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01-12-2021 | Original Article | Issue 1/2021 Open Access

Corporate social responsibility and stakeholder engagement in Ghana’s mining sector: a case study of Newmont Ahafo mines

Even though the concept of Corporate Social Responsibility (CSR) has been applauded for several decades, the concept of stakeholder engagement is relatively new to the Ghanaian mining sector. This study investigates the CSR process of an …

Peter Ansu-Mensah, Emmanuel Opoku Marfo, Lyon Salia Awuah, Kwame Oduro Amoako

01-12-2021 | Original Paper | Issue 1/2021 Open Access

Direct and cross price elasticities of demand for gasoline, diesel, hybrid and battery electric cars: the case of Norway

When car manufacturers, car dealers or fuel companies set prices, or when policymakers are to determine the tax level, they have an interest in knowing how the demand for the product(s) in question responds to price changes. The direct (own) price …

Lasse Fridstrøm, Vegard Østli

13-01-2021 | Research Article

Testing the Relationship between Land Approval and Promotion Incentives of Provincial Top Leaders in China

This paper investigates the question of how provincial top leaders’ promotion incentive drive their strategies of land approval in China. This question is situated in broad theoretical knowledge of politicians’ incentives and behaviors for career …

Shenghua Lu, Yuting Yao, Hui Wang


Brexit and Its Impact on the US Stock Market

This paper firstly analyzes the Brexit’s impact on the US stock market using a novel interval methodology. The interval-valued dummy variables are proposed to measure the direction and magnitudes of the changes in the inter-day trend and the …

Kenan Qiao, Zhengyang Liu, Bai Huang, Yuying Sun, Shouyang Wang


The power of firm fundamental information in explaining stock returns

The literature shows that earnings have come to explain less stock price movement over time, suggesting that firm fundamental information has become less important. In this paper, we replace earnings with earnings announcement returns as a measure …

Shuai Shao, Robert Stoumbos, X. Frank Zhang


Betting Against the Sentiment in REIT NAV Premiums

We dissect REIT NAV premiums and examine their relation to expected returns. More than half of the cross-sectional variation in NAV premiums can be explained by readily observable company characteristics, such as size, property type, location …

Mariya Letdin, Stace Sirmans, G. Stacy Sirmans


Welfare effects of business taxation under default risk

In this article, we use a stochastic model with a representative firm to study business tax policy under default risk. We will show that, for a given tax rate, tax revenue and welfare are crucially affected by default risk and its costs, as long …

Nicola Comincioli, Paolo M. Panteghini, Sergio Vergalli


Real effects of auditor conservatism

We examine the effect of auditor conservatism on corporate innovation. We hypothesize that, because conservative auditors constrain income-increasing accounting discretion, managers may sacrifice long-term investments in innovation to boost …

Mahfuz Chy, Ole-Kristian Hope

05-01-2021 | Regular Paper

A synchronous deep reinforcement learning model for automated multi-stock trading

Automated trading is one of the research areas that has benefited from the recent success of deep reinforcement learning (DRL) in solving complex decision-making problems. Despite the large number of researches done, casting the stock trading …

Rasha AbdelKawy, Walid M. Abdelmoez, Amin Shoukry


House Prices, Government Quality, and Voting Behavior

The hypothesis that minority voters act in their economic self-interest in supporting municipal candidates of their own race or ethnicity has been tested using changes in municipal spending and employment. However, governments affect voter welfare …

Daniel A. Broxterman, Trenton Chen Jin


Identifying price bubble periods in the Bitcoin market-based on GSADF model

The advert of cryptocurrency era is signified by the luanch of Bitcoin, which has been considered as a milestone event. Ever since its emergence, Bitcoin has experienced rapid price increase along with great price fluctuations. This paper aims to …

Yan Li, Zhicheng Wang, Hongchuan Wang, Meiyu Wu, Lingling Xie

04-01-2021 | Original Paper Open Access

The role of managerial characteristics in FX risk management: Who increases risk?

