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On the measurement of hedging effectiveness for long-term investment guarantees

Augustyniak, Maciej; Badescu, Alexandru; Boudreault, Mathieu - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-18

Although the finance literature has devoted a lot of research into the development of advanced models for improving the pricing and hedging performance, there has been much less emphasis on approaches to measure dynamic hedging effectiveness. This article discusses a statistical framework based...

Persistent link: https://www.econbiz.de/10014332859

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-25

This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is … Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection …

Persistent link: https://www.econbiz.de/10014332538

The Influence of information transparency and disclosure on the value of listed companies: Evidence from Vietnam

Le, Thai Xuan; Friday, H. Swint - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-14

This analysis examines the influence of information transparency and disclosure on the value of companies listed on the Vietnamese stock market. Data employed in this study were primarily gathered from the audited financial statements, management reports and other related documents of 430...

Persistent link: https://www.econbiz.de/10014332546

The Impacts of the Russia-Ukraine invasion on global markets and commodities: A dynamic connectedness among G7 and BRIC markets

Alam, Md. Kausar; Tabash, Mosab I.; Billah, Mabruk; … - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-20

The conflict between Russia and Ukraine has been causing knock-on effects worldwide. The supply and price of major commodity markets (oil, gas, platinum, gold, and silver) have been greatly impacted. Due to the ongoing conflict, financial markets across the world have experienced a strong...

Persistent link: https://www.econbiz.de/10014332553

Algorithm aversion as an obstacle in the establishment of Robo advisors

Filiz, Ibrahim; Judek, Jan René; Lorenz, Marco; … - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-25

Within the framework of a laboratory experiment, we examine to what extent algorithm aversion acts as an obstacle in the establishment of robo advisors. The subjects had to complete diversification tasks. They could either do this themselves or they could delegate them to a robo advisor. The...

Persistent link: https://www.econbiz.de/10014332554

Shari'a governance in Bahrain: Analysing the Islamic banking industry's implementation of the newly issued regulatory Shari'a governance module

Al-Saadi, Abdulrahman; Hassan, M. Kabir; Alkhan, Ahmed … - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-22

Shari'a governance is considered a crucial element of the Islamic banking industry. As recent as 2017, Islamic banks in the Kingdom of Bahrain were required by the regulator to have only a Shari'a Supervisory Board and an internal Shari'a function. In 2017, the Central Bank of Bahrain issued a...

Persistent link: https://www.econbiz.de/10014332617

Multiplicative methodology for assessing investment attractiveness and risk for industries

Vertakova, Yulia; Klevtsova, Maria; Zadimidchenko, Anna - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-9

Creating favorable conditions for the development of industry is one of the key tasks with an increased level of complexity, the solution of which is associated with attracting investments and forming an investment policy that takes into account various specific characteristics of its...

Persistent link: https://www.econbiz.de/10014332618

The effects of securitization for managing banking risk using alternative tranching schemes

Cadenas, Pedro; Gzyl, Henryk - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-25

Diversification practices by banks affect their own risk of failing and the risk of the banking system as a whole (systemic risk). A seminal theoretical work has shown that linear diversification can reduce the risk of a bank failing, but at the cost of increasing systemic risk. Later, a...

Persistent link: https://www.econbiz.de/10014332619

Call me when you grow up: Firms' age, size, and IPO performance across sectors

Siev, Smadar; Qadan, Mahmoud - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-22

We provide a fresh look at the performance of the stock prices of firms that launched an IPO between 2009 and 2019 and assess the role of their size, age and sector in affecting future performance. We utilize data about 1611 IPOs spanning 11 economic sectors using the event study method. We...

Persistent link: https://www.econbiz.de/10014332742

Stock market volatility response to COVID-19: Evidence from Thailand

In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-9

financial crises. Furthermore, investment managers can manage portfolio risk and forecast patterns in stock market volatility …

Persistent link: https://www.econbiz.de/10014332748