International Journal of Financial Studies

18 pages, 11684 KiB

Open AccessArticle

A Comprehensive Bibliometric Analysis of Real Estate Research Trends

by Salma El Bied, Lorenzo Ros Mcdonnell, Ma Victoria de-la-Fuente-Aragón and Diego Ros Mcdonnell

Int. J. Financial Stud. 2024, 12(3), 95; https://doi.org/10.3390/ijfs12030095 - 23 Sep 2024

Viewed by 625

Real estate, characterized by its diverse and complex nature, presents a multifaceted research domain. It encompasses various topics and challenges, making it both content-wise challenging and multidimensional. This study aims to conduct a knowledge mapping of the literature in the real estate field [...] Read more.

Real estate, characterized by its diverse and complex nature, presents a multifaceted research domain. It encompasses various topics and challenges, making it both content-wise challenging and multidimensional. This study aims to conduct a knowledge mapping of the literature in the real estate field using a sample of 9700 document articles published between 1929 and 2023 based on publications indexed in the Web of Science database. This study utilizes the software SciMAT (version 1.1.04) to demonstrate hot keywords and trends in this field and additionally employs the VOSviewer (version 1.6.19) tool to analyze keywords, countries, authors, and sources. Authors reveal a growing interest in real estate literature, with the USA contributing the most publications, while relatively few originate from Africa and South America. This study investigates the strategic themes and the scientific evolution structure, provides a comprehensive examination of the current state of real estate literature, and helps in understanding its development. It offers a valuable reference point for future research in this domain. Full article

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14 pages, 281 KiB

Open AccessArticle

Does Managerial Power Explain the Association between Agency Costs and Firm Value? The French Case

by Dabboussi Moez

Int. J. Financial Stud. 2024, 12(3), 94; https://doi.org/10.3390/ijfs12030094 - 21 Sep 2024

Viewed by 914

Abstract

This paper demonstrates whether the impact of agency costs on firm value depends on the level of managerial power using the fraction of capital held by the manager, as well as their level of voting rights. Focusing on a sample of 120 non-financial [...] Read more.

This paper demonstrates whether the impact of agency costs on firm value depends on the level of managerial power using the fraction of capital held by the manager, as well as their level of voting rights. Focusing on a sample of 120 non-financial French firms incorporated in the CAC All-Tradable Index for the period 2008–2022, the first empirical analysis provides strong evidence that agency costs of equity, as measured in terms of operating expenses, administrative expenses and the agency cost of free cash flow, exert a negative impact on the firm’s market value. In a second empirical analysis, we split our sample into three sub-samples with the aim of capturing the effect of managerial power. The findings lead us to believe that the association between the agency cost measurement and the firm’s market value depend on the level of managerial power. This paper challenges prior studies by strengthening our understanding of managerial behavior (incentive, neutral, and entrenchment) in relation to shareholder wealth. Furthermore, it contributes to the recent literature by enabling a better knowledge of the disparity related to studies conducted in other countries with different governance models. Full article

13 pages, 2376 KiB

Open AccessArticle

Statistical Modeling of Football Players’ Transfer Fees Worldwide

by Raffaele Poli, Roger Besson and Loïc Ravenel

Int. J. Financial Stud. 2024, 12(3), 93; https://doi.org/10.3390/ijfs12030093 - 19 Sep 2024

Viewed by 5179

Abstract

Professional football clubs invest vast amounts of money in the recruitment of players. This article presents the latest advances in statistical modeling of the factors that market actors take into consideration to determine the transfer prices of professional football players. It extends to [...] Read more.

Professional football clubs invest vast amounts of money in the recruitment of players. This article presents the latest advances in statistical modeling of the factors that market actors take into consideration to determine the transfer prices of professional football players. It extends to a global scale the econometric approach previously developed by the authors to evaluate the transfer prices of players under contract with clubs from the five major European leagues. The statistical technique used to build the model is multiple linear regression (MLR), with fees paid by clubs as an independent variable. The sample comprises over 8000 transactions of players transferred for money from clubs worldwide during the period stretching from July 2014 to March 2024. This paper shows that a statistical model can explain up to 85% of the differences in the transfer fees paid for players. Despite the specific cases and other possible distortions mentioned in the discussion, the use of a statistical model to determine player transfer prices is thus highly relevant on a global scale. Full article

(This article belongs to the Special Issue Sports Finance (2nd Edition))

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11 pages, 1850 KiB

Open AccessArticle

Financial Interdependencies: Analyzing the Volatility Linkages between Real Estate Investment Trusts, Sukuk, and Oil in GCC Countries

by Nevi Danila

Int. J. Financial Stud. 2024, 12(3), 92; https://doi.org/10.3390/ijfs12030092 - 18 Sep 2024

Viewed by 879

Abstract

This study investigates the financial interconnections among Real Estate Investment Trusts (REITs), sukuk (Islamic bonds), and oil in Gulf Cooperation Council (GCC) nations. The study sample comprises S&P GCC Composite Equity Real Estate Investment Trusts (REITs) Shariah, the S&P GCC Bond and Sukuk [...] Read more.

This study investigates the financial interconnections among Real Estate Investment Trusts (REITs), sukuk (Islamic bonds), and oil in Gulf Cooperation Council (GCC) nations. The study sample comprises S&P GCC Composite Equity Real Estate Investment Trusts (REITs) Shariah, the S&P GCC Bond and Sukuk Index, and the OPEC crude oil basket on a daily basis. The duration of coverage spans from 2014 until the beginning of 2024. The TVP-VAR methodology is utilized to examine the interrelationship among the assets. The results indicate that Real Estate Investment Trusts (REITs) and oil are sources of volatility transmission, whereas sukuk is a recipient of volatility within the network. Examining the net pairwise directional linkages of two assets, namely REITs and oil markets, reveals that they transfer their volatility to the sukuk market. Moreover, a reciprocal relationship exists between REITs and oil regarding volatility spillover. It means that REITs act as transmitters to the oil markets during specific periods, while the influence is reversed at other times. This study implies that portfolio managers and investors can discern the volatility patterns of assets in order to enhance their risk-management techniques. For policymakers, comprehending the interdependence of certain asset classes provides valuable knowledge for formulating regulations that might stabilize the financial system and foster economic growth. From a research and academic perspective, this study enhances understanding of the interconnections between different financial asset classes and pricing dynamics in financial markets. Full article