We examine the impact of managerial characteristics on the choice of risk-decreasing and risk-increasing/-constant strategies. Using unique data on firm-, year-, and currency-specific FX exposure before and after hedging with corresponding hedging …

Andreas Hecht


Cold bacon: co-partisan politics in Brazil

This paper provides evidence of alignment effects between the executive and the legislative branches of the central government. We rely on detailed data on Brazilian intergovernmental grants whose allocations are determined by legislators. The …

Diogo Baerlocher, Rodrigo Schneider


Multinational corporations and tax havens: evidence from country-by-country reporting

A growing body of economics literature shows that multinational corporations (MNCs) shift their profits to tax havens. We contribute to this evidence by comparing a range of available data sets focusing on US MNCs, including country-by-country …

Javier Garcia-Bernando, Petr Janský, Thomas Tørsløv


Okun’s law revisited in the time–frequency domain: introducing unemployment into a wavelet-based control model

This paper integrates the Okun’s law (OL) relationship into a wavelet-based control (WBC) model to compare simulated optimal fiscal and monetary policy for the US when the policymakers place varying emphasis on the primary macroeconomic targets of …

Patrick M. Crowley, David Hudgins


Profit-splitting rules and the taxation of multinational digital platforms

This paper analyzes the strategy of a monopolistic digital platform serving users from two jurisdictions with different corporate tax rates. We consider two profit-splitting rules, Separate Accounting and Formula Apportionment based on the number …

Francis Bloch, Gabrielle Demange

02-01-2021 | Research Article

An inverse Black–Scholes problem

In this work, we provide a new Black–Scholes model, where the weak formulation at stake is done in the case of a general class of finite Radon measures. A numerical estimation of the parameters, by means of a gradient algorithm, shows that the …

Nizar Riane, Claire David

02-01-2021 | Research Paper

Subjective Wellbeing Inequality Between Cohabiting Partners: Does a Household Kuznets Curve Exist?

This study unpacks the question of subjective wellbeing (SWB) inequality between partners in South Africa in the context of declining overall SWB inequality. The analysis, using the National Income Dynamics Study panel for the period 2012–2016 …

Umakrishnan Kollamparambil


REIT Debt Pricing and Ownership Structure

We show that ownership by institutional investors with increased incentives to monitor decreases the cost of both public and private debt in the REIT industry. Our study focuses on four types of “incentivized” investors: long-horizon institutional …

Collin Gilstrap, Alex Petkevich, Ozcan Sezer, Pavel Teterin

01-01-2021 | Original Article | Issue 1/2021

Analysis of energy efficiency obligation scheme implementation in Turkey

To achieve energy efficiency and to develop supporting policy tools have become priorities worldwide. In this respect, one of the important energy efficiency policy tools is Energy Efficiency Obligation Scheme (EEOS). Turkish Government, dealing …

Rabia Cin, Ebru Acuner, Sermin Onaygil

29-12-2020 | Regular Article Open Access

A bivariate finite mixture growth model with selection

A model is proposed to analyze longitudinal data where two response variables are available, one of which is a binary indicator of selection and the other is continuous and observed only if the first is equal to 1. The model also accounts for …

David Aristei, Silvia Bacci, Francesco Bartolucci, Silvia Pandolfi

24-12-2020 Open Access

AnnuityRIR: an R-package to approximate the value of an annuity according to the non-central moments of the capitalization factor

The aim of this paper is to design the package of the R statistical software called “Annuity Random Interest Rate”, referred hereinafter as AnnuityRIR, in order to calculate the value of an n-annuity with payments of one unit each when the …

Salvador Cruz Rambaud, Fabrizio Maturo, Ana Maria Sánchez Pérez, Massimo Squillante

01-12-2020 | Research | Issue 1/2020 Open Access

Boundaries on Turkish export-oriented industrialization

This study examines the Turkish experience of export-oriented industrialization by emphasizing its linkage to previous capital accumulation model and developments and by the evolution of political and economic institutions. The study emphasizes …

