We analyze the relationship between the negative tone in news releases issued by the WHO and industry returns during the Covid-19 pandemic. We construct our news tone measure as the ratio of negative words to the total number of words present in news releases of WHO. The news tone shows to be significantly associated with returns for the majority of industries. Bad news announced by the WHO translates into good news for consumer nondurables, telecommunications, and healthcare sectors. Negative tone in news releases of WHO is on average bad news for consumer durables, manufacturing, energy, and other industries. Our findings suggest that the news tone-return relation varies significantly throughout our Covid-19 sample.
{"title":"RELATION BETWEEN NEGATIVE TONE IN NEWS RELEASES OF WHO AND INDUSTRY RETURNS DURING THE COVID-19 PANDEMIC","authors":"Denada Ibrushi, Helmi Jedidi","doi":"10.24135/afl.v10i.442","DOIUrl":"https://doi.org/10.24135/afl.v10i.442","url":null,"abstract":"We analyze the relationship between the negative tone in news releases issued by the WHO and industry returns during the Covid-19 pandemic. We construct our news tone measure as the ratio of negative words to the total number of words present in news releases of WHO. The news tone shows to be significantly associated with returns for the majority of industries. Bad news announced by the WHO translates into good news for consumer nondurables, telecommunications, and healthcare sectors. Negative tone in news releases of WHO is on average bad news for consumer durables, manufacturing, energy, and other industries. Our findings suggest that the news tone-return relation varies significantly throughout our Covid-19 sample. ","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48407408","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}
Covid-19 has adversely affected the human race. With human race confined to their houses, the level of consumption has gone down and it has significant negative impact on the cash flows of the existing businesses. In this study, using different scenarios and stress level, we try to predict the impact on businesses cash flows and establish the role of corporate cash holdings in avoiding illiquidity of businesses.
{"title":"COVID-19 IS DEADLY! LONG LIVE THE KING, CORPORATE CASH HOLDINGS!","authors":"Akanksha Saxena, Ranajee, Ms Saumita Roy","doi":"10.24135/afl.v10i.376","DOIUrl":"https://doi.org/10.24135/afl.v10i.376","url":null,"abstract":"Covid-19 has adversely affected the human race. With human race confined to their houses, the level of consumption has gone down and it has significant negative impact on the cash flows of the existing businesses. In this study, using different scenarios and stress level, we try to predict the impact on businesses cash flows and establish the role of corporate cash holdings in avoiding illiquidity of businesses.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43533394","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}
This study examines the relationship between investor attention and herding effects in the cryptocurrency market by employing the vector autoregression and quantile regression models. Furthermore, we examine whether the COVID-19 pandemic affected herding behaviour in cryptocurrencies. Using the daily closing price and Google search volume of the five leading cryptocurrencies, the paper finds that herding in the cryptocurrency market decreases with an increase in investor attention for the overall sample. The results for the COVID-19 period indicate that the impact of investor attention on the herding effect decreases due to increased attention to the pandemic. This study is one of the initial attempts to examine the impact of investor attention on herding in cryptocurrencies.
{"title":"INVESTOR ATTENTION AND HERDING IN THE CRYPTOCURRENCY MARKET DURING THE COVID-19 PANDEMIC","authors":"H. Bashir, Dilip Kumar, K Shiljas","doi":"10.24135/afl.v10i.448","DOIUrl":"https://doi.org/10.24135/afl.v10i.448","url":null,"abstract":"This study examines the relationship between investor attention and herding effects in the cryptocurrency market by employing the vector autoregression and quantile regression models. Furthermore, we examine whether the COVID-19 pandemic affected herding behaviour in cryptocurrencies. Using the daily closing price and Google search volume of the five leading cryptocurrencies, the paper finds that herding in the cryptocurrency market decreases with an increase in investor attention for the overall sample. The results for the COVID-19 period indicate that the impact of investor attention on the herding effect decreases due to increased attention to the pandemic. This study is one of the initial attempts to examine the impact of investor attention on herding in cryptocurrencies.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47049846","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}
This study examines how Bitcoin’s trading characteristics react to the COVID-19 pandemic, using detailed futures trading data from the Chicago Mercantile Exchange. The results show that volume-weighted Bitcoin futures return responds positively to the spikes of public interest. Meanwhile, the surges of pandemic information do not harm market quality. Volume, bid-ask spread, and trading frequency remain stable, indicating that the positive price reaction is not a result of a few small uninformed trades. Bitcoin's conditional beta on the S&P 500 index drops to near zero, while the conditional beta on gold more than doubles. These results indicate that traders have been using Bitcoin as a safe-haven asset after the pandemic outbreak.
{"title":"IS BITCOIN IMMUNE TO THE COVID-19 PANDEMIC?","authors":"S. T. Kim, S. Orlova","doi":"10.24135/afl.v10i.396","DOIUrl":"https://doi.org/10.24135/afl.v10i.396","url":null,"abstract":"This study examines how Bitcoin’s trading characteristics react to the COVID-19 pandemic, using detailed futures trading data from the Chicago Mercantile Exchange. The results show that volume-weighted Bitcoin futures return responds positively to the spikes of public interest. Meanwhile, the surges of pandemic information do not harm market quality. Volume, bid-ask spread, and trading frequency remain stable, indicating that the positive price reaction is not a result of a few small uninformed trades. Bitcoin's conditional beta on the S&P 500 index drops to near zero, while the conditional beta on gold more than doubles. These results indicate that traders have been using Bitcoin as a safe-haven asset after the pandemic outbreak.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45760318","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}
Richard Deaves, M. Schröder, Adam W. Stivers, Ming-yan Tsang
The perception of market efficiency is quite different from the reality of market efficiency. We show using a large survey of German market forecasters that few respondents consistently believe that the stock market is currently efficient and will remain so. Past volatility tends to erode the view that the market is efficient and strengthen the belief that the market is inefficient.
{"title":"DO ECONOMIC FORECASTERS BELIEVE THE STOCK MARKET IS EFFICIENT? EVIDENCE FROM GERMANY","authors":"Richard Deaves, M. Schröder, Adam W. Stivers, Ming-yan Tsang","doi":"10.24135/AFL.V10I.432","DOIUrl":"https://doi.org/10.24135/AFL.V10I.432","url":null,"abstract":"The perception of market efficiency is quite different from the reality of market efficiency. We show using a large survey of German market forecasters that few respondents consistently believe that the stock market is currently efficient and will remain so. Past volatility tends to erode the view that the market is efficient and strengthen the belief that the market is inefficient. ","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46282534","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}
The coronavirus pandemic is a health and economic crisis which has placed an immense strain on the world’s financial system. Hence, amidst the (still ongoing) Covid-19 pandemic, the objective of this work is to investigate the role of gold as as a hedge or safe haven with the use of exchange traded funds. The present work employs the implied volatility index of gold share options (GVZ), the net asset value of the price per share of the US Oil Fund options (USO) and the value of the Currency Share Euro Trust (FXE). The statistical tool utilized is the quantile regressions methodology. Data are daily observations from June 2008 to December 2018. The empirical results reveal that gold's implied volatility decreases significantly (or it is not statistically different than zero), under changes in the average returns and/or under extreme market declines in FXE and USO. According to the aforementioned findings, gold could be an investment vehicle to serve as a hedge and or a safe haven asset. The present study is the first one to employ quantile regressions (QR) along with gold's implied volatility and the prices of exchange traded funds (ETFs) in order to investigate gold's hedge and/or safe haven properties.
{"title":"REVISITING GOLD'S SAFE HAVEN STATUS WITH THE UTILIZATION OF THE INDEX OF IMPLIED VOLATILITY AND VALUES OF EXCHANGE TRADED FUNDS","authors":"Dimitrios K. Panagiotou","doi":"10.24135/AFL.V10I.412","DOIUrl":"https://doi.org/10.24135/AFL.V10I.412","url":null,"abstract":"The coronavirus pandemic is a health and economic crisis which has placed an immense strain on the world’s financial system. Hence, amidst the (still ongoing) Covid-19 pandemic, the objective of this work is to investigate the role of gold as as a hedge or safe haven with the use of exchange traded funds. The present work employs the implied volatility index of gold share options (GVZ), the net asset value of the price per share of the US Oil Fund options (USO) and the value of the Currency Share Euro Trust (FXE). The statistical tool utilized is the quantile regressions methodology. Data are daily observations from June 2008 to December 2018. The empirical results reveal that gold's implied volatility decreases significantly (or it is not statistically different than zero), under changes in the average returns and/or under extreme market declines in FXE and USO. According to the aforementioned findings, gold could be an investment vehicle to serve as a hedge and or a safe haven asset. The present study is the first one to employ quantile regressions (QR) along with gold's implied volatility and the prices of exchange traded funds (ETFs) in order to investigate gold's hedge and/or safe haven properties.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43010096","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}
In this paper, we examine the presence of herding in cryptocurrency market for four distinct sub-periods (Pre and During COVID-19 period, bear and bull markets) using daily closing prices of 5 largest cryptocurrencies by market capitalization (Bitcoin, Ethereum, XRP, Stellar and Tether) from April 20, 2019 to January 31, 2021. The study employs cross-sectional absolute deviations (CSAD) model to test herd behavior and the results of the study provide evidence of herd behavior in the whole market for the selected period under study. The study also proofs the presence of herding during COVID-19 period and in positive market returns. These indicate that, investors in the cryptocurrency market, during COVID-19 periods, and in bullish market are inclined to the investment behavior of other peer investors in the market. The study is significant to investors, regulators and players in the cryptocurrency market so as to deepen their understanding of herding behavior since herding is thought to increase the volatility of the market. The study is significant to investors, regulators and players in the cryptocurrency market so as to deepen their understanding of herding behavior since herding is thought to increase the volatility of the market.
{"title":"COVID-19 PANDEMIC AND HERDING BEHAVIOUR IN CRYPTOCURRENCY MARKET","authors":"Samuel Asante Gyamerah","doi":"10.24135/afl.v10i.443","DOIUrl":"https://doi.org/10.24135/afl.v10i.443","url":null,"abstract":"In this paper, we examine the presence of herding in cryptocurrency market for four distinct sub-periods (Pre and During COVID-19 period, bear and bull markets) using daily closing prices of 5 largest cryptocurrencies by market capitalization (Bitcoin, Ethereum, XRP, Stellar and Tether) from April 20, 2019 to January 31, 2021. The study employs cross-sectional absolute deviations (CSAD) model to test herd behavior and the results of the study provide evidence of herd behavior in the whole market for the selected period under study. The study also proofs the presence of herding during COVID-19 period and in positive market returns. These indicate that, investors in the cryptocurrency market, during COVID-19 periods, and in bullish market are inclined to the investment behavior of other peer investors in the market. The study is significant to investors, regulators and players in the cryptocurrency market so as to deepen their understanding of herding behavior since herding is thought to increase the volatility of the market. The study is significant to investors, regulators and players in the cryptocurrency market so as to deepen their understanding of herding behavior since herding is thought to increase the volatility of the market.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"47 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69084954","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}
The notion of rational investment is not attuned with the idea of socially responsible investment. Incongruence with conventional investments, the SRI/sustainable investment/ethical investment is pertained to ethical, environmental and social criteria (Eccles and Viviers,2011). All investors are not single-minded for an objective of wealth creation. The welfare of society and the environment are among the other drivers of investment. In certain cases, investors do prefer sustainable development to personal financial aspects (Beal et al., 2005). The present study has primarily focused on assessing the relationship between individual investors’ attributes and their noneconomic goal in order to comprehend their socially responsible investment behaviour specifically in Indian scenario. The findings of study are useful for fund managers, regulators and researchers as study has provided useful insights regarding behaviour of Indian investors for responsible investments.
理性投资的概念与对社会负责的投资的概念不一致。与传统投资不同，SRI/可持续投资/道德投资与道德、环境和社会标准有关（Eccles和Viviers，2011）。并非所有投资者都一心追求创造财富的目标。社会福利和环境是投资的其他驱动因素。在某些情况下，投资者确实更喜欢可持续发展，而不是个人财务方面（Beal et al.，2005）。本研究主要集中在评估个人投资者的属性与其非经济目标之间的关系，以了解他们在印度情景下的社会责任投资行为。研究结果对基金经理、监管机构和研究人员很有用，因为该研究为印度投资者负责任投资的行为提供了有用的见解。
{"title":"Responsible Investing: A Study on Non-Economic Goals and Investors’ Characteristics","authors":"Renuka Sharma, K. Mehta, Vishal Vyas","doi":"10.24135/afl.v9i2.245","DOIUrl":"https://doi.org/10.24135/afl.v9i2.245","url":null,"abstract":"The notion of rational investment is not attuned with the idea of socially responsible investment. Incongruence with conventional investments, the SRI/sustainable investment/ethical investment is pertained to ethical, environmental and social criteria (Eccles and Viviers,2011). All investors are not single-minded for an objective of wealth creation. The welfare of society and the environment are among the other drivers of investment. In certain cases, investors do prefer sustainable development to personal financial aspects (Beal et al., 2005). The present study has primarily focused on assessing the relationship between individual investors’ attributes and their noneconomic goal in order to comprehend their socially responsible investment behaviour specifically in Indian scenario. The findings of study are useful for fund managers, regulators and researchers as study has provided useful insights regarding behaviour of Indian investors for responsible investments.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44910570","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}
This paper finds that product market competition level (measured by Herfindahl Hirschman Index using Fama French 48 industries) affects the performance of zero-cost investment strategies based on gross probability. From 1973 to 2017, the positive returns from such strategy mainly comes from the most competitive industry quintile while a strong reversal exists the second most competitive quintile. The same strategy does not generate any statistically significant returns in concentrated industry quintiles. Out of 25 dependently sorted portfolios on product market competition level and gross profitability, the top performing portfolio comes from the least profitable firms in the second most competitive industry quintile, where 65% of firms are from pharmaceutical and oil industries.
{"title":"Profitability, Product Market Competition, and Stock Returns","authors":"Scott Li","doi":"10.24135/afl.v8i0.149","DOIUrl":"https://doi.org/10.24135/afl.v8i0.149","url":null,"abstract":"This paper finds that product market competition level (measured by Herfindahl Hirschman Index using Fama French 48 industries) affects the performance of zero-cost investment strategies based on gross probability. From 1973 to 2017, the positive returns from such strategy mainly comes from the most competitive industry quintile while a strong reversal exists the second most competitive quintile. The same strategy does not generate any statistically significant returns in concentrated industry quintiles. Out of 25 dependently sorted portfolios on product market competition level and gross profitability, the top performing portfolio comes from the least profitable firms in the second most competitive industry quintile, where 65% of firms are from pharmaceutical and oil industries.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46287842","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}
Structural changes in capital market and information innovations have altered characteristics of debt sources, make them more or less favourable to firms. This could possibly lead to a shift in firms' reliance on debt sources. Using a unique data set of debt mix of 1,100 U.S. non-financial firms, I conduct data analysis to reveal changes in firms' preference for different debt sources over a decade from 2004 to 2014. I find that bank debt remains the most common source of borrowing, followed by public debt and finally private placement debt. In addition, over time, firms have become more reliant on bank and public debt while less reliant on private placement debt. This pattern is consistent across different industries.
{"title":"The The Shift in Firms’ Reliance on Debt Sources","authors":"T. C. Ho","doi":"10.24135/AFL.V8I0.141","DOIUrl":"https://doi.org/10.24135/AFL.V8I0.141","url":null,"abstract":"Structural changes in capital market and information innovations have altered characteristics of debt sources, make them more or less favourable to firms. This could possibly lead to a shift in firms' reliance on debt sources. Using a unique data set of debt mix of 1,100 U.S. non-financial firms, I conduct data analysis to reveal changes in firms' preference for different debt sources over a decade from 2004 to 2014. I find that bank debt remains the most common source of borrowing, followed by public debt and finally private placement debt. In addition, over time, firms have become more reliant on bank and public debt while less reliant on private placement debt. This pattern is consistent across different industries. ","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42164864","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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