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16 pages, 281 KiB

Open AccessArticle

Impacts of Digital Transformation and Basel III Implementation on the Credit Risk Level of Vietnamese Commercial Banks

by Ngan Bich Nguyen and Hien Duc Nguyen

Int. J. Financial Stud. 2024, 12(3), 91; https://doi.org/10.3390/ijfs12030091 - 13 Sep 2024

Viewed by 1691

Abstract

For a bank-based economy like Vietnam, the commercial banking sector’s conduct greatly influences Vietnamese economic and social prosperity. In Vietnam, net income from credit activities hold the largest portion of the total revenue of Vietnamese commercial banks. Therefore, in the context of Vietnam, [...] Read more.

For a bank-based economy like Vietnam, the commercial banking sector’s conduct greatly influences Vietnamese economic and social prosperity. In Vietnam, net income from credit activities hold the largest portion of the total revenue of Vietnamese commercial banks. Therefore, in the context of Vietnam, credit risk obviously also plays a pivotal important role in the banking sector. Hence, the risk of credit failure can lead to a bank’s collapse and have a profound effect on a country’s societal structure. As seen in the previous literature, there are many macroeconomic and bank-level factors that have commonly affected the level of credit risk; however, these factors may change in the recent development era of the banking industry, especially the new impacts of digital transformation and the transition to full Basel III adoption. The overall aim of this study is to analyze the impacts of digital transformation and Basel III implementation on the credit risk level of Vietnamese commercial banks during the period from 2017 to 2023, with a sample of 21 Vietnamese listed commercial banks. This study employs the pooled OLS, fixed effect model (FEM), and random effect model (REM) methods to reach the finding that investing in technology for the readiness of digital transformation and implementing Basel III could adversely affect credit risk. Based on this finding, the authors give some recommendations for commercial banks to enhance the sustainability, safety, and better management of credit risk. Full article

31 pages, 1085 KiB

Open AccessArticle

Appraising the Role of Strategic Control in Financial Performance: The Mediating Effect of the Resource Allocation Process—The Case of the Ministry of Finance–North Lebanon

by Basma Bchennaty, Muhammad Nauman Khan, Mazen Massoud and Tamima Elhassan

Int. J. Financial Stud. 2024, 12(3), 90; https://doi.org/10.3390/ijfs12030090 - 10 Sep 2024

Viewed by 1286

Abstract

This paper aims to appraise the influence of strategic control tactics on financial performance. The goal is to examine the mediating effect of the resource allocation process on the relationship between financial performance and five strategic control tactics. A quantitative hypothetico-deductive methodology was [...] Read more.

This paper aims to appraise the influence of strategic control tactics on financial performance. The goal is to examine the mediating effect of the resource allocation process on the relationship between financial performance and five strategic control tactics. A quantitative hypothetico-deductive methodology was used in this study. A basic random sample of the Ministry of Finance–North Lebanon’s workforce was used to conduct an electronic questionnaire. A total of 232 valid responses were collected. Two statistical analysis methods, an exploratory and a confirmatory factor analysis, were implemented. The sample adequacy was confirmed by a KMO value higher than 0.7 before instigating the principal component analysis (PCA). The latter kept more than 60% of the initial data while structuring the data. The findings of the KMO and Barlett tests supported the adoption of PCA. The correlation matrix confirmed a statistically significant relationship between resource allocation, financial success, and strategic control techniques. The structural equation model (SEM) validated the linear correlations and statistical significance between the variables. The hypotheses were examined. Results confirmed that the model satisfactorily fits the data. The RMSEA is below the 0.05 threshold. The incremental indices are higher than 0.9. Results confirmed that the resource allocation process mediates the relationship between preventive control, operational control, special alert control, implementation control, and financial performance. Full article

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22 pages, 599 KiB

Open AccessArticle

Deregulating the Volume Limit on Share Repurchases

by Adhiraj Sodhi and Aleksandar Stojanovic

Int. J. Financial Stud. 2024, 12(3), 89; https://doi.org/10.3390/ijfs12030089 - 3 Sep 2024

Viewed by 622

Abstract

We empirically advocate for UK regulators to increase the volume limit of 15% outstanding shares on open market repurchases. Our main framework initially tests the determinants of share repurchases based on their size, Small, Medium and Large. The findings reveal that consistent with [...] Read more.

We empirically advocate for UK regulators to increase the volume limit of 15% outstanding shares on open market repurchases. Our main framework initially tests the determinants of share repurchases based on their size, Small, Medium and Large. The findings reveal that consistent with extant literature, the payout is primarily determined by its capability of distributing excess cash to shareholders and signaling undervaluation. We then check the viability of increasing the volume limit by testing new levels at 2.50% increments, up to 30%. The results indicate that any increase does not broadly change the determinants’ relationship with the payout, rather increased efficiency is realized at every interval, with the 20% and 30% levels being the most favorable. Full article

(This article belongs to the Special Issue Corporate Finance 2nd Edition)

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21 pages, 1576 KiB

Open AccessArticle

Microcredit Pricing Model for Microfinance Institutions under Basel III Banking Regulations

by Patricia Durango-Gutiérrez, Juan Lara-Rubio, Andrés Navarro-Galera and Dionisio Buendía-Carrillo

Int. J. Financial Stud. 2024, 12(3), 88; https://doi.org/10.3390/ijfs12030088 - 3 Sep 2024

Viewed by 1116

Abstract

Purpose. The purpose of this research is to propose a tool for designing a microcredit risk pricing strategy for borrowers of microfinance institutions (MFIs). Design/methodology/approach. Considering the specific characteristics of microcredit borrowers, we first estimate and measure microcredit risk through the default probability, [...] Read more.