Deniz Güvercin

01-12-2020 | Research | Issue 1/2020 Open Access

Uganda’s experience with debt and economic growth: an empirical analysis of the effect of public debt on economic growth—1980–2016

Most countries at one time borrow; this is usually because of the complexity and increased demand for better goods and services amidst changing roles of government and limited tax resources in relation to the planned public expenditures. Thus …

Richard Ssempala, Kurayish Ssebulime, Enoch Twinoburyo

01-12-2020 | Research | Issue 1/2020 Open Access

Linking earned income, psychological capital and social grant dependency: empirical evidence from rural KwaZulu-Natal (South Africa) and implications for policy

Understanding the motivation that smallholders have for working and earning their livelihood is critical in enhancing the effectiveness of agricultural policies. This is especially important in a country like South Africa where social grant is an …

U. Chipfupa, E. Wale

01-12-2020 | Research | Issue 1/2020 Open Access

Bi-adjusting duty cycle for green communications in wireless sensor networks

Green communications is a challenging issue for communications and networking. In order to save energy, nodes of the wireless sensor networks (WSNs) usually adopt the low duty cycle mode which brings a large delay to the event detection and data …

Guopeng Li, Fufang Li, Tian Wang, Jinsong Gui, Shaobo Zhang

01-12-2020 | Global Society | Issue 6/2020

The Challenges of Defining the Term “Industry 4.0”

The presented study deals with the definition of the Industry 4.0 phenomenon, which generally refers to the so-called Fourth Industrial Revolution. In the framework of this analysis, the interpretation of this term is examined in strategic …

Petra Kowalikova, Petr Polak, Roman Rakowski

27-11-2020 | Research Article

The Shapley value decomposition of optimal portfolios

Investors want the ability to evaluate the true and complete risk of the financial assets held in a portfolio. Yet, the current analytic methods provide only partial risk measures. I suggest that, by viewing a portfolio of securities as a …

Haim Shalit


Textual classification of SEC comment letters

This study examines the impact of SEC comment letters on future financial reporting outcomes and earnings credibility. Naïve Bayesian classification identifies comment letters associated with future restatements and write-downs. An investor …

James P. Ryans


The US financial crisis, market volatility, credit risk and stock returns in the Americas

We employ the multivariate DCC-GARCH model to identify contagion from the USA to the largest developed and emerging markets in the Americas during the US financial crisis. We analyze the dynamic conditional correlations between stock market …

Juan Andres Rodriguez-Nieto, Andre V. Mollick


Housing Wealth, Health and Deaths of Despair

We use household-level data to study the causal effects of exogenous changes in housing wealth on health and the drug crisis in the US attributed to “deaths of despair”. We find that a one standard deviation positive shock in housing wealth …

Ariadna Jou, Nuria Mas, Carles Vergara-Alert


The Visible Hand of corporate entrepreneurship in state-owned enterprises: a longitudinal study of the Spanish National Postal Operator

This study explores how the corporate entrepreneurship (CE) of state-owned enterprises (SOEs) evolves under varying conditions of state ownership and control, laws and norms, and competence in the market. For this purpose, we present a …

Águeda Gil-López, Unai Arzubiaga, Elena San Román, Alfredo De Massis


African equity markets’ exposure to oil and other commodities - implications for global portfolio diversification

This paper examined the risk-return relationship and the correlation dynamics of African stocks relative to global factors. By applying both the static and augmented capital asset pricing model, as well as dynamic conditional correlation …

Imhotep Paul Alagidede, Gideon Boako, Bo Sjo

07-11-2020 | Original Research

Testing stock market contagion properties between large and small stock markets

The heterogeneity of large and small stock market structures results in different degrees of cross-market contagion. The causality test reveals that large stock markets have less inner-market contagion and more cross-market contagion while smaller …

