Pub Date : 2023-04-27DOI: 10.1080/1351847x.2023.2199938
H. Le, Tung Nguyen, A. Gregoriou, J. Healy
{"title":"Natural disasters and corporate innovation","authors":"H. Le, Tung Nguyen, A. Gregoriou, J. Healy","doi":"10.1080/1351847x.2023.2199938","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2199938","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"208 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75076174","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-04-20DOI: 10.1080/1351847x.2023.2201471
Jerome Monne, J. Rutterford, D. Sotiropoulos
{"title":"Risk taking in the context of financial advice: does gender interaction matter?","authors":"Jerome Monne, J. Rutterford, D. Sotiropoulos","doi":"10.1080/1351847x.2023.2201471","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2201471","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89943789","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-04-20DOI: 10.1080/1351847x.2023.2202821
Shiyu Song, Xingchun Wang, Xiaowen Zhang
{"title":"Valuation of spread options under correlated skew Brownian motions","authors":"Shiyu Song, Xingchun Wang, Xiaowen Zhang","doi":"10.1080/1351847x.2023.2202821","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2202821","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"247 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76016767","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-03-27DOI: 10.1080/1351847x.2023.2189524
A. Alimov
This paper examines how variation in the supply of government debt affects corporate acquisition activity. Using data from 50 countries from 1991 to 2017, the paper finds that government debt issuance is strongly negatively associated with acquisition activity at the firm and aggregate levels. In response to increases in government borrowing, firms appear to make better quality deals. Importantly, these effects are stronger for cash-financed deals and for more creditworthy firms whose debt is closer substitute for government bonds. Collectively, these findings suggest that rising government debt leads to “real crowding out” by affecting firm ability to make large investments.
{"title":"The impact of government borrowing on corporate acquisitions: international evidence","authors":"A. Alimov","doi":"10.1080/1351847x.2023.2189524","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2189524","url":null,"abstract":"This paper examines how variation in the supply of government debt affects corporate acquisition activity. Using data from 50 countries from 1991 to 2017, the paper finds that government debt issuance is strongly negatively associated with acquisition activity at the firm and aggregate levels. In response to increases in government borrowing, firms appear to make better quality deals. Importantly, these effects are stronger for cash-financed deals and for more creditworthy firms whose debt is closer substitute for government bonds. Collectively, these findings suggest that rising government debt leads to “real crowding out” by affecting firm ability to make large investments.","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85135432","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-03-22DOI: 10.1080/1351847X.2023.2190464
Wenna Lu, L. Copeland, Yongdeng Xu
Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess returns from the currency carry trade. We show that the importance of volatility depends on whether the currency markets are unexpectedly volatile. Volatility innovations during relatively tranquil periods are largely unrewarded in the market, whereas during the unexpected volatile period, this risk has a substantial impact on currency returns. The empirical results show that the two time-varying factor models fit the data better and generate a smaller pricing error than the linear model, while the Markov-switching model outperforms the threshold factor models not only by generating lower pricing errors but also distinguishes two regimes endogenously and without any predetermined state variables.
{"title":"The pricing of unexpected volatility in the currency market","authors":"Wenna Lu, L. Copeland, Yongdeng Xu","doi":"10.1080/1351847X.2023.2190464","DOIUrl":"https://doi.org/10.1080/1351847X.2023.2190464","url":null,"abstract":"Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess returns from the currency carry trade. We show that the importance of volatility depends on whether the currency markets are unexpectedly volatile. Volatility innovations during relatively tranquil periods are largely unrewarded in the market, whereas during the unexpected volatile period, this risk has a substantial impact on currency returns. The empirical results show that the two time-varying factor models fit the data better and generate a smaller pricing error than the linear model, while the Markov-switching model outperforms the threshold factor models not only by generating lower pricing errors but also distinguishes two regimes endogenously and without any predetermined state variables.","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"65 1","pages":"2032 - 2046"},"PeriodicalIF":0.0,"publicationDate":"2023-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80347641","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-03-21DOI: 10.1080/1351847x.2023.2189020
Antonio Figueiredo, A. Parhizgari, Brice Dupoyet
{"title":"The information content of currency option-implied volatilities: implications for ex-ante forecasts of global equity correlations","authors":"Antonio Figueiredo, A. Parhizgari, Brice Dupoyet","doi":"10.1080/1351847x.2023.2189020","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2189020","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84497770","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-03-04DOI: 10.1080/1351847X.2022.2053180
L. O. González, Pablo Durán Santomil, R. Hoyt
This paper analyzes whether the degree of Enterprise Risk Management (ERM) implementation affects the performance obtained by insurance companies in the context of Solvency II. We have constructed a composite ERM index of 76 variables based on the responses from the chief risk officers (CROs) of 44 insurance entities in one of the EU’s largest insurance markets, namely, Spain. The results show that the higher the degree and quality of ERM implementation there is, the better the return on equity (ROE) and risk-adjusted return on assets (ROAadj) there is. We find that risk governance makes performance standards higher and more stable. Finally, our results suggest that models that run on Solvency II penalize small companies, meaning that improvements in management can offset the costs involved in its implementation.
{"title":"The impact of ERM on insurer performance under the Solvency II regulatory framework","authors":"L. O. González, Pablo Durán Santomil, R. Hoyt","doi":"10.1080/1351847X.2022.2053180","DOIUrl":"https://doi.org/10.1080/1351847X.2022.2053180","url":null,"abstract":"This paper analyzes whether the degree of Enterprise Risk Management (ERM) implementation affects the performance obtained by insurance companies in the context of Solvency II. We have constructed a composite ERM index of 76 variables based on the responses from the chief risk officers (CROs) of 44 insurance entities in one of the EU’s largest insurance markets, namely, Spain. The results show that the higher the degree and quality of ERM implementation there is, the better the return on equity (ROE) and risk-adjusted return on assets (ROAadj) there is. We find that risk governance makes performance standards higher and more stable. Finally, our results suggest that models that run on Solvency II penalize small companies, meaning that improvements in management can offset the costs involved in its implementation.","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"455 1","pages":"419 - 443"},"PeriodicalIF":0.0,"publicationDate":"2023-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82946123","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-03-01DOI: 10.1080/1351847x.2023.2179414
K. Glover, P. Johnson, G. Evatt, Mingliang Cheng
{"title":"Capital ideas: optimal capital accumulation strategies for a bank and its regulator","authors":"K. Glover, P. Johnson, G. Evatt, Mingliang Cheng","doi":"10.1080/1351847x.2023.2179414","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2179414","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"65 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89070418","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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