Purpose. The purpose of this research is to propose a tool for designing a microcredit risk pricing strategy for borrowers of microfinance institutions (MFIs). Design/methodology/approach. Considering the specific characteristics of microcredit borrowers, we first estimate and measure microcredit risk through the default probability, applying a parametric technique such as logistic regression and a non-parametric technique based on an artificial neural network, looking for the model with the highest predictive power. Secondly, based on the Basel III internal ratings-based (IRB) approach, we use the credit risk measurement for each borrower to design a pricing model that sets microcredit interest rates according to default risk. Findings. The paper demonstrates that the probability of default for each borrower is more accurately adjusted using the artificial neural network. Furthermore, our results suggest that, given a profitability target for the MFI, the microcredit interest rate for clients with a lower level of credit risk should be lower than a standard, fixed rate to achieve the profitability target. Practical implications. This tool allows us, on the one hand, to measure and assess credit risk and minimize default losses in MFIs and, secondly, to promote their competitiveness by reducing interest rates, capital requirements, and credit losses, favoring the financial self-sustainability of these institutions. Social implications. Our findings have the potential to make microfinance institutions fairer and more equitable in their lending practices by providing microcredit with risk-adjusted pricing. Furthermore, our findings can contribute to the design of government policies aimed at promoting the financial and social inclusion of vulnerable people. Originality. The personal characteristics of microcredit clients, mainly reputation and moral solvency, are crucial to the default behavior of microfinance borrowers. These factors should have an impact on the pricing of microcredit. Full article

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19 pages, 481 KiB

Open AccessArticle

Efficiency of Healthcare Financing: Case of European Countries

by Aleksy Kwilinski and Alina Vysochyna

Int. J. Financial Stud. 2024, 12(3), 87; https://doi.org/10.3390/ijfs12030087 - 26 Aug 2024

Viewed by 1476

Abstract

Global turbulence and uncertainty force civil servants and executors to optimise public finance distribution. The COVID-19 pandemic aligned with the necessity of assessing the efficiency of healthcare financing due to its capability in overcoming the negative consequences. The paper analyses the peculiarities of [...] Read more.

Global turbulence and uncertainty force civil servants and executors to optimise public finance distribution. The COVID-19 pandemic aligned with the necessity of assessing the efficiency of healthcare financing due to its capability in overcoming the negative consequences. The paper analyses the peculiarities of healthcare financing in 34 European countries and points out trends and changes in its structure and dynamics. It also realises cluster analysis to reveal models of healthcare financing and their specific features. Panel data regression analysis was used to assess the efficiency of healthcare financing within each cluster by clarifying the relationship between healthcare expenditures and public health outcome—life expectancy. The distributed lag model was also used to test for time lags between financial inflows in healthcare and its outcome. Empirical results highlight key tips for optimising healthcare financing and creating the benchmark model. Full article

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27 pages, 11238 KiB

Open AccessFeature PaperArticle

Breaking the Boundaries in the Digital Age: Open Banking and Tax Evasion

by Ngoc Thang Dang, Stelios Andreadakis, Pamela Nika and Monomita Nandy

Int. J. Financial Stud. 2024, 12(3), 86; https://doi.org/10.3390/ijfs12030086 - 23 Aug 2024

Viewed by 1141

Abstract

In this paper, we examine the relationship between open banking and tax evasion. As the open banking literature is still evolving, we try to systematically analyze the literature on conventional banking and tax evasion and then extend the discussion in the context of [...] Read more.

In this paper, we examine the relationship between open banking and tax evasion. As the open banking literature is still evolving, we try to systematically analyze the literature on conventional banking and tax evasion and then extend the discussion in the context of open banking. The popularity of open baking recently raises a question about its relationship with tax evasion. Digital banking and digital taxation contributed positively to mitigating tax evasion in the context of conventional banking. However, in open banking, the customers can decide to what extent they will share any transaction-related data with their bank, while they can also choose to complete direct transactions with third parties. This creates a new challenge in relation to the mitigation of tax evasion, which is the focus of this paper. Due to lack of granular empirical data, we conduct a systematic literature review and a bibliometric analysis to track the development of the relevant academic debates and identify the arguments that have been presented in relation to this topic. This approach is recognized as well suited for emerging topics in finance research, particularly when data are scarce, as evidenced by studies on COVID-19 and biodiversity. We find that the gaps of the current regulatory framework, at both the national and supranational level, have created challenges and uncertainties at multiple levels. Nonetheless, the findings of the study suggest future research directions and offer valuable guidelines for regulators in utilizing open banking. Full article

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23 pages, 6477 KiB

Open AccessArticle

The Probability of Hospital Bankruptcy: A Stochastic Approach

by Ramalingam Shanmugam, Brad Beauvais, Diane Dolezel, Rohit Pradhan and Zo Ramamonjiarivelo

Int. J. Financial Stud. 2024, 12(3), 85; https://doi.org/10.3390/ijfs12030085 - 23 Aug 2024

Viewed by 723

Abstract

Healthcare leaders are faced with many financial challenges in the contemporary environment, leading to financial distress and notable instances of bankruptcies in recent years. What is not well understood are the specific conditions that may lead to organizational economic failure. Though there are [...] Read more.

Healthcare leaders are faced with many financial challenges in the contemporary environment, leading to financial distress and notable instances of bankruptcies in recent years. What is not well understood are the specific conditions that may lead to organizational economic failure. Though there are various models that predict financial distress, existing regression methods may be inadequate, especially when the finance variables follow a nonnormal frequency pattern. Furthermore, the regression approach encounters difficulties due to multicollinearity. Therefore, an alternate stochastic approach for predicting the probability of hospital bankruptcy is needed. The new method we propose involves several key steps to better assess financial health in hospitals. First, we compute and interpret the relationship between the hospital’s revenues and expenses for bivariate lognormal data. Next, we estimate the risk of bankruptcy due to the mismatch between revenues and expenses. We also determine the likelihood of a hospital’s expenses exceeding the state’s median expenses level. Lastly, we evaluate the hospital’s financial memory level to understand its level of financial stability. We believe that our novel approach to anticipating hospital bankruptcy may be useful for both hospital leaders and policymakers in making informed decisions and proactively managing risks to ensure the sustainability and stability of their institutions. Full article

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23 pages, 363 KiB

Open AccessArticle

The Influence of Women on Boards on the Relationship between Executive and Employee Remuneration

by María L. Gallén and Carlos Peraita

Int. J. Financial Stud. 2024, 12(3), 84; https://doi.org/10.3390/ijfs12030084 - 23 Aug 2024

Viewed by 654

Abstract

The growing presence of women at the top of companies has sparked interest in examining their role in the remuneration gap between senior managers and employees. This article analyses the traditional Chief Executive Officer (CEO)-to-employee pay ratio but includes a new relation, the [...] Read more.

The growing presence of women at the top of companies has sparked interest in examining their role in the remuneration gap between senior managers and employees. This article analyses the traditional Chief Executive Officer (CEO)-to-employee pay ratio but includes a new relation, the senior-management-to-employee pay ratio, and extends the research by including six positions for women in company management: on the board of directors, executive directors, CEOs, proprietary directors, independent directors, and senior managers. The study is based on a sample of 77 listed companies in Spain from 2015 to 2022 and the panel data models have been estimated using the Generalised Method of Moments (GMM). The main findings indicate that the proportion of women in different categories of board and senior management positions has a positive effect on the CEO-to-employee pay ratio, especially in companies with higher market capitalisation. In contrast, the proportion of women in senior management positions has a negative effect on the CEO-to-employee pay ratio in all the samples analysed. Government agencies should prioritise the participation of women in non-board senior management positions in order to at least reduce the pay gap between senior managers and employees. Full article

21 pages, 277 KiB

Open AccessArticle

Corporate Culture, Special Items, and Firm Performance

by S. Thomas Kim and Li Sun

Int. J. Financial Stud. 2024, 12(3), 83; https://doi.org/10.3390/ijfs12030083 - 22 Aug 2024

Viewed by 585

Abstract

This study analyzes the relationship between corporate culture, the likelihood of reporting special items, and firm performance. We find a significant negative relation between corporate culture and special items using more than 55,000 firm-year observations from 6931 U.S. corporations between 2002 and 2021. [...] Read more.

This study analyzes the relationship between corporate culture, the likelihood of reporting special items, and firm performance. We find a significant negative relation between corporate culture and special items using more than 55,000 firm-year observations from 6931 U.S. corporations between 2002 and 2021. The result suggests that firms with strong corporate cultures are less likely to use and report special items. Firms with lower performance mainly drive the negative relation; the pattern indicates that firms with weaker corporate cultures are prone to manage earnings using special items. Full article

20 pages, 320 KiB

Open AccessArticle

Risk of Economic Violence: A New Quantification

by Federica D’Agostino, Giulia Zacchia and Marcella Corsi

Int. J. Financial Stud. 2024, 12(3), 82; https://doi.org/10.3390/ijfs12030082 - 19 Aug 2024

Viewed by 1116

Abstract

This paper defines the first internationally comparable measure of the risk of economic violence to acknowledge its prevalence in different countries and its geographical and gender heterogeneity. Thanks to the availability of micro-data from the OECD/International Network on Financial Education survey, currently used [...] Read more.

This paper defines the first internationally comparable measure of the risk of economic violence to acknowledge its prevalence in different countries and its geographical and gender heterogeneity. Thanks to the availability of micro-data from the OECD/International Network on Financial Education survey, currently used to track financial literacy in different countries, we define a measure of the risk of economic violence (REV) that takes into consideration three macro-areas: (a) the risk of being prevented from acquiring and accumulating financial resources; (b) the risk of being unaware and not having access to personal and/or household financial resources; and (c) the risk of financial dependency. The definition of the new economic violence risk measure (REV) then allows us to verify with real data the presence of women’s greater exposure to the risk of economic violence and the presence of gender differences in the determinants of economic violence risk. Finally, we verify that financial literacy protects individuals from the risk of economic violence, without gender differences. Full article

24 pages, 1589 KiB

Open AccessArticle

The Relationship between Financial Literacy Misestimation and Misplacement from the Perspective of Inverse Differential Information and Stock Market Participation

by Yun-Ho Lee and Weihua Ma

Int. J. Financial Stud. 2024, 12(3), 81; https://doi.org/10.3390/ijfs12030081 - 16 Aug 2024

Viewed by 933

Abstract

This study proposes the inverse differential information theory, which predicts a positive relationship between misestimation and misplacement, two types of overconfidence. The inverse differential information theory contrasts with the existing theory of differential information, which argues for a negative relationship between these two [...] Read more.

This study proposes the inverse differential information theory, which predicts a positive relationship between misestimation and misplacement, two types of overconfidence. The inverse differential information theory contrasts with the existing theory of differential information, which argues for a negative relationship between these two types of overconfidence. This study shows that these differences arise from opposing perspectives on the accuracy with which individuals assess their own abilities or performance compared to others’. The inverse differential information theory posits that people tend to evaluate others more objectively than they do themselves. A positive relationship between misestimation and misplacement predicts that overestimation and overplacement, as well as underestimation and underplacement, tend to occur together. Analysis using financial literacy data from South Korean adults supports the prediction of the inverse differential information theory. When these two types of overconfidence form a positive relationship, they are expected to have systematically a significant impact on human decision-making and behavior. This study empirically demonstrates that the positive relationship between misestimation and misplacement in financial literacy significantly influences individuals’ financial behavior, specifically in the context of stock market participation experience. The inverse differential information theory requires further empirical validation across various domains, not just in the field of behavioral finance, to establish whether the positive interaction between misestimation and misplacement consistently influences human decision-making and behavior. Full article

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15 pages, 3383 KiB

Open AccessArticle

Enhancing Value-at-Risk with Credible Expected Risk Models

by Khreshna Syuhada, Rizka Puspitasari, I Kadek Darma Arnawa, Lailatul Mufaridho, Elonasari Elonasari, Miftahul Jannah and Aniq Rohmawati

Int. J. Financial Stud. 2024, 12(3), 80; https://doi.org/10.3390/ijfs12030080 - 16 Aug 2024

Viewed by 875

Abstract

Accurate risk assessment is crucial for predicting potential financial losses. This paper introduces an innovative approach by employing expected risk models that utilize risk samples to capture comprehensive risk characteristics. The innovation lies in the integration of classical credibility theory with expected risk [...] Read more.

Accurate risk assessment is crucial for predicting potential financial losses. This paper introduces an innovative approach by employing expected risk models that utilize risk samples to capture comprehensive risk characteristics. The innovation lies in the integration of classical credibility theory with expected risk models, enhancing their stability and precision. In this study, two distinct expected risk models were developed, referred to as Model Type I and Model Type II. The Type I model involves independent and identically distributed random samples, while the Type II model incorporates time-varying stochastic processes, including heteroscedastic models like GARCH(p,q). However, these models often exhibit high variability and instability, which can undermine their effectiveness. To mitigate these issues, we applied classical credibility theory, resulting in credible expected risk models. These enhanced models aim to improve the accuracy of Value-at-Risk (VaR) forecasts, a key risk measure defined as the maximum potential loss over a specified period at a given confidence level. The credible expected risk models, referred to as CreVaR, provide more stable and precise VaR forecasts by incorporating credibility adjustments. The effectiveness of these models is evaluated through two complementary approaches: coverage probability, which assesses the accuracy of risk predictions; and scoring functions, which offer a more nuanced evaluation of prediction accuracy by comparing predicted risks with actual observed outcomes. Scoring functions are essential in further assessing the reliability of CreVaR forecasts by quantifying how closely the forecasts align with the actual data, thereby providing a more comprehensive measure of predictive performance. Our findings demonstrate that the CreVaR risk measure delivers more reliable and stable risk forecasts compared to conventional methods. This research contributes to quantitative risk management by offering a robust approach to financial risk prediction, thereby supporting better decision making for companies and financial institutions. Full article

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16 pages, 611 KiB

Open AccessArticle

The Determinants of Entrepreneurial Success: An Application to Micro-Enterprises Financed by Microcredit in France

by Serge Valant Gandja and Marinette Kamaha

Int. J. Financial Stud. 2024, 12(3), 79; https://doi.org/10.3390/ijfs12030079 - 12 Aug 2024

Viewed by 916

Abstract

Micro-enterprises are at the heart of industrialized countries’ political concerns, particularly in Europe. If the latter are the subject of such special attention, it is because of their important role in terms of economic growth. This study evaluated the factors of business success [...] Read more.

Micro-enterprises are at the heart of industrialized countries’ political concerns, particularly in Europe. If the latter are the subject of such special attention, it is because of their important role in terms of economic growth. This study evaluated the factors of business success as a multidimensional and multifaceted construct that integrates three aspects: entrepreneurial continuity, economic success, and entrepreneur satisfaction. Together, we included these three aspects in an econometric analysis using an ordered Probit model. We propose, from a new angle, an understanding of the determinants of the sustainable performance of micro-enterprises, in this case, those financed by microcredit in France. Our results show that total success seems to be explained in particular by elements from financial and human capital, motivation, and entrepreneurial support. Full article

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28 pages, 938 KiB

Open AccessArticle

Unpacking the Complexity of Corporate Sustainability: Green Innovation’s Mediating Role in Risk Management and Performance

by Munther Al-Nimer

Int. J. Financial Stud. 2024, 12(3), 78; https://doi.org/10.3390/ijfs12030078 - 11 Aug 2024

Viewed by 1032

Abstract

This study investigates the relationships among corporate sustainability development (CSD), enterprise risk management performance (ERMP), and green innovation (GI) in the Jordanian manufacturing firms. The empirical data of 97 companies listed on the Amman Stock Exchange were gathered in a time span of [...] Read more.

This study investigates the relationships among corporate sustainability development (CSD), enterprise risk management performance (ERMP), and green innovation (GI) in the Jordanian manufacturing firms. The empirical data of 97 companies listed on the Amman Stock Exchange were gathered in a time span of three months (i.e., January 2024 to March 2024). A structural equation modeling was employed to examine these complex dynamics. The findings reveal that CSD is negatively associated with both ERMP and enterprise sustainable performance in the short term, challenging conventional wisdom. However, CSD strongly promotes GI, which in turn positively influences ERMP while negatively affecting short-term performance. GI acts as a significant mediator, positively mediating the CSD–ERMP relationship and negatively mediating the CSD–performance link. These results extend the sustainability paradox concept to emerging economies and highlight the critical role of GI in balancing sustainability initiatives with risk management and performance outcomes. The study suggests that firms may experience initial disruptions when implementing sustainability practices, but these initiatives can drive innovation within organizations. Based on these findings, this study recommends that managers in emerging economies adopt a long-term perspective when implementing sustainability initiatives and develop more flexible risk management systems. Policymakers should consider supportive frameworks to help firms navigate the tensions between sustainability, innovation, and short-term performance. Future research should employ longitudinal designs to capture the dynamic nature of these relationships and explore potential moderating factors such as firm size or industry-specific characteristics. Full article

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24 pages, 1001 KiB

Open AccessArticle

Optimal Market-Neutral Multivariate Pair Trading on the Cryptocurrency Platform

by Hongshen Yang and Avinash Malik

Int. J. Financial Stud. 2024, 12(3), 77; https://doi.org/10.3390/ijfs12030077 - 9 Aug 2024

Viewed by 830

Abstract

This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a “bucket” of fiat currencies anchored to cryptocurrency for monitoring and exploiting trading opportunities simultaneously. To address quantitative conflicts [...] Read more.

This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a “bucket” of fiat currencies anchored to cryptocurrency for monitoring and exploiting trading opportunities simultaneously. To address quantitative conflicts from multiple trading signals, a novel bi-objective convex optimization formulation is designed to balance investor preferences between profitability and risk tolerance. We understand that cryptocurrencies carry significant financial risks. Therefore this process includes tunable parameters such as volatility penalties and action thresholds. In experiments conducted in the cryptocurrency market from 2020 to 2022, which encompassed a vigorous bull run followed by a bear run, the OTT achieved an annualized profit of 15.49%. Additionally, supplementary experiments detailed in the appendix extend the applicability of OTT to other major cryptocurrencies in the post-COVID period, validating the model’s robustness and effectiveness in various market conditions. The arbitrage operation offers a new perspective on trading, without requiring external shorting or holding the intermediate during the arbitrage period. As a note of caution, this study acknowledges the high-risk nature of cryptocurrency investments, which can be subject to significant volatility and potential loss. Full article

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29 pages, 687 KiB

Open AccessArticle

Dealing with “Do Not Know” Responses in the Assessment of Financial Literacy: The Use of a Sample Selection Model

by Anna Conte, Paola Paiardini and Jacopo Temperini

Int. J. Financial Stud. 2024, 12(3), 76; https://doi.org/10.3390/ijfs12030076 - 6 Aug 2024

Viewed by 831

Abstract

Financial literacy assessments typically rely on sample surveys containing sets of questions designed to gauge respondents’ comprehension of fundamental financial concepts necessary for making informed decisions. The answers to such questions, either categorical or continuous in nature, generally include a “Do not know” [...] Read more.

Financial literacy assessments typically rely on sample surveys containing sets of questions designed to gauge respondents’ comprehension of fundamental financial concepts necessary for making informed decisions. The answers to such questions, either categorical or continuous in nature, generally include a “Do not know” option. If those who choose the “Do not know” option are not a random sample of the population but exhibit peculiar characteristics, treating these observations as either incorrect responses or as missing data may distort the results regarding the determinants of financial literacy. A noteworthy case lies in the observation from survey studies that women tend to choose the “Do not know” option more frequently than men. In similar cases, treating the “Do not know” responses as incorrect answers increases the gender gap in financial literacy while treating them as missing values reduces the gap. We propose using a model with sample selection, which enables us to disentangle the inclination to answer “Do not know” from actual responses. By applying this model to a representative sample of the UK population, we do not find any systematic gender gap in financial knowledge. The study’s novel treatment of “Do not know” responses contributes valuable insights to the broader discourse on the determinants of financial literacy and the related gender-based differences. Full article

(This article belongs to the Special Issue Advance in the Theory and Applications of Financial Literacy)

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23 pages, 2263 KiB

Open AccessArticle

Analyzing Overnight Momentum Transmission: The Impact of Oil Price Volatility on Global Financial Markets

by Huthaifa Sameeh Alqaralleh

Int. J. Financial Stud. 2024, 12(3), 75; https://doi.org/10.3390/ijfs12030075 - 30 Jul 2024

Cited by 1 | Viewed by 1052

Abstract

Fluctuations in oil prices substantially impact both the real economy and international financial markets. Despite extensive studies on oil market dynamics and overnight momentum, a comprehensive understanding of the link between oil price changes and energy market momentum, as well as their broader [...] Read more.

Fluctuations in oil prices substantially impact both the real economy and international financial markets. Despite extensive studies on oil market dynamics and overnight momentum, a comprehensive understanding of the link between oil price changes and energy market momentum, as well as their broader influence on global financial markets, remains elusive. This study delves into the intricate mechanics of overnight momentum transmission within financial markets, focusing on its origin in oil price fluctuations and its overarching impact on market dynamics. Employing the quantile VAR method, we analyze daily market data from 3 January 2014 to 17 January 2024. This study emphasizes the significance of overnight momentum on the transmission of volatility, particularly in the tails of the distribution, and highlights the necessity for efficient strategies to govern financial stability. The shale oil revolution, COVID-19, the Russia–Ukraine war, and the Israel–Hamas conflict have significantly impacted the interconnectivity of financial markets on a global scale. It is crucial for policymakers to give priority to the monitoring of the energy market to reduce risks and improve the resilience of the system. Full article

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11 pages, 500 KiB

Open AccessArticle

Housing Price-Vacancy Dynamics—An Empirical Study of the Hong Kong Housing Market

by Chung Yim Yiu and Thomas Murray

Int. J. Financial Stud. 2024, 12(3), 74; https://doi.org/10.3390/ijfs12030074 - 29 Jul 2024

Viewed by 961

Abstract

This study uses time series regression models and dynamic panel models of five-class housing to investigate the dynamics of the housing price-vacancy relationship in Hong Kong, offering insights distinct from previous cross-sectional analyses that take new housing completions as a supply proxy, without [...] Read more.

This study uses time series regression models and dynamic panel models of five-class housing to investigate the dynamics of the housing price-vacancy relationship in Hong Kong, offering insights distinct from previous cross-sectional analyses that take new housing completions as a supply proxy, without considering vacant homes as a source of housing supply. Two major contributions emerge: first, the results support the hypothesis that housing vacancies exert a negative impact on housing prices, holding other factors constant. Second, new builds supply is found to have a positive effect on housing prices, which is in line with many previous studies, but it contradicts the prediction. The results challenge the use of land supply or new housing completions as the proxy of housing supply and put forward a novel suggestion of including vacant homes in the housing price analysis. Advanced approaches to collecting housing vacancy data are also discussed. These findings have significant implications for policymakers, urban planners, and real estate investors, providing valuable insights for crafting targeted interventions and informing investment decisions. This is one of the first time series and dynamic panel analyses of housing vacancy’s effect on prices. Full article

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19 pages, 386 KiB

Open AccessArticle

The Influence of Social Responsibility Practices on Tax Planning: An Empirical Study for Companies Listed on Euronext Lisbon

by Pedro Ferreira Silva, Cristina Sá and Teresa Eugénio

Int. J. Financial Stud. 2024, 12(3), 73; https://doi.org/10.3390/ijfs12030073 - 29 Jul 2024

Viewed by 859

Abstract

This paper analyzes the influence of social responsibility practices on the development of tax planning activities in companies listed on Euronext Lisbon. Although scientific research into social responsibility and tax planning is not new, scientific studies into the relationship between these two themes [...] Read more.

This paper analyzes the influence of social responsibility practices on the development of tax planning activities in companies listed on Euronext Lisbon. Although scientific research into social responsibility and tax planning is not new, scientific studies into the relationship between these two themes is a developing area of research that still raises many questions. This study was carried out on a sample of 30 companies listed on Euronext Lisbon, using data for the 2018 and 2019 periods. The hypotheses were formulated based on a literature review on this subject. A multiple linear regression model was developed to validate the hypotheses. The results show that the social, corporate governance, environmental, or economic components of corporate social responsibility do not influence tax planning. However, the results show that company size negatively impacts tax planning, i.e., larger companies have lower effective tax rates. In the sample studied, larger companies implemented more tax planning strategies. In this way, this study can complement the understanding of the relationship between social responsibility practices and tax planning activities in Portugal and internationally. Full article

(This article belongs to the Special Issue Sustainable Corporate Governance and Financial Performance)

20 pages, 549 KiB

Open AccessArticle

Exploring the Influence of Earnings Management on the Value Relevance of Financial Statements: Evidence from the Bucharest Stock Exchange

by Georgiana Burlacu, Ioan-Bogdan Robu and Ionela Munteanu

Int. J. Financial Stud. 2024, 12(3), 72; https://doi.org/10.3390/ijfs12030072 - 26 Jul 2024

Viewed by 1660

Abstract

Although financial statements are extremely important to investors in decision-making processes, their reliability can be affected by earnings management (EM) practices, which involve manipulating financial reports in order to achieve managerial benefits. This study explores the relationship between earnings management and firm valuation, [...] Read more.

Although financial statements are extremely important to investors in decision-making processes, their reliability can be affected by earnings management (EM) practices, which involve manipulating financial reports in order to achieve managerial benefits. This study explores the relationship between earnings management and firm valuation, based on accounting information’s predictive value, specifically investigating how EM influences the value relevance (VR) of earnings on share price. The research focuses on a sample of audited companies listed on the Bucharest Stock Exchange (BSE) between 2019 and 2021, comprising 62 entities. Using regression analysis, we explored the importance of accounting information for investors following Ohlson’s research and examined the relationship between EM and VR based on Jones’s model. The findings indicate that earnings significantly impact stock prices, highlighting their value relevance in the Romanian stock market. However, the practice of earnings management reduces the value relevance of earnings because it decreases the reliability of the accounting information. The main contribution of this analysis is to provide a fresh perspective on earnings management (EM) within the BVB framework by highlighting its pivotal role in shaping the motivation and behavior of corporate managers. Full article

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19 pages, 1544 KiB

Open AccessArticle

Economic Policy Uncertainty and Commercial Property Performance: An In-Depth Analysis of Rents and Capital Values

by Albert Agbeko Ahiadu, Rotimi Boluwatife Abidoye and Tak Wing Yiu

Int. J. Financial Stud. 2024, 12(3), 71; https://doi.org/10.3390/ijfs12030071 - 22 Jul 2024

Cited by 1 | Viewed by 990

Abstract

Economic uncertainty has steadily increased in response to a series of unforeseen shocks, notably the Global Financial Crisis, Brexit, COVID-19, and the Russia–Ukraine war. This study examined the impact of economic uncertainty on rents and capital values in Australia’s office, retail, and industrial [...] Read more.

Economic uncertainty has steadily increased in response to a series of unforeseen shocks, notably the Global Financial Crisis, Brexit, COVID-19, and the Russia–Ukraine war. This study examined the impact of economic uncertainty on rents and capital values in Australia’s office, retail, and industrial property sectors. The reactions of these performance indicators to national uncertainty shocks were assessed through reduced-form vector autoregressive (VAR) models, using quarterly data from 2001Q1 to 2022Q3. Overall, there is an inverse relationship between uncertainty and commercial property performance, with notable variations in magnitude and persistence across the different subsectors. Rents are more sensitive to external shocks across all three subsectors, highlighting their role as signals of short-term performance. Following one standard deviation shock in uncertainty, rents steadily declined for approximately three years in the office and retail subsectors. Industrial rents, however, exhibited muted reactions and recovered quicker, typically within five quarters. This resilience to external shocks displayed by the industrial subsector positions it as a compelling option for defensive investment strategies and portfolio diversification. Capital values are less reactive than rents, showing minimal responses to uncertainty shocks and little long-term persistence. Full article

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19 pages, 3494 KiB

Open AccessArticle

China’s Stock Market under COVID-19: From the Perspective of Behavioral Finance

by Kaizheng Li and Xiaowen Jiang

Int. J. Financial Stud. 2024, 12(3), 70; https://doi.org/10.3390/ijfs12030070 - 19 Jul 2024

Viewed by 1136

Abstract

As a colossal developing economy, irrational, and inefficient trades broadly exist in China’s stock market and are intensified by the once-in-a-century COVID-19 pandemic. This atypical but prominent event enhances systemic risk and requires a more effective analysis tool that adapts to the investors’ [...] Read more.

As a colossal developing economy, irrational, and inefficient trades broadly exist in China’s stock market and are intensified by the once-in-a-century COVID-19 pandemic. This atypical but prominent event enhances systemic risk and requires a more effective analysis tool that adapts to the investors’ sentiment and behavior. Based on the behavioral asset pricing model, this paper verifies the existence of noise traders in China’s stock market, measures the intensity of the noise with the NTR indicator, and examines the market noise with IANM. Furthermore, the mechanism of how COVID-19 influences the market noise through investors’ behaviors is analyzed with the event study method. The findings show that, based on 92 Chinese companies, the market noise significantly exists, and the noise is associated with psychological biases including over-confidence, herding effects and regret aversion. These biases are affected to varying degrees by COVID-19-related events, leading to notable implications for market stability and investor behavior during crises. Our study provides critical insights for policymakers and investors on managing market risks and understanding behavioral impacts during unprecedented events. Full article

(This article belongs to the Special Issue Risks and Uncertainties in Financial Markets)

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14 pages, 1037 KiB

Open AccessArticle

Normal Asset Allocations and Their Statistical Properties

by Luca Ghezzi

Int. J. Financial Stud. 2024, 12(3), 69; https://doi.org/10.3390/ijfs12030069 - 12 Jul 2024

Viewed by 693

Abstract

This study focuses on efficient asset allocations that properly include T-bills, T-bonds, and the S&P 500 stock index. It checks that their annual real rates of linear return are both normal and almost lognormal. It reexamines how efficient portfolios based on the rates [...] Read more.

This study focuses on efficient asset allocations that properly include T-bills, T-bonds, and the S&P 500 stock index. It checks that their annual real rates of linear return are both normal and almost lognormal. It reexamines how efficient portfolios based on the rates of linear return may turn into efficient portfolios based on the rates of logarithmic return. It finds that each efficient asset allocation has the lowest possible standard deviation as well as the highest possible arithmetic and geometric means. It eventually reconsiders the relationship between the confidence interval of a geometric mean and an expected long-run capital accumulation. As a consequence, it bridges a gap in the scientific literature by enabling financial advisors to trade off the mean rate of return on a portfolio more rigorously against the value at risk. Full article

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45 pages, 528 KiB

Open AccessArticle

Corporate Social Responsibility in Canadian Family Businesses: A Socioemotional Wealth Perspective

by Imen Latrous, Jihene Kchaou, Myriam Ertz and Yosra Mnif

Int. J. Financial Stud. 2024, 12(3), 68; https://doi.org/10.3390/ijfs12030068 - 12 Jul 2024

Viewed by 1809

Abstract

After having gained prominence in the late 20th century, corporate social responsibility (CSR) has emerged as a critical business aspect, adopted widely across the corporate landscape. Although family firms play a significant global role, research on their relationship with CSR performance remains sparse [...] Read more.

After having gained prominence in the late 20th century, corporate social responsibility (CSR) has emerged as a critical business aspect, adopted widely across the corporate landscape. Although family firms play a significant global role, research on their relationship with CSR performance remains sparse and inconclusive. This paper seeks to bridge this gap by employing the primary classification of family firms, the socioemotional wealth perspective, and its FIBER model to examine their influence on CSR performance. The focus is on Canadian public companies listed on the S&P/TSX Composite Index from 2014 to 2022. Utilizing the NBC Canadian Family Index, the findings suggest that family firms exhibit superior CSR performance compared to their non-family counterparts. Further analyses indicate that family firms with greater control and influence by family members, those named after the family, those with strong emotional ties, and first-generation family firms tend to have enhanced CSR performance. By developing a socioemotional wealth score through FIBER dimensions to classify family firms, this study underscores the association of family firms with higher CSR performance, validating the robustness of the results. Full article

(This article belongs to the Collection Corporate Social Responsibility in Finance)

33 pages, 27625 KiB

Open AccessArticle

Assessing the Resilience of Islamic Stocks in BRIC Countries: Analyzing Coherence and Cointegration with S&P 500 Options Implied Volatility Smirk during the Global Financial Crisis

by Ariful Hoque, Tanvir Bhuiyan and Thi Le

Int. J. Financial Stud. 2024, 12(3), 67; https://doi.org/10.3390/ijfs12030067 - 10 Jul 2024

Viewed by 907

Abstract

Challenging the perceived immunity of Islamic stocks to the global financial crisis, this research investigates whether there was any coherence and long-run cointegration between Islamic stocks of BRIC countries and S&P 500 options implied volatility smirk (IVS) in BRIC countries during the global [...] Read more.

Challenging the perceived immunity of Islamic stocks to the global financial crisis, this research investigates whether there was any coherence and long-run cointegration between Islamic stocks of BRIC countries and S&P 500 options implied volatility smirk (IVS) in BRIC countries during the global financial crisis (GFC). Employing Engle–Granger and Johansen’s cointegration tests along with wavelet coherence analysis, this study reveals significant long-run cointegration and both short-term and long-term wavelet coherence between IVS and Islamic stock returns (ISRs). Since the S&P 500 options IVS is a reliable indicator of GFC in the context of the conventional stock market, the cointegration and coherence between ISRs and IVS indicate the susceptibility of ISRs to market contagion during the GFC. These findings challenge the notion of Islamic stocks as a safe haven during financial crises, showing their susceptibility to market downturns similar to conventional stocks. Full article

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23 pages, 315 KiB

Open AccessArticle

Corporate Social Responsibility, Carbon Information Disclosure, and Enterprise Value: A Study of Listed Companies in China’s Highly Polluting Industries

by Feng Shi and Yuan Wang

Int. J. Financial Stud. 2024, 12(3), 66; https://doi.org/10.3390/ijfs12030066 - 3 Jul 2024

Viewed by 1177

Abstract

In 2022, China actively carried out economic transformation and sought high-quality development. To date, enhancing enterprise value is still one of the top priorities for enterprises. Enterprises should take various measures to continuously enhance their value in order to strive for their survival [...] Read more.

In 2022, China actively carried out economic transformation and sought high-quality development. To date, enhancing enterprise value is still one of the top priorities for enterprises. Enterprises should take various measures to continuously enhance their value in order to strive for their survival and development. The fulfillment of social responsibilities not only brings benefits to all stakeholders, but also establishes a good corporate image in front of the public and can increase enterprise value. At the same time, in the context of “carbon peaking and carbon neutrality”, carbon information disclosure has an important impact on enterprises and their stakeholders. Taking the data of listed companies within China’s Shanghai and Shenzhen A-share highly polluting industries from 2018 to 2022 as samples, this paper studies the relationship between the level of social responsibility fulfillment, carbon information disclosure, and enterprise value, and makes an empirical analysis. This research finds that social responsibility has a significant positive impact on enterprise value; carbon information disclosure has a significant positive impact on enterprise value; and carbon information disclosure plays a significant positive regulating role in the relationship between social responsibility and enterprise value. Finally, according to the research results, this paper puts forward relevant suggestions from two perspectives: enterprise and government. Full article

(This article belongs to the Special Issue Sustainable Investing and Financial Services)

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Int. J. Financial Stud., Volume 12, Issue 3 (September 2024) – 38 articles

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