EnDer Su


Complex Systems in Economics and Where to Find Them

The economy as a whole and most of its constituent parts, like markets, government institutions, firms, or households, are inherently complex conceptual constructions. Micro-level diversity, decentralized interaction, self-organization, adaptation …

Orlando Gomes, Mariya Gubareva


The role of capital taxation on the business cycle: the case of Chile, 1960–2019

How relevant could capital income tax be as a growth engine? We analyse the Chilean experience that since the mid-80s has shown significant increase in its growth rate, outperforming most Latin American countries in the same period. This paper …

Rodrigo A. Cerda, José Tomás Valente

30-10-2020 Open Access

The relationship between auditors’ human capital attributes and the assessment of the control environment

The International Standards on Auditing (ISA) consider the understanding of the control environment as a basic phase of an auditor’s assessment of internal control. This comprehension influences the nature, timing, extent and, ultimately, the …

Rita Lamboglia, Daniela Mancini


Trade or raid: Acadian settlers and native Americans before 1755

Could North America have been settled more peacefully, with fewer property rights violations against Native Americans? To answer this question, we utilize the case of French colonists of Atlantic Canada (the Acadians) and a Native American tribe …

Rosolino A. Candela, Vincent J. Geloso


Impact of US monetary policy uncertainty on Asian exchange rates

We examine the impact of US monetary policy uncertainty (MPU) on the dollar exchange rates of ten Asian economies between February 2006 and January 2019. Our results, which are based on an EGARCH model, indicate that MPU tends to increase the …

Donghyun Park, Irfan Qureshi, Shu Tian, Mai Lin Villaruel

28-10-2020 | Research Article

From Globalization to Regionalization: The United States, China, and the Post-Covid-19 World Economic Order

The Covid-19 pandemic has intensified the debate among optimists, pessimists, and centrists about whether the world economic order is undergoing a fundamental change. While optimists foresee the continuation of economic globalization after the …

Zhaohui Wang, Zhiqiang Sun

28-10-2020 | Research Article | Issue 4/2020

The role of market efficiency on implied cost of capital estimates: an international perspective

This study examines the role of market efficiency on international differences in the usefulness of the implied cost of capital (ICC) to measure expected stock returns. The analysis exploits cross-country differences in market efficiency around …

David Schröder


Income tax evasion: tax elasticity, welfare, and revenue

This paper provides a general equilibrium model of income tax evasion. As functions of the share of income reported, the paper contributes an analytic derivation of the tax elasticity of taxable income, the welfare cost of the tax, and government …

Max Gillman


A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

Based upon the fact that a constant long-term mean could not provide a good description of the term structure of the implied volatility and variance swap curve, as suggested by Byelkina and Levin (in: Sixth world congress of the Bachelier Finance …

Xin-Jiang He, Wenting Chen

23-10-2020 | Article Open Access

Perceived Adverse Effects of Separating Government Institutions for Disaster Risk Reduction and Climate Change Adaptation Within the Southern African Development Community Member States

Integration of disaster risk reduction (DRR) and climate change adaptation (CCA) is widely recognized as a solution for reducing the risk and impacts of disasters. However, successful integration seems elusive, and the two goals continue to …

Livhuwani D. Nemakonde, Dewald Van Niekerk, Per Becker, Sizwile Khoza

21-10-2020 | Issue 1/2021

Dynamic linkages between US and Eurodollar interest rates: new evidence from causality in quantiles

Global markets have become more integrated, making co-movements of international interest rates possible. In this paper, we investigate the causal linkage between US and Eurodollar (London) interest rate using the Granger causality test in …

Kenneth A. Tah, Geoffrey Ngene


Market news co-moments and currency returns

We propose three co-moments of the market returns’ cash-flow, and discount-rate shocks and examine empirically an intertemporal capital asset pricing model using the co-moments on currency returns as well as stock returns during Dec. 1983 to Dec.

Mohammadreza Tavakoli Baghdadabad, Girijasankar Mallik


In the land of OZ: designating opportunity zones

The Tax Cuts and Jobs Act of 2017 allowed governors of the fifty states to designate low-income areas as a “Qualified Opportunity Zone” (QOZ), which entitled the investors in these QOZs to significant tax incentives. As a result, each governor’s …

James Alm, Trey Dronyk-Trosper, Sean Larkin


Does Restricting Outsiders Always Lower Price and Benefit Insiders?

Policies that restrict outsiders are common. Some justifications include protecting insiders from high price and leaving more of the concerned products to insiders. Sometimes these policies fail to work because outsiders can get around the …

Tat-kei Lai, Travis Ng

16-10-2020 Open Access

Mobility and the lifetime distributional impact of tax and transfer reforms

This paper examines the lifetime distributional impact of changes to the tax and transfer system. We find that—in contrast to standard snapshot analyses—increases to work-contingent benefits are just as effective at redistributing resources to the …

Peter Levell, Barra Roantree, Jonathan Shaw


János Kornai, the Austrians, and the political and economic analysis of socialism

What is the relationship between central planning, pervasive shortages, and soft budget constraints under socialism? In this paper, we address this question by exploring the evolution of János Kornai’s work on the operation of real-world …

Peter J. Boettke, Rosolino A. Candela


Decomposing political advertising effects on vote choices

This paper studies the channels through which political television advertising influences individuals' voting decisions. Scholars are interested to learn whether advertising primarily persuades people to change their choices of candidates or …

Wilson Law

08-10-2020 | Original Paper

Is the Market Perceived to be Civilizing or Destructive? Scientists’ Universalism Values and Their Attitudes Towards Patents

Is the market civilizing or destructive? The increased salience of science commercialization is forcing scientists to address this question. Benefiting from the sociology of morality literature’s increased attention to specific kinds of morality …

Jared L. Peifer, David R. Johnson, Elaine Howard Ecklund

06-10-2020 | Issue 4/2020

Recent Developments at the CMA: 2019–2020

We discuss three important cases that the Competition and Markets Authority (CMA) has completed over the past year: First, the coronavirus pandemic has had implications for a wide range of the CMA’s work; we describe the work on price gouging …

Richard Havell, Chris Jenkins, James Rutt, Elliott Scanlon, Paul Tregear, Mike Walker


Employee Treatment and Bank Default Risk during the Credit Crisis

We examine whether banks’ interest in the well-being of their workforce, measured by an index of employee relations strengths, explains their default risk during the recent credit crisis. Using a sample of 179 U.S. banks, we find that banks with …

Tu Nguyen, Sandy Suardi, Jing Zhao

01-10-2020 | Original Article | Issue 5/2020

Evaluation of the water resource plans in Turkey based on sustainable water management principles

With increasing water scarcity, pollution, and other water-related ecological degradation, water reservoirs and their sustainable development are getting more attention in terms of planning and management. Turkey being under threat of water …

Sahar Pouya, Handan Turkoglu

01-10-2020 | Symposium: The 2020 U.S Elections | Issue 5/2020

The Origin and Evolution of Super PACs: a Darwinian Examination of a Campaign Finance Species

A series of campaign finance rulings, most notably the Supreme Court’s 2010 Citizens United decision, set off a sea change in how electoral politics are funded in the United States. The result is an evolutionary break that disrupted the campaign …

Diana Dwyre

01-10-2020 | Issue 5/2020

Nonparametric Estimation for the Diffusion Coefficient of Multidimensional Time-Varying Diffusion Processes

This paper proposes a kernel estimator for the coefficient of multidimensional time-varying diffusion processes as an extension of the estimation model for one dimensional diffusion coefficient to the multidimensional case. By using “time …

Jun Wang, Ping Chen

28-09-2020 | Original Article

Estimating unit cost of public university education in Vietnam

This paper is motivated by the ongoing debate on university reform in Vietnam. In particular, there is a need to quantify the level of governmental support for public universities and examine whether or not such a support is adequate. To this end …

