Purpose: This paper aims to perform an analytical analysis on portfolio allocation when a tracking error volatility (TEV) constraint holds, drawing specific attention to the portfolio efficiency issue. Indeed, it is well known that investors can assign part of their funds to asset managers who...

Purpose: The financial turbulence resulting from the global financial crisis sparked the interest in improving understanding of financial risks. The transmission of financial institution failures can be determined from the prevailing network structures between banks. The purpose of this study...

Purpose: This paper aims to examine non-core deposit (NCD), or the fraction of deposit most likely to be withdrawn, based on bank liquidity behavior. NCD is an analytical component of bank deposit; hence, its withdrawal rate is crucial. Design/methodology/approach: The paper categorizes all 114...

Purpose: This study aims to examine how crude palm oil (CPO) price impacts corporate default risk (CDR) of agricultural firms in Indonesia’s palm oil industry. Design/methodology/approach: By applying a dynamic panel regression on listed CPO-based firms, the authors find that CPO price...

Purpose: This paper aims to examine the monitoring role of institutional investors in corporate decision-making by classifying financial institutions based on geographical proximity and investment horizon from 1980 to 2014. Design/methodology/approach: By using unique data sets on firm and...

Purpose: Since the attainment of fully fledged democracy in 1994, South Africa witnessed a substantial increase in both the number and the value of completed mergers and acquisitions (M&As) targeting South African firms. In spite of this development, studies on foreign direct investment (FDI)...

Purpose: The purpose of this paper is twofold. First, the paper examines the risk transmission between crude oil and petroleum product prices of Japan’s oil futures market. Second, it compares the performance of two tests for Granger causality using realized variance (RV) and the exponential...

Purpose: This paper aims to examine corporate social responsibility (CSR) and corporate bankruptcy. Specifically, the authors ask the following research questions: Does CSR play a role in determining the likelihood of bankruptcy? Does CSR explain the difference in the probability of that firm...

Purpose: This paper aims to illustrate how a Bayesian approach to yield fitting can be implemented in a non-parametric framework with automatic smoothing inferred from the data. It also briefly illustrates the advantages of such an approach using real data. Design/methodology/approach: The...

Purpose: The purpose of this paper is to study whether mergers and acquisitions (M&As) create value in Indian and Chinese markets. Design/methodology/approach: The authors study abnormal returns (AR) created by the acquiring firms in Indian and Chinese markets relating to M&A announcements,...