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Enhancing Value-at-Risk with Credible Expected Risk Models 利用可信的预期风险模型提高风险价值
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-08-16 DOI: 10.3390/ijfs12030080
Khreshna Syuhada, Rizka Puspitasari, I Kadek Darma Arnawa, Lailatul Mufaridho, Elonasari Elonasari, Miftahul Jannah, Aniq Rohmawati
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.
准确的风险评估对于预测潜在的财务损失至关重要。本文介绍了一种创新方法,即采用预期风险模型,利用风险样本来捕捉综合风险特征。其创新之处在于将经典可信度理论与预期风险模型相结合,增强了模型的稳定性和精确性。本研究开发了两种不同的预期风险模型,分别称为模型 I 和模型 II。I 类模型涉及独立且同分布的随机样本,而 II 类模型则包含时变随机过程,包括 GARCH(p,q) 等异方差模型。然而,这些模型往往表现出较高的变异性和不稳定性,这可能会削弱其有效性。为了缓解这些问题,我们应用了经典的可信度理论,从而建立了可信的预期风险模型。这些增强型模型旨在提高风险值(VaR)预测的准确性,风险值是一种关键的风险度量,被定义为在给定置信度下特定时期内的最大潜在损失。可信预期风险模型被称为 CreVaR,通过纳入可信度调整,提供更稳定、更精确的风险价值预测。这些模型的有效性通过两种互补方法进行评估:一是覆盖概率,用于评估风险预测的准确性;二是评分函数,通过比较预测风险与实际观察结果,对预测准确性进行更细致的评估。评分函数通过量化预测与实际数据的吻合程度,对进一步评估 CreVaR 预测的可靠性至关重要,从而提供了一个更全面的预测性能衡量标准。我们的研究结果表明,与传统方法相比,CreVaR 风险测量方法能提供更可靠、更稳定的风险预测。这项研究通过提供一种稳健的金融风险预测方法,为量化风险管理做出了贡献,从而为公司和金融机构做出更好的决策提供了支持。
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引用次数: 0
The Relationship between Financial Literacy Misestimation and Misplacement from the Perspective of Inverse Differential Information and Stock Market Participation 从反向差异信息和股市参与角度看金融知识误估与错置的关系
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-08-16 DOI: 10.3390/ijfs12030081
Yun-Ho Lee, Weihua Ma
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.
本研究提出了逆微分信息理论,该理论预测错误估计和错误定位这两种过度自信之间存在正相关关系。反向差异信息理论与现有的差异信息理论形成鲜明对比,后者认为这两种过度自信之间存在负相关。本研究表明,这些差异源于个人对自己的能力或表现与他人的能力或表现进行评估的准确性所持的截然相反的观点。反向差异信息理论认为,人们往往会比自己更客观地评价他人。错误估计和错误定位之间的正相关关系预示着,高估和高定位以及低估和低定位往往会同时出现。利用韩国成年人的金融知识数据进行的分析支持了逆向差异信息理论的预测。当这两种过度自信形成正相关关系时,预计它们会对人类的决策和行为产生系统性的重大影响。本研究通过实证研究证明,金融知识中的错误估计和错误定位之间的正相关关系会显著影响个人的金融行为,特别是在股票市场参与经验方面。反向差异信息理论需要在各个领域,而不仅仅是在行为金融学领域得到进一步的实证验证,以确定错误估计和错误定位之间的正向交互作用是否会持续影响人类的决策和行为。
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引用次数: 0
The Determinants of Entrepreneurial Success: An Application to Micro-Enterprises Financed by Microcredit in France 创业成功的决定因素:法国小额信贷资助的微型企业的应用
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-08-12 DOI: 10.3390/ijfs12030079
Serge Valant Gandja, Marinette Kamaha
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.
微型企业是工业化国家,特别是欧洲国家政治关注的核心。微型企业之所以受到如此特别的关注,是因为它们在经济增长方面发挥着重要作用。本研究将企业成功的因素作为一个多维度、多层面的结构进行评估,其中包含三个方面:创业持续性、经济成功和创业者满意度。我们使用有序 Probit 模型将这三个方面纳入计量经济学分析。我们从一个新的角度提出了对微型企业可持续绩效决定因素的理解,这里的微型企业指的是法国由小额贷款资助的企业。我们的研究结果表明,总体成功似乎主要是由财务和人力资本、动力和创业支持等因素造成的。
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引用次数: 0
Unpacking the Complexity of Corporate Sustainability: Green Innovation’s Mediating Role in Risk Management and Performance 解读企业可持续发展的复杂性:绿色创新在风险管理和绩效中的中介作用
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-08-11 DOI: 10.3390/ijfs12030078
Munther Al-Nimer
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.
本研究调查了约旦制造业企业的企业可持续发展(CSD)、企业风险管理绩效(ERMP)和绿色创新(GI)之间的关系。研究收集了在安曼证券交易所上市的 97 家公司的经验数据,时间跨度为三个月(即 2024 年 1 月至 2024 年 3 月)。研究采用了结构方程模型来考察这些复杂的动态变化。研究结果表明,短期内,CSD 与 ERMP 和企业可持续绩效呈负相关,这挑战了传统观点。然而,CSD 对 GI 有很大的促进作用,而 GI 又对 ERMP 产生积极影响,同时对短期绩效产生消极影响。GI 起着重要的中介作用,对 CSD 与 ERMP 的关系起着积极的中介作用,对 CSD 与绩效的关系起着消极的中介作用。这些结果将可持续发展悖论的概念延伸到了新兴经济体,并强调了 GI 在平衡可持续发展举措与风险管理和绩效结果方面的关键作用。研究表明,企业在实施可持续发展实践时,最初可能会遇到干扰,但这些举措可以推动组织内部的创新。基于这些研究结果,本研究建议新兴经济体的管理者在实施可持续发展措施时要有长远眼光,并开发更灵活的风险管理系统。政策制定者应考虑支持性框架,以帮助企业驾驭可持续发展、创新和短期绩效之间的矛盾。未来的研究应采用纵向设计,以捕捉这些关系的动态性质,并探索潜在的调节因素,如企业规模或特定行业特征。
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引用次数: 0
Optimal Market-Neutral Multivariate Pair Trading on the Cryptocurrency Platform 加密货币平台上的最优市场中性多变量配对交易
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-08-09 DOI: 10.3390/ijfs12030077
Hongshen Yang, Avinash Malik
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.
本研究提出了一种新颖的多元货币对交易套利方法,称为最优交易技术(OTT)。我们提出了一种有选择地将法定货币与加密货币锚定形成一个 "桶 "的方法,以便同时监控和利用交易机会。为了解决来自多个交易信号的定量冲突,我们设计了一种新颖的双目标凸优化公式,以平衡投资者在盈利能力和风险承受能力之间的偏好。我们知道,加密货币具有巨大的金融风险。因此,这一过程包括可调整的参数,如波动率惩罚和行动阈值。在 2020 年至 2022 年期间的加密货币市场实验中,OTT 实现了 15.49% 的年化利润,其中包括一波强劲的牛市和熊市。此外,附录中详述的补充实验将 OTT 的适用范围扩展到了后 COVID 时期的其他主要加密货币,验证了该模型在各种市场条件下的稳健性和有效性。套利操作提供了一种新的交易视角,不需要外部做空或在套利期间持有中间体。需要注意的是,本研究承认加密货币投资具有高风险性,可能会出现大幅波动和潜在损失。
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引用次数: 0
Dealing with “Do Not Know” Responses in the Assessment of Financial Literacy: The Use of a Sample Selection Model 在金融知识评估中处理 "不知道 "的回答:样本选择模型的使用
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-08-06 DOI: 10.3390/ijfs12030076
Anna Conte, Paola Paiardini, Jacopo Temperini
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.
金融知识评估通常依赖于抽样调查,其中包含一系列问题,旨在衡量受访者对做出明智决策所必需的基本金融概念的理解程度。此类问题的答案或为分类答案,或为连续答案,一般都包含一个 "不知道 "选项。如果选择 "不知道 "选项的人不是人口的随机样本,而是表现出特殊的特征,那么将这些观察结果视为不正确的回答或缺失数据,可能会扭曲有关金融素养决定因素的结果。一个值得注意的例子是,调查研究发现,女性比男性更倾向于选择 "不知道 "选项。在类似情况下,将 "不知道 "的回答视为错误答案会增加金融素养方面的性别差距,而将其视为缺失值则会缩小差距。我们建议使用样本选择模型,该模型使我们能够将回答 "不知道 "的倾向与实际回答区分开来。通过将该模型应用于具有代表性的英国人口样本,我们没有发现在金融知识方面存在任何系统性的性别差距。本研究对 "不知道 "回答的新颖处理为金融知识决定因素及相关性别差异的广泛讨论提供了宝贵的见解。
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引用次数: 0
Analyzing Overnight Momentum Transmission: The Impact of Oil Price Volatility on Global Financial Markets 分析隔夜动量传递:油价波动对全球金融市场的影响
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-07-30 DOI: 10.3390/ijfs12030075
Huthaifa Sameeh Alqaralleh
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.
