ATMs in Greece. Finally, we show that local GDP helps significantly in increasing regional banking efficiency. The above findings are important given the need to support the local economy with modern banking services in Greece. Full article
(This article belongs to the Special Issue Banking and the Economy)
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<p>AΤΜ and Branches per region/year (2003–2018). Notes: Region 1 (Athens), Region 2 (Thessaloniki), Region 3 (Other Areas—the rest of Greece). Source of data: Hellenic Bank Association.</p>
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<p>Deposits in mil. euros per region/year (2003–2018). Source of data: Bank of Greece.</p>
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<p>GDP in mil. euros per region/year (2003–2018). Notes: Region 1 (Athens), Region 2 (Thessaloniki), Region 3 (Other Areas—the rest of Greece). Source of data: Hellenic Statistical Authority.</p>
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21 pages, 385 KiB  
Article
Does Corporate Governance Compliance Increase Company Value? Evidence from the Best Practice of the Board
by Maria Aluchna and Tomasz Kuszewski
J. Risk Financial Manag. 2020, 13(10), 242; https://doi.org/10.3390/jrfm13100242 - 15 Oct 2020
Cited by 10 | Viewed by 5976
Abstract
Drawing upon agency theory, we address the limitations of best practice code in the context of emerging governance, emphasizing the role of concentrated ownership. While the code provisions were formulated in developed countries, the transfer of one-size-fits-all guidelines may not address the characteristics [...] Read more.
Drawing upon agency theory, we address the limitations of best practice code in the context of emerging governance, emphasizing the role of concentrated ownership. While the code provisions were formulated in developed countries, the transfer of one-size-fits-all guidelines may not address the characteristics and challenges of emerging and post-transition economies. Specifically, we emphasize that provisions of corporate governance codes are aimed at solving the principal–agent conflict between shareholders and managers. These guidelines may remain limited in addressing principal–principal conflicts between majority and minority shareholders and have either a lesser effect on valuation or none at all. Using a unique sample of 155 companies listed on the Warsaw Stock Exchange during the period 2006–2015, with hand-collected data from declarations of conformity, we tested the hypotheses on the link between corporate governance compliance (with board) practice and company value. The period of 2006–2015 was chosen deliberately, due to the relative stability of corporate governance code recommendations over this time. The results of our panel model reveal a negative and statistically significant relation between corporate governance compliance and company value. We contribute to the existing literature providing new evidence on compliance practice in the context of concentrated ownership, and the limited effect of code provisions in addressing structural challenges of corporate governance in emerging post-transition economies and hierarchy-based control systems. Full article
(This article belongs to the Special Issue Corporate Finance, Governance, and Social Responsibility)
14 pages, 317 KiB  
Article
Tax Loss Amortization of Companies in Slovakia
by Anna Bánociová and Slavomíra Ťahlová
J. Risk Financial Manag. 2020, 13(10), 241; https://doi.org/10.3390/jrfm13100241 - 14 Oct 2020
Cited by 1 | Viewed by 2309
Abstract
The purpose of this article is to research how companies optimize income tax with the ambition to maintain the achieved sales and profits at the highest possible level. Its purpose is to find out whether companies in Slovakia compensate for higher tax liability [...] Read more.
The purpose of this article is to research how companies optimize income tax with the ambition to maintain the achieved sales and profits at the highest possible level. Its purpose is to find out whether companies in Slovakia compensate for higher tax liability by tax loss amortization to reduce their income tax payable. Based on the review of literature from the field of legislation concerning the tax loss amortization by using the descriptive statistics of selected corporate and tax indicators, the companies are monitored in order to capture their behavior in paying income tax. The methods of deduction and synthesis are used in this article. The observed corporate and tax indicators are focusing on the relationship between the tax liability arising from corporate income tax, amortized tax losses, and the amount of tax payable in Slovakia in the period from 2015 to 2018. Tax loss can be considered as a tool for tax optimization, which is used by companies in all countries of the European Union, while the scope of its applicability is often limited by a time horizon. The amortization of tax losses has an impact on the amount of tax levied and the subsequent income tax payable, while the possibility to use this tool of tax optimization is influenced by the changing legislation in the period under review. Full article
(This article belongs to the Section Economics and Finance)
15 pages, 316 KiB  
Article
Small Family Businesses: Innovation, Risk and Value
by Samir Harith and Ruth Helen Samujh
J. Risk Financial Manag. 2020, 13(10), 240; https://doi.org/10.3390/jrfm13100240 - 14 Oct 2020
Cited by 5 | Viewed by 4419
Abstract
This article reviews the literature and applies principal-to-principal (PP) conflict theory to small family based businesses. The lack of accurate measurement and communication of risk leading to issues with innovation, is the primary cause of PP agency costs. Careful analysis of the risk [...] Read more.
This article reviews the literature and applies principal-to-principal (PP) conflict theory to small family based businesses. The lack of accurate measurement and communication of risk leading to issues with innovation, is the primary cause of PP agency costs. Careful analysis of the risk levels reflected in the cost of debt and opportunity cost of equity provides a theoretically robust and empirically estimable process for ascertaining the true PP agency cost. Awareness of the constraining governance structures and the suggested method, based on the cost of capital, to assess small business risk can assist SME owners and financiers to SMEs to promote business efficiency and innovation. Full article
(This article belongs to the Special Issue Innovation and SME Finance)
28 pages, 1988 KiB  
Article
Bottlenecks to Financial Development, Financial Inclusion, and Microfinance: A Case Study of Mauritania
by Mohamedou Bouasria, Arvind Ashta and Zaka Ratsimalahelo
J. Risk Financial Manag. 2020, 13(10), 239; https://doi.org/10.3390/jrfm13100239 - 13 Oct 2020
Cited by 7 | Viewed by 4738
Abstract
The objective of the study was to enhance our knowledge on institutional bottlenecks for financial development, financial inclusion, and microfinance, using Mauritania as a case study. We used a mixed-methods’ methodology that combines analysis of secondary data and an expert interview. First, a [...] Read more.