Vu Thang Pham, Binh Tran-Nam


Time-varying influence of household debt on inequality in United Kingdom

The United Kingdom (UK) in terms of income inequality is ranked among the highest in Europe. Likewise, within the last four decades, UK is characterized with drastic increases in household debt. In this paper, we analyze time-varying …

Edmond Berisha, David Gabauer, Rangan Gupta, Chi Keung Marco Lau


The Real Effects of Universal Banking: Does Access to the Public Debt Market Matter?

I analyze the impact of the formation of universal banks on corporate investment by looking at the gradual dismantling of the Glass-Steagall Act’s separation between commercial and investment banking. Using a sample of US firms and their …

Stefano Colonnello

17-09-2020 Open Access

Risk and Equity Release Mortgages in the UK

Accessing elderly housing wealth through equity release mortgages (ERMs) continue to be the focus of policy debates about how to pay for social care and how to support retirement incomes in the UK. We demonstrate in this paper that the spatial …

Tripti Sharma, Declan French, Donal McKillop


Connecting book rate of return to risk and return: the information conveyed by conservative accounting

This paper revises the standard interpretation of the book rate of return as a measure of profitability. Rather, due to conservative accounting, the book rate of return informs about risk and the expected return to the investor. In contrast to …

Stephen H. Penman, Xiao-Jun Zhang

15-09-2020 | Issue 6/2020

Client’s Bargaining Power and Audit Negotiation over Earnings: Evidence from Audit Processes in a Business Groups Environment

This paper identifies and analyzes contextual factors in the audit environment at the business group level, and finds that the structural complexity of business groups and business group owners’ controlling power are significant factors that may …

Pyung Kyung Kang, Yoo Chan Kim, Dan Palmon

11-09-2020 | Original Paper

The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries

The existing literature is still inconclusive on whether momentum exists and whether momentum strategy profits are affected by macroeconomic variables. The aim of the present study is two-fold. First, we examined the existence of the momentum by …

Mehdi Zolfaghari, Bahram Sahabi


Are Pricier Houses Less Risky? Evidence from China

Houses are the largest component of most households’ wealth and their risk is important. Recent research shows that pricier houses have lower price appreciation risk. This relationship can be due to competing reasons: risk is related to the price …

Jianhua Gang, Liang Peng, Jinfan Zhang

04-09-2020 | Original Research | Issue 3/2020 Open Access

Demand response through automated air conditioning in commercial buildings—a data-driven approach

Building operation faces great challenges in electricity cost control as prices on electricity markets become increasingly volatile. Simultaneously, building operators could nowadays be empowered with information and communication technology that …

Benedict J. Drasch, Gilbert Fridgen, Lukas Häfner

02-09-2020 | Profile | Issue 4/2020

American Dreaming: Really Reading The Great Gatsby

F. Scott Fitzgerald’s The Great Gatsby (1925) is one of the best known and most widely read and taught novels in American literature. It is so familiar that even those who have not read it believe that they have and take for granted that they know …

William E. Cain

01-09-2020 | Issue 3/2020 Open Access

The Archives Made Me Do It

This paper is a reflection on the power of archives in driving research. Just as much as informants draw the attention of researchers to social patterns, archives do, too. Both archival and ethnographic research depends on the authority of written …

Chandra Mukerji

01-09-2020 Open Access

Does stakeholder engagement affect corruption risk management?

Major international organizations such as the Organization for Economic Cooperation and Development (OECD), the United Nations (UN), and the European Union (EU) have stressed the importance of risk management as a useful mechanism to prevent …

Fabio Monteduro, Ilenia Cecchetti, Ylenia Lai, Veronica Allegrini

01-09-2020 Open Access

Persistence in the market risk premium: evidence across countries

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and …

Guglielmo Maria Caