{"title":"Active factor investing: Hedge funds versus the rest of us","authors":"Jun Duanmu, Yongjia Li, A. Malakhov","doi":"10.1002/rfe.1119","DOIUrl":"https://doi.org/10.1002/rfe.1119","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2020-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1119","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45817203","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}
{"title":"Corporate cash holdings and monetary shocks: A test of the credit channel theory","authors":"Yiling Deng, Haibo Yao","doi":"10.1002/rfe.1117","DOIUrl":"https://doi.org/10.1002/rfe.1117","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2020-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1117","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44964194","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}
{"title":"Asymmetric return–volatility relation around the clock","authors":"Erin H. C. Kao, D. Lien, Tsungwu Ho","doi":"10.1002/rfe.1115","DOIUrl":"https://doi.org/10.1002/rfe.1115","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2020-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1115","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41536589","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 : 2020-08-14DOI: 10.1146/annurev-financial-012820-013740
D. Lando
The credit default swap (CDS) remains an important class of derivatives contract despite the declining activity in the single-name corporate market. I provide a quick introduction to the contracts,...
{"title":"Credit Default Swaps: A Primer and Some Recent Trends","authors":"D. Lando","doi":"10.1146/annurev-financial-012820-013740","DOIUrl":"https://doi.org/10.1146/annurev-financial-012820-013740","url":null,"abstract":"The credit default swap (CDS) remains an important class of derivatives contract despite the declining activity in the single-name corporate market. I provide a quick introduction to the contracts,...","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2020-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1146/annurev-financial-012820-013740","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49489464","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 : 2020-07-14DOI: 10.1146/annurev-financial-042720-055018
A. Lo
This is an edited version of a talk given at the Robert C. Merton 75th Birthday Celebration Conference held at MIT on August 5 and 6, 2019. A video of the talk is available at https://bit.ly/2nvITM...
{"title":"Robert C. Merton: The First Financial Engineer","authors":"A. Lo","doi":"10.1146/annurev-financial-042720-055018","DOIUrl":"https://doi.org/10.1146/annurev-financial-042720-055018","url":null,"abstract":"This is an edited version of a talk given at the Robert C. Merton 75th Birthday Celebration Conference held at MIT on August 5 and 6, 2019. A video of the talk is available at https://bit.ly/2nvITM...","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2020-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1146/annurev-financial-042720-055018","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45962965","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 uses fractional integration to explore the stochastic properties of the Financial Stress Indices (FSIs) of ten Asian countries, investigating the bilateral linkages between them to ascertain how financial stress spreads among countries in the region. The results show that all the estimated orders of integration are in the interval (0, 1) implying fractional integration and a long memory pattern. Thus, shocks will have transitory though long lasting effects. For the cross-country spillovers of the FSIs, we find that convergence is satisfied in all cases with values of the differencing parameter around 0 and thus showing short memory behaviour. It is worth noting that for the larger economies in the region, Japan and China, financial stress transmission between Japan and the smaller economies was faster than with respect to China. To check for the robustness of the baseline results we also use systemic risk measures for these countries, CoVaR with the results showing evidence of fractional integration for the individual series, with all values of the differencing parameter in the range (0, 1). For convergence, there is a substantial reduction in the degree of integration, though the results are not so clear as with the FSIs. JEL Classification: C22; C51; E44; G10.
{"title":"Financial stress spillover across Asian Countries","authors":"L. Gil‐Alana, E. Abakah, Moses Kenneth Abakah","doi":"10.1002/rfe.1113","DOIUrl":"https://doi.org/10.1002/rfe.1113","url":null,"abstract":"This paper uses fractional integration to explore the stochastic properties of the Financial Stress Indices (FSIs) of ten Asian countries, investigating the bilateral linkages between them to ascertain how financial stress spreads among countries in the region. The results show that all the estimated orders of integration are in the interval (0, 1) implying fractional integration and a long memory pattern. Thus, shocks will have transitory though long lasting effects. For the cross-country spillovers of the FSIs, we find that convergence is satisfied in all cases with values of the differencing parameter around 0 and thus showing short memory behaviour. It is worth noting that for the larger economies in the region, Japan and China, financial stress transmission between Japan and the smaller economies was faster than with respect to China. To check for the robustness of the baseline results we also use systemic risk measures for these countries, CoVaR with the results showing evidence of fractional integration for the individual series, with all values of the differencing parameter in the range (0, 1). For convergence, there is a substantial reduction in the degree of integration, though the results are not so clear as with the FSIs. JEL Classification: C22; C51; E44; G10.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2020-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1113","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43208987","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}
{"title":"A primer on sustainable value creation","authors":"Ali Fatemi, Iraj Fooladi","doi":"10.1002/rfe.1087","DOIUrl":"https://doi.org/10.1002/rfe.1087","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1087","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49217624","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}
{"title":"Portfolio concentration and fund manager performance","authors":"Pi-Hsia Hung, D. Lien, Yun‐Ju Chien","doi":"10.1002/rfe.1086","DOIUrl":"https://doi.org/10.1002/rfe.1086","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1086","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48302574","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}
{"title":"Bank soundness and bank lending to new firms during the global financial crisis","authors":"Eriko Naiki, Yuta Ogane","doi":"10.1002/rfe.1090","DOIUrl":"https://doi.org/10.1002/rfe.1090","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1090","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49226042","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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