The objective of the study was to enhance our knowledge on institutional bottlenecks for financial development, financial inclusion, and microfinance, using Mauritania as a case study. We used a mixed-methods’ methodology that combines analysis of secondary data and an expert interview. First, a logit model with dummy independent variables was used to investigate the factors that impact the households’ access to credit, the main advantage of this model being to avoid confounding effects by analyzing the association of all variables together. Our study found that access to financial services is equal in Mauritania between men and women, but that access to credit is higher for public sector employees, educated people, and households with smaller families. Second, using principal components’ analysis, we found that the different regions of Mauritania can be divided based on unemployment, income, literacy, financial inclusion, and population density into two main dimensions, yielding four quadrants: Attractive, industrious, moderate, and resource cursed. We expected that sparsely populated countries would have less access to credit. Counterintuitively, we found that within a low-density country, people in the lowest-density regions have higher odds of getting credit. Third, based on an interview with an expert, we noted the key challenges that microfinance is facing in Mauritania and provided recommendations to overcome these. As in most case studies, external validity was limited. Full article
(This article belongs to the Special Issue Banking and the Economy)
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<p>Credit demand by area in Mauritania in 2014. Source: The Survey of Household Living Conditions (<a href="#B33-jrfm-13-00239" class="html-bibr">EPCV 2014</a>).</p>
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<p>Evolution of MFI credits and deposits. Source: Central Bank of Mauritania, <a href="#B22-jrfm-13-00239" class="html-bibr">CBM</a> (<a href="#B22-jrfm-13-00239" class="html-bibr">2018</a>). Note 1 euro = 425 Mauritanian Ouguiya (MRU).</p>
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<p>Implantation of MFIs in different regions of Mauritania. Source: Map generated by using Mapchart.com and number of MFIs was taken from the website of the Central Bank of Mauritania.</p>
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<p>Circle of correlations and plot of the loadings of the variables with principal components. Source: Based on data from <a href="#jrfm-13-00239-t0A3" class="html-table">Table A3</a>.</p>
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<p>Regional analysis using principal components’ analysis. Source: Based on data from <a href="#jrfm-13-00239-t0A3" class="html-table">Table A3</a>.</p>
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<p>Major challenges to the development of microfinance. Source: Our analysis and interview.</p>
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<p>Regional dispersion of selected indicators for Mauritania (Source: Data from <a href="#jrfm-13-00239-t0A3" class="html-table">Table A3</a>).</p>
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20 pages, 757 KiB  
Article
Tools of Information and Communication Technologies in Ecological Marketing under Conditions of Sustainable Development in Industrial Regions (Through Examples of Poland and Ukraine)
by Aleksandra Kuzior and Alla Lobanova
J. Risk Financial Manag. 2020, 13(10), 238; https://doi.org/10.3390/jrfm13100238 - 12 Oct 2020
Cited by 29 | Viewed by 4468
Abstract
This scientific work analyzes the current state and problems of implementing the concept of sustainable development in industrial regions, in particular, in Poland and Ukraine. Emphasis is placed on slowing down the implementation of the main provisions of this doctrine, in particular, the [...] Read more.
This scientific work analyzes the current state and problems of implementing the concept of sustainable development in industrial regions, in particular, in Poland and Ukraine. Emphasis is placed on slowing down the implementation of the main provisions of this doctrine, in particular, the violation of environmental requirements and non-compliance with ecological standards by industrial enterprises. The aim of the article is to find effective innovative tools for intensifying the process of implementing the strategy of sustainable development in industrial regions. The paper uses theoretical methods—analysis and synthesis, formalization, hypothetical-deductive modeling, mental modeling, systematization and generalization—as well as empirical: observation, description and comparison. The main result of the work is the substantiation of the scientific idea that the implementation of a sustainable development strategy in industrial regions is possible by intensifying the process of ecological marketing through the use of new information and communication technologies (ICT) and their innovative tools—methodologies, digital systems, the Internet, cloud technologies, and systems of product design, manufacture and sale—due to accelerated communication links. The authors’ approach to the development of the mechanism of creation and functioning of the single information space (field) of the ecological marketing of the industrial region is offered in this work, and also, the classification of modern ICT and their tools, which it is expedient to use in this mechanism, is carried out. Their purpose and the expected results from the introduction of ecological products for market research, the development of ecological technologies for the life cycles of ecological products and, thus, the impact on the acceleration of sustainable development in industrial regions are determined. Full article
(This article belongs to the Special Issue Trends in Information Technology)
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<p>Market field of ecological marketing in the industrial region (the authors’ scheme).</p>
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<p>Modern information and communication technologies in steel industry in Ukraine. Source: own study based on the data (<a href="#B48-jrfm-13-00238" class="html-bibr">Shvachich et al. 2017, pp. 70–75</a>).</p>
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<p>Information space (field) of ecological marketing in industrial regions under conditions of sustainable development (the authors’ scheme).</p>
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28 pages, 1192 KiB  
Article
Risk Return Trade-Off in Relaxed Risk Parity Portfolio Optimization
by Vaughn Gambeta and Roy Kwon
J. Risk Financial Manag. 2020, 13(10), 237; https://doi.org/10.3390/jrfm13100237 - 4 Oct 2020
Cited by 8 | Viewed by 7597
Abstract
This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re-introducing the asset expected returns into the [...] Read more.
This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re-introducing the asset expected returns into the model and permitting the portfolio to violate the risk parity condition. This paper proposes the incorporation of an explicit target return goal with an intuitive target return approach into a second-order-cone model of a risk parity optimization. When the target return is greater than risk parity return, a violation to risk parity allocations occurs that is controlled using a computational construct to obtain near-risk parity portfolios to retain as much risk parity-like traits as possible. This model is used to demonstrate empirically that higher returns can be achieved than risk parity without the risk contributions deviating dramatically from the risk parity allocations. Furthermore, this study reveals that the relaxed risk parity model exhibits advantageous traits of robustness to expected returns, which should not deter the use of expected returns in risk parity model. Full article
(This article belongs to the Special Issue Financial Optimization and Risk Management)
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<p>Risk parity comparative performance—Bull Market—2009–2018.</p>
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<p>Risk contribution concentration in Model (A)—50 assets, 1997 to 2018.</p>
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<p>Risk contribution concentration in Model (B)—50 assets, 1997 to 2018.</p>
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<p>Risk contribution concentration in Model (B)—50 assets, 1997 to 2018-1.1x Target.</p>
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<p>Risk allocations change with penalty <math display="inline"><semantics> <mi>λ</mi> </semantics></math>-Model (B)—1.2x Target Return.</p>
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<p>Relaxed Risk Parity Efficient Frontier-1992–2018.</p>
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<p>Relaxed Risk Parity Efficient Frontier-2009–2018.</p>
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<p>Distance to Risk Parity Mean-Squared-Error (MSE)—2009–2018—Bull Market.</p>
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<p>Relaxed Risk Parity Relative Out-of-Sample Cumulative Performance to Nominal.</p>
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<p>Distance to Risk Parity Contributions per period.</p>
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<p>Out-of-sample volatility cost of enhanced returns—1997–2018.</p>
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<p>Risk parity property cost for enhanced returns (MSE)—1997–2018.</p>
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<p>Relaxed risk parity investment horizon Sharpe Ratio-1997–2018.</p>
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<p>In-sample efficient frontiers—1997–2018.</p>
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<p>Out-of-sample relaxed risk parity to robust—1997–2018.</p>
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20 pages, 639 KiB  
Article
The Economic Resilience of the Austrian Agriculture since the EU Accession
by Erika Quendler and Mangirdas Morkūnas
J. Risk Financial Manag. 2020, 13(10), 236; https://doi.org/10.3390/jrfm13100236 - 1 Oct 2020
Cited by 21 | Viewed by 4137
Abstract
Ensuring sustainable and economically viable agriculture requires economic resilience before, throughout, and after a shock. This paper studies the economic resilience of Austrian agriculture within the period of 1995 to 2019. However, methods for tracking changes in economic resilience have so far seen [...] Read more.
Ensuring sustainable and economically viable agriculture requires economic resilience before, throughout, and after a shock. This paper studies the economic resilience of Austrian agriculture within the period of 1995 to 2019. However, methods for tracking changes in economic resilience have so far seen only limited application in agriculture. The index for the analysis and measurement of economic resilience is based on four areas: financial flexibility, stability in following the development path, diversification of activities, and diversification of export markets. As results show, Austrian agriculture is of interest because of the very high level of economic resilience, ranging from 0.83 to 0.92 in the period researched, thereby displaying a high capacity to absorb shocks. Generally, these results indicate that Austrian agriculture is forgiving of shocks and thus very economically resilient. These results provide context for developing generalizations on economic resilience in agriculture and its fundamental function for producing effective food security within a sustainable transition path. Some concluding suggestions propose possible future areas of research. Full article
(This article belongs to the Special Issue International Trends and Economic Sustainability on Emerging Markets)
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<p>Values of agricultural sector’s economic resilience index from 1995 to 2019, Austria. Source: own work.</p>
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24 pages, 1316 KiB  
Article
The Architecture of Financial Networks and Models of Financial Instruments According to the “Just Transition Mechanism” at the European Level
by Otilia Manta, Kostas Gouliamos, Jie Kong, Zhou Li, Nguyen Minh Ha, Rajendra Prasad Mohanty, Hongmei Yang, Ruihui Pu and Xiao-Guang Yue
J. Risk Financial Manag. 2020, 13(10), 235; https://doi.org/10.3390/jrfm13100235 - 1 Oct 2020
Cited by 5 | Viewed by 4279
Abstract
At the global level and in particular the European level, challenges related to climate change and the transition to green transactions have created an imperative where identifying or developing innovative financial instruments, appropriate for these priorities, have become our research priorities and objectives. [...] Read more.
At the global level and in particular the European level, challenges related to climate change and the transition to green transactions have created an imperative where identifying or developing innovative financial instruments, appropriate for these priorities, have become our research priorities and objectives. Starting from the analysis of the European Investment Plan for green transactions, as well as the EU Directive 2018/410 of the European Parliament and of the Council, in conjunction with ongoing efforts to identify innovative financing tools, research is presented based on hypotheses using concepts and models of green financing. The paper aims to analyze the main concepts and phenomena that could be considered generative factors for current financial market trends, as well as the inventory of facts and acts that provide a picture of the financial market. Based on these investigations, this paper suggest how we can best analyze the economic environment, processes, and resources in terms of their predictions regarding the sustainability of financial markets in the context of current challenges. Moreover, our paper aims to highlight in our empirical research the above-mentioned aspects, including the analysis of the emergence of new financial instruments at the global level with a direct impact on financial sustainability at the European level, including reflecting certain particularities of financial markets Romania. This research will be both a scientific contribution to the specialized literature and a possible support tool for the practical activities of entrepreneurs in their economic endeavor of developing sustainable businesses. Full article
(This article belongs to the Special Issue Green and Sustainable Finance)
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<p>Funding scheme of the European Investment Plan for Green Transactions (1 trillion euros). Source: The European Green Deal Investment Plan and Just Transition Mechanism, EU Brussels, 14 January 2020.</p>
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<p>Collecting financial network.</p>
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<p>Summary of the components and interactions within the financial placement network.</p>
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<p>The concept of “Green Financing” and how it connects with the broader financial industry—using the FinGreenTech package as an example.</p>
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17 pages, 273 KiB  
Article
Adjusted Net Savings of CEE and Baltic Nations in the Context of Sustainable Economic Growth: A Panel Data Analysis
by Batrancea Larissa, Rathnaswamy Malar Maran, Batrancea Ioan, Nichita Anca, Rus Mircea-Iosif, Tulai Horia, Fatacean Gheorghe, Masca Ema Speranta and Morar Ioan Dan
J. Risk Financial Manag. 2020, 13(10), 234; https://doi.org/10.3390/jrfm13100234 - 1 Oct 2020
Cited by 51 | Viewed by 5166
Abstract
The article investigates the contribution of adjusted net savings to sustainable economic growth for 10 Central and Eastern European and Baltic nations, which are former Soviet bloc nations known as transition economies, using panel data analysis for the period 2005–2016. Our results indicated [...] Read more.
The article investigates the contribution of adjusted net savings to sustainable economic growth for 10 Central and Eastern European and Baltic nations, which are former Soviet bloc nations known as transition economies, using panel data analysis for the period 2005–2016. Our results indicated that adjusted net savings impacted on the GDP across the 10 countries analyzed. Nevertheless, national authorities are called on to implement policy changes in these countries to achieve sustainable economic growth and make an efficient transition from a brown economy towards a green economy. Full article
(This article belongs to the Special Issue International Trends and Economic Sustainability on Emerging Markets)
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30 pages, 978 KiB  
Article
The Impact of the COVID-19 Pandemic on the U.S. Economy: Evidence from the Stock Market
by Willem Thorbecke
J. Risk Financial Manag. 2020, 13(10), 233; https://doi.org/10.3390/jrfm13100233 - 1 Oct 2020
Cited by 43 | Viewed by 22598
Abstract
The coronavirus crisis has damaged the U.S. economy. This paper uses the stock returns of 125 sectors to investigate its impact. It decomposes returns into components driven by sector-specific factors and by macroeconomic factors. Idiosyncratic factors harmed industries such as airlines, aerospace, real [...] Read more.
The coronavirus crisis has damaged the U.S. economy. This paper uses the stock returns of 125 sectors to investigate its impact. It decomposes returns into components driven by sector-specific factors and by macroeconomic factors. Idiosyncratic factors harmed industries such as airlines, aerospace, real estate, tourism, oil, brewers, retail apparel, and funerals. There are thus large swaths of the economy whose recovery depends not on the macroeconomic environment but on controlling the pandemic. Macroeconomic factors generated losses in industries such as production equipment, machinery, and electronic and electrical equipment. Thus, reviving capital goods spending requires not just an end to the pandemic but also a macroeconomic recovery. Full article
(This article belongs to the Special Issue COVID-19’s Risk Management and Its Impact on the Economy)
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<p>U.S. aggregate stock prices. Source: Datastream database.</p>
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<p>Adjusted R-squared coefficients from regressions with eight macroeconomic factors versus adjusted R-squared from regressions with five Fama and French factors. Note: The horizontal axis plots the adjusted R-squared coefficients from regressing daily returns on 125 sectors on the return on the aggregate U.S. stock market index, the return on the world stock market index, the change in the Federal Reserve broad trade-weighted dollar exchange rate index, the change in the log of the spot price for West Texas Intermediate crude oil, the change in the breakeven inflation rate calculated from U.S. Treasury inflation-protected securities, the change in the interest rate on three-month Treasury securities, the change in the spread between interest rates on ten-year and three-month Treasury security, and the change in the spread between interest rates on Moody’s seasoned Baa corporate bonds and ten-year Treasury securities. The vertical axis plots the corresponding adjusted R-squared coefficients from regressing daily returns on 125 sectors on the five <a href="#B21-jrfm-13-00233" class="html-bibr">Fama and French</a> (<a href="#B21-jrfm-13-00233" class="html-bibr">2015</a>) factors. These factors are (1) the return on the aggregate U.S. stock market index minus the return on one-month Treasury securities, (2) the average return on nine small capitalization stock portfolios minus the average return on the nine large capitalization stock portfolios, (3) the average return on two high-book value to market value portfolios minus the average return on the two low-book value to market value portfolios, (4) the average return on two robust operating profitability portfolios minus the average return on two weak operating profitability portfolios, and (5) the average return on two conservative investment portfolios minus the average return on two aggressive investment portfolios. Source: Datastream database, Federal Reserve Bank of St. Louis FRED database, homepage of Professor Kenneth French, and calculations by the author.</p>
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<p>Values on 10 July 2020 of One Dollar Invested on 19 February 2020 Explained by Eight Macroeconomic Factors versus Corresponding Values Explained by Fama and French Factors. Note: The horizontal axis measures the values on 10 July 2020 across 125 sectors of a dollar invested on 19 February 2020 explained by 8 macroeconomic factors. These factors are (1) the return on the aggregate U.S. stock market index, (2) the return on the world stock market index, (3) the change in the Federal Reserve broad trade-weighted exchange rate index, (4) the change in the log of the spot price from West Texas Intermediate crude oil, (5) the change in the breakeven inflation rate calculated from U.S. Treasury inflation-protected securities, (6) the change in the interest rate on three-month Treasury securities, (7) the change in the spread between interest rates on ten-year and three-month Treasury security, and (8) the change in the spread between interest rates on Moody’s seasoned Baa corporate bonds and ten-year Treasury securities. The vertical axis plots the corresponding values explained by the five <a href="#B21-jrfm-13-00233" class="html-bibr">Fama and French</a> (<a href="#B21-jrfm-13-00233" class="html-bibr">2015</a>) factors. These factors are (1) the return on the aggregate U.S. stock market index minus the return on one-month Treasury securities, (2) the average return on nine small capitalization stock portfolios minus the average return on the nine large capitalization stock portfolios, (3) the average return on two high-book value to market value portfolios minus the average return on the two low-book value to market value portfolios, (4) the average return on two robust operating profitability portfolios minus the average return on two weak operating profitability portfolios, and (5) the average return on two conservative investment portfolios minus the average return on two aggressive investment portfolios. Source: Datastream database, Federal Reserve Bank of St. Louis FRED database, homepage of Professor Kenneth French, and calculations by the author.</p>
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<p>Values on 10 July 2020 of one dollar invested on 19 February 2020 not explained by eight macroeconomic factors versus corresponding values not explained by Fama and French factors. Note: The horizontal axis measures the values on 10 July 2020 across 125 sectors of a dollar invested on 19 February 2020 not explained by 8 macroeconomic factors. These factors are (1) the return on the aggregate U.S. stock market index, (2) the return on the world stock market index, (3) the change in the Federal Reserve broad trade-weighted exchange rate index, (4) the change in the log of the spot price from West Texas Intermediate crude oil, (5) the change in the breakeven inflation rate calculated from U.S. Treasury inflation-protected securities, (6) the change in the interest rate on three-month Treasury securities, (7) the change in the spread between interest rates on ten-year and three-month Treasury security, and (8) the change in the spread between interest rates on Moody’s seasoned Baa corporate bonds and ten-year Treasury securities. The vertical axis plots the corresponding values not explained by the five <a href="#B21-jrfm-13-00233" class="html-bibr">Fama and French</a> (<a href="#B21-jrfm-13-00233" class="html-bibr">2015</a>) factors. These factors are (1) the return on the aggregate U.S. stock market index minus the return on one-month Treasury securities, (2) the average return on nine small capitalization stock portfolios minus the average return on the nine large capitalization stock portfolios, (3) the average return on two high-book value to market value portfolios minus the average return on the two low-book value to market value portfolios, (4) the average return on two robust operating profitability portfolios minus the average return on two weak operating profitability portfolios, and (5) the average return on two conservative investment portfolios minus the average return on two aggressive investment portfolios. Changes in value not explained by macroeconomic factors over the 19 February–10 July 2020 period include sector-specific responses to the COVID-19 pandemic. Source: Datastream database, Federal Reserve Bank of St. Louis FRED database, homepage of Professor Kenneth French, and calculations by the author.</p>
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21 pages, 1993 KiB  
Article
Investor Overconfidence and Trading Activity in the Asia Pacific REIT Markets
by Helen X. H. Bao and Steven Haotong Li
J. Risk Financial Manag. 2020, 13(10), 232; https://doi.org/10.3390/jrfm13100232 - 29 Sep 2020
Cited by 7 | Viewed by 3475
Abstract
Overconfidence is one of the most robust behavioral anomalies in financial markets. By attributing investment gains to their ability, investors become overconfident and trade aggressively in subsequent periods. Evidence from stock markets shows that overconfidence leads to excessive trading and, subsequently, inferior investment [...] Read more.
Overconfidence is one of the most robust behavioral anomalies in financial markets. By attributing investment gains to their ability, investors become overconfident and trade aggressively in subsequent periods. Evidence from stock markets shows that overconfidence leads to excessive trading and, subsequently, inferior investment performance. However, studies on overconfidence effect are lacking in the real estate sector, which is particularly true for Asia Pacific real estate investment trust (REIT) markets. Thus, this study examines the overconfidence effect in six Asia Pacific REIT markets, namely, Australia, Hong Kong, Japan, Singapore, South Korea, and Taiwan. The study finds that the overconfidence effect is more conspicuous during market boom periods or in inefficient market conditions. In addition, simulation analysis demonstrates that overconfidence could lead to rather large volumes of excessive trading activities in certain markets. Findings are robust across the alternative measures of control variables. Moreover, the policy implications of the research are also discussed. Full article
(This article belongs to the Special Issue Market Anomalies in Emerging and Frontier Markets)
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<p>Real estate investment trust (REIT) market growth in the Asia Pacific region.</p>
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<p>Impulse response functions (IRFs) of <span class="html-italic">TURN</span> to <span class="html-italic">RET</span> with two standard error bands. Note: For each market, the solid line is the impulse response function of <span class="html-italic">TURN</span> to <span class="html-italic">RET</span> following a one-<span class="html-italic">SD RET</span> innovation; the two dashed lines are the confidence bands of two standard errors.</p>
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<p>Definition of up- and down-markets. The value-weighted price indices are calculated by using Equation (2). The base period (index = 100) is 30 April 2015 for all markets.</p>
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14 pages, 245 KiB  
Article
Application of Discriminant Analysis for Avoiding the Risk of Quarry Operation Failure
by Adriana Csikosova, Maria Janoskova and Katarina Culkova
J. Risk Financial Manag. 2020, 13(10), 231; https://doi.org/10.3390/jrfm13100231 - 28 Sep 2020
Cited by 7 | Viewed by 2878
Abstract
Activity in the mining industry is based on the profitability principle similar to other business sectors. In the case of stone pits, gravel and sand quarries, it presents a very complex task, mainly due to the fact that the economy of localities is [...] Read more.
Activity in the mining industry is based on the profitability principle similar to other business sectors. In the case of stone pits, gravel and sand quarries, it presents a very complex task, mainly due to the fact that the economy of localities is influenced greatly by natural conditions, which cannot be changed. The presented contribution deals with the problem of how mining companies, realizing the surface extraction of construction materials, could be profitable in the future. The main research method of this contribution presents regression and correlation analyses with the goal of determining parameters with a decisive influence on the future economic development of the locality. A complex system of stone pit, gravel and sand quarries demanded discriminant analysis to evaluate individual localities with the goal of dividing them into profitable and not profitable localities. The results of the contribution divide localities of quarry mining among profitable or not profitable, serving for predicting the future development of the company, based on discriminant analysis. The results of maximally possible measures respect assumptions, enabling the correct application of such multivariate statistical methods. A further orientation of the research in an area of model creation for predicting the future development of the company is possible in the application of logistic regression and neuron nets. Full article
(This article belongs to the Special Issue Volatility Modelling and Forecasting)
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19 pages, 445 KiB  
Article
Corporate Governance Characteristics of Private SMEs’ Annual Report Submission Violations
by Oliver Lukason and María-del-Mar Camacho-Miñano
J. Risk Financial Manag. 2020, 13(10), 230; https://doi.org/10.3390/jrfm13100230 - 28 Sep 2020
Cited by 9 | Viewed by 3561
Abstract
Managers are, by law, responsible for the timely disclosure of financial information through annual reports, but despite that, it is usual that they are engaged in the unethical behaviour of not meeting the submission deadlines set in law. This paper sheds light on [...] Read more.
Managers are, by law, responsible for the timely disclosure of financial information through annual reports, but despite that, it is usual that they are engaged in the unethical behaviour of not meeting the submission deadlines set in law. This paper sheds light on the afore-given issue by aiming to find out how corporate governance characteristics are associated with annual report deadline violations in private micro-, small- and medium-sized enterprises (SMEs). We use the population of SMEs from Estonia, in total 77,212 unique firms, in logistic regression analysis with the delay of presenting an annual report over the legal deadline as the dependent and relevant corporate governance characteristics as the independent variables. Our results indicate that the presence of woman on the board, higher manager’s age, longer tenure and a larger proportion of stock owned by board members lead to less likely violation of the annual report submission deadline, but in turn, the presence of more business ties and existence of a majority owner behave in the opposite way. The likelihood of violation does not depend on board size. We also check the robustness of the obtained results with respect to the severity of delay, firm age and size, which all indicate a varying importance of the explanatory corporate governance characteristics. Full article
(This article belongs to the Special Issue Corporate Finance, Governance, and Social Responsibility)
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<p>Conceptual framework of the study. Source: Own elaboration.</p>
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15 pages, 228 KiB  
Article
The Impact of Conventions on Hotel Demand: Evidence from Indianapolis Using Daily Hotel Occupancy Data
by Colin Steitz and Joshua Hall
J. Risk Financial Manag. 2020, 13(10), 229; https://doi.org/10.3390/jrfm13100229 - 28 Sep 2020
Viewed by 3355
Abstract
This paper uses daily hotel occupancy data for the Indianapolis metro area from STR to estimate the effect of multi-day conventions on hotel demand. In addition to multi-day conventions, we hand collect data on other major events such as the Indy 500 and [...] Read more.
This paper uses daily hotel occupancy data for the Indianapolis metro area from STR to estimate the effect of multi-day conventions on hotel demand. In addition to multi-day conventions, we hand collect data on other major events such as the Indy 500 and major sporting events. Hotel demand is an important part of the economic activity generated by multi-day events because hotel rooms are largely occupied by out-of-town guests and represent new local economic activity. We look at the effect of conventions and other large events in Indianapolis on average daily room rates, revenue per room, demand, occupancy, and total revenue. We find large and statistically significant effects for multi-day conventions on hotel demand with very little evidence of crowding out. A single day of a multi-day convention brings in approximately $928,000 in additional hotel revenue. Our findings contribute to the literature on the economic impact of large events such as conventions and sporting events that attract out-of-town visitors. Full article
(This article belongs to the Special Issue Feature Papers on Tourism Economics, Finance, and Management)
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13 pages, 262 KiB  
Article
The Impact of BASEL Accords on the Management of Vietnamese Commercial Banks
by Hai Long Pham and Kevin James Daly
J. Risk Financial Manag. 2020, 13(10), 228; https://doi.org/10.3390/jrfm13100228 - 27 Sep 2020
Cited by 7 | Viewed by 4443
Abstract
This paper is an attempt to empirically examine the impact of Basel Accord regulatory guidelines on the risk-based capital adequacy regulation and bank risk management of Vietnamese commercial banks. Our research aims to assess how Vietnamese commercial banks manage their capital ratio and [...] Read more.
This paper is an attempt to empirically examine the impact of Basel Accord regulatory guidelines on the risk-based capital adequacy regulation and bank risk management of Vietnamese commercial banks. Our research aims to assess how Vietnamese commercial banks manage their capital ratio and bank risk under the latest Basel Accord capital adequacy ratio requirements. Building on previous studies, this research uses a simultaneous equation modeling (SiEM) with three-stage least squares regression (3SLS) to analyze the endogenous relationship between risk-based capital adequacy standards and bank risk management. A year dummy variable (dy2013) is included in the model to take account of changes in the regulation of the Vietnamese banking system. Furthermore, we add a value-at-risk variable developed by as an independent variable into equations of the empirical models. The results reveal a significant impact of Basel capital adequacy regulatory pressure on the risk-based capital adequacy standards and bank risk management of Vietnamese commercial banks. Moreover, banks under the latest Basel capital adequacy regulations are induced to reduce risks and increase banks’ financial performance. Full article
(This article belongs to the Special Issue Banking and the Economy)
3 pages, 181 KiB  
Editorial
Blockchain and Cryptocurrencies
by Stephen Chan, Jeffrey Chu, Yuanyuan Zhang and Saralees Nadarajah
J. Risk Financial Manag. 2020, 13(10), 227; https://doi.org/10.3390/jrfm13100227 - 26 Sep 2020
Cited by 15 | Viewed by 5891
Abstract
Cryptocurrencies are essentially digital currencies that use blockchain technology and cryptography to facilitate secure and anonymous transactions. Many institutions and countries are starting to understand and implement the idea of cryptocurrencies in their business models. With this recent surge in interest, we believe [...] Read more.
Cryptocurrencies are essentially digital currencies that use blockchain technology and cryptography to facilitate secure and anonymous transactions. Many institutions and countries are starting to understand and implement the idea of cryptocurrencies in their business models. With this recent surge in interest, we believe that now is the time to start studying these areas as a key piece of financial technology. The aim of this Special Issue is to provide a collection of papers from leading experts in the area of blockchain and cryptocurrencies. The topics covered in this Special Issue includes the economics, financial analysis and risk management with cryptocurrencies. Full article
(This article belongs to the Special Issue Blockchain and Cryptocurrencies)
28 pages, 352 KiB  
Article
An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management
by Imran Yousaf, Shoaib Ali and Wing-Keung Wong
J. Risk Financial Manag. 2020, 13(10), 226; https://doi.org/10.3390/jrfm13100226 - 25 Sep 2020
Cited by 12 | Viewed by 4145
Abstract
This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the US financial crisis, and the Chinese [...] Read more.
This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the US financial crisis, and the Chinese Stock market crash. We also calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility transmissions vary across the pairs of stock markets and the financial crises. More specifically, return spillover was observed from the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The weights of American stocks in the Asia-US portfolios were found to be higher during the Chinese stock market crash than in the US financial crisis. For the majority of the Asia-China portfolios, the optimal weights of the Chinese stocks were almost equal during the Chinese stock market crash and the US financial crisis. Regarding hedge ratios, fewer US stocks were required to minimize the risk for Asian stock investors during the US financial crisis. In contrast, fewer Chinese stocks were needed to minimize the risk for Asian stock investors during the Chinese stock market crash. This study provides useful information to institutional investors, portfolio managers, and policymakers regarding optimal asset allocation and risk management. Full article
(This article belongs to the Special Issue Mathematical Finance with Applications)
11 pages, 219 KiB  
Communication
The Link between Business Process Management and Quality Management
by Inga Stravinskiene and Dalius Serafinas
J. Risk Financial Manag. 2020, 13(10), 225; https://doi.org/10.3390/jrfm13100225 - 25 Sep 2020
Cited by 15 | Viewed by 10575
Abstract
In an environment of intense globalization and digitalization, business organizations are increasingly faced with various challenges such as rising costs, strong competition, rapidly evolving technologies, increasingly demanding and whimsical consumers, and, in social terms, changing societal demands. It is within this context that [...] Read more.
In an environment of intense globalization and digitalization, business organizations are increasingly faced with various challenges such as rising costs, strong competition, rapidly evolving technologies, increasingly demanding and whimsical consumers, and, in social terms, changing societal demands. It is within this context that the effectiveness and efficiency of the management of business organizations is actualized. The paper addresses the following fundamental questions regarding the scientific problem at the theoretical level: What is the place of Business Process Management (BPM) in the context of Quality Management (QM)? Should BPM be the axis of QM? There is a lack of interdisciplinary research on the link between Business Process Management and Quality Management, and this study aims to ground this link. Methods of the research are literature review and the critical analysis of the scientific sources on the issue. The findings show that there exists confusion, overlaps among different paradigms of QM and BPM. The BPM paradigm might be considered as an integral part of almost all essential quality management paradigms. BPM is like a horizontal area “crossing” different paradigms of quality management (e.g., TQM, SMS, Lean, Six Sigma). The conclusions drawn are useful for organizations that implement quality management systems. The integration of BPM into quality management systems and tools creates preconditions for the development of an effective and efficient organization. Full article
(This article belongs to the Special Issue Innovation, Internationalization and Entrepreneurship)
3 pages, 177 KiB  
Editorial
An Unprecedented Time for Entrepreneurial Finance upon the Arrival of Industry 4.0
by Quan-Hoang Vuong
J. Risk Financial Manag. 2020, 13(10), 224; https://doi.org/10.3390/jrfm13100224 - 25 Sep 2020
Cited by 2 | Viewed by 2470
Abstract
Enterprises and entrepreneurs in emerging economies face a different set of opportunities and challenges from the fourth industrial revolution, Industry 4.0. This volume comprises a number of analyses on entrepreneurial finance with a focus on the emerging markets, covering topics such as debt [...] Read more.
Enterprises and entrepreneurs in emerging economies face a different set of opportunities and challenges from the fourth industrial revolution, Industry 4.0. This volume comprises a number of analyses on entrepreneurial finance with a focus on the emerging markets, covering topics such as debt financing, stock market efficiency, resource consumption, and sustainable development. Full article
(This article belongs to the Special Issue Entrepreneurial Finance at the Dawn of Industry 4.0)
23 pages, 615 KiB  
Article
Impact of Value Co-Creation on International Customer Satisfaction in the Airsoft Industry: Does Country of Origin Matter?
by Gabriela Menet and Marek Szarucki
J. Risk Financial Manag. 2020, 13(10), 223; https://doi.org/10.3390/jrfm13100223 - 24 Sep 2020
Cited by 5 | Viewed by 5226
Abstract
The paper’s objective is to investigate the impact of value proposition co-creation on international customer satisfaction in the airsoft industry. This empirical paper aims at answering a question “Which factors influence satisfaction of the international customers involved in the process of value co-creation [...] Read more.
The paper’s objective is to investigate the impact of value proposition co-creation on international customer satisfaction in the airsoft industry. This empirical paper aims at answering a question “Which factors influence satisfaction of the international customers involved in the process of value co-creation in the airsoft industry” and sets a hypothesis that value co-creators’ country of origin has a positive impact on customers’ satisfaction. A case study approach of an entrepreneurial company (GATE) was supplemented with data collected via a survey (n = 176), where consumers’ perception of the firm’s value proposition and its influence on their satisfaction were investigated. The study contributes to the value creation theory by identifying the main factors influencing customer satisfaction in the airsoft industry and verifying whether the co-creators’ origin affects the factors’ ratings. The results indicate that the most crucial factors influencing international customer satisfaction in this industry are quality level and product functionality and that the country of origin of customers has no significant impact on international customer satisfaction. Full article
(This article belongs to the Special Issue Innovation, Internationalization and Entrepreneurship)
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<p>A co-creative practice of forming a value proposition in GATE. Source: own elaboration based on <a href="#B55-jrfm-13-00223" class="html-bibr">Kowalkowski et al.</a> (<a href="#B55-jrfm-13-00223" class="html-bibr">2012, p. 1556</a>).</p>
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19 pages, 750 KiB  
Article
Formal Finance Usage and Innovative SMEs: Evidence from ASEAN Countries
by Muhammad Arif, Mudassar Hasan, Ahmed Shafique Joyo, Christopher Gan and Sazali Abidin
J. Risk Financial Manag. 2020, 13(10), 222; https://doi.org/10.3390/jrfm13100222 - 23 Sep 2020
Cited by 4 | Viewed by 3443
Abstract
This paper provides evidence on the likelihood of formal finance usage among innovative small and medium enterprises (SMEs) operating in ASEAN countries. To this end, the SMEs are classified into four categories, namely non-innovators and product, process, and product-and-process innovator SMEs. Subsequently, a [...] Read more.
This paper provides evidence on the likelihood of formal finance usage among innovative small and medium enterprises (SMEs) operating in ASEAN countries. To this end, the SMEs are classified into four categories, namely non-innovators and product, process, and product-and-process innovator SMEs. Subsequently, a propensity score weighting (PSW) analysis is performed to adjust for diversity existing across innovative SMEs. The resulting propensity scores are further used to perform the causal effect analysis based on the average treatment effect (ATE) approach, which measures the likelihood of formal finance usage among different types of innovative SMEs. Our ATE results reveal that SMEs simultaneously engaged in product and process innovation show a higher likelihood of using formal finance than non-innovators. However, formal finance usage of SMEs perusing only product/service or process innovation is not any different from non-innovators. Furthermore, our pairwise analysis shows that product and process innovators also exhibit a higher likelihood of formal finance usage than product/service or process innovators. Besides, younger and medium-size product and process innovating SMEs are more likely to use formal finance. These results are robust for different subsamples and firm- and country-level controls. Full article
(This article belongs to the Special Issue Innovation and SME Finance)
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<p>Overlap plots. Note: <a href="#jrfm-13-00222-f0A1" class="html-fig">Figure A1</a> presents the overlap of propensity scores of each treatment group with other treatment groups. 1, 2, 3, and 4 represent non-innovators, product innovators, process innovators and product-and-process innovators, respectively.</p>
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