石油价格的波动对实体经济和国际金融市场都有重大影响。尽管对石油市场动态和隔夜动量进行了广泛的研究,但对油价变化与能源市场动量之间的联系及其对全球金融市场的广泛影响的全面理解仍然遥不可及。本研究深入探讨了隔夜动量在金融市场中传播的复杂机制,重点关注其在油价波动中的起源及其对市场动态的总体影响。我们采用量化 VAR 方法,分析了 2014 年 1 月 3 日至 2024 年 1 月 17 日的每日市场数据。这项研究强调了隔夜动量对波动性传导的重要性,尤其是在分布的尾部,并突出了治理金融稳定的高效策略的必要性。页岩油革命、COVID-19、俄乌战争和以色列-哈马斯冲突极大地影响了全球金融市场的互联性。决策者必须优先考虑对能源市场的监控,以降低风险并提高系统的复原力。
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引用次数: 0
The Influence of Social Responsibility Practices on Tax Planning: An Empirical Study for Companies Listed on Euronext Lisbon 社会责任实践对税收筹划的影响:里斯本泛欧交易所上市公司的经验研究
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-07-29 DOI: 10.3390/ijfs12030073
Pedro Ferreira Silva, Cristina Sá, Teresa Eugénio
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.
本文分析了社会责任实践对里斯本泛欧交易所上市公司开展税收筹划活动的影响。虽然对社会责任和税收筹划的科学研究并不新鲜,但对这两个主题之间关系的科学研究是一个不断发展的研究领域,仍然存在许多问题。本研究以里斯本泛欧交易所的 30 家上市公司为样本,使用了 2018 年和 2019 年的数据。假设是在相关文献综述的基础上提出的。为验证假设,建立了多元线性回归模型。结果表明,企业社会责任中的社会、公司治理、环境或经济要素不会影响税收筹划。但结果显示,公司规模对税收筹划有负面影响,即规模较大的公司实际税率较低。在研究的样本中,规模较大的公司实施了更多的税收筹划策略。因此,本研究可以补充对葡萄牙和国际社会责任实践与税收筹划活动之间关系的理解。
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引用次数: 0
Exploring the Influence of Earnings Management on the Value Relevance of Financial Statements: Evidence from the Bucharest Stock Exchange 探索收益管理对财务报表价值相关性的影响:来自布加勒斯特证券交易所的证据
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-07-26 DOI: 10.3390/ijfs12030072
Georgiana Burlacu, Ioan-Bogdan Robu, Ionela Munteanu
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.
虽然财务报表对投资者的决策过程极为重要,但其可靠性可能会受到收益管理(EM)做法的影响,即通过操纵财务报告来实现管理利益。本研究以会计信息的预测价值为基础,探讨收益管理与公司估值之间的关系,特别是研究收益管理如何影响收益对股价的价值相关性(VR)。研究以 2019 年至 2021 年间在布加勒斯特证券交易所(BSE)上市的已审计公司为样本,包括 62 家实体公司。通过回归分析,我们按照 Ohlson 的研究方法探讨了会计信息对投资者的重要性,并根据 Jones 的模型研究了 EM 与 VR 之间的关系。研究结果表明,收益对股票价格有重大影响,凸显了其在罗马尼亚股市中的价值相关性。然而,收益管理的做法降低了收益的价值相关性,因为它降低了会计信息的可靠性。本分析报告的主要贡献在于在 BVB 框架内为收益管理(EM)提供了一个全新的视角,强调了收益管理在塑造企业管理者动机和行为方面的关键作用。
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引用次数: 0
Economic Policy Uncertainty and Commercial Property Performance: An In-Depth Analysis of Rents and Capital Values 经济政策不确定性与商业地产表现:租金和资本价值的深入分析
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-07-22 DOI: 10.3390/ijfs12030071
Albert Agbeko Ahiadu, Rotimi Boluwatife Abidoye, Tak Wing Yiu
Economic uncertainty has steadily increased in response to a series of unforeseen shocFks, 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.
由于一系列不可预见的冲击,特别是全球金融危机、英国脱欧、COVID-19 和俄乌战争,经济不确定性稳步上升。本研究探讨了经济不确定性对澳大利亚写字楼、零售和工业地产行业租金和资本价值的影响。利用 2001Q1 至 2022Q3 的季度数据,通过简化形式的向量自回归(VAR)模型评估了这些绩效指标对国家不确定性冲击的反应。总体而言,不确定性与商业地产绩效之间存在反向关系,不同子行业之间在幅度和持续性上存在明显差异。在所有三个子行业中,租金对外部冲击更为敏感,突出了其作为短期业绩信号的作用。在不确定性受到一个标准差的冲击后,写字楼和零售业的租金在大约三年的时间里稳步下降。而工业租金则反应平淡,恢复较快,通常在五个季度内恢复。工业子行业对外部冲击表现出的这种弹性,使其成为防御性投资战略和投资组合多样化的一个令人信服的选择。与租金相比,资本价值的反应较小,对不确定性冲击的反应微乎其微,长期持续性也不强。
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引用次数: 0
期刊
International Journal of Financial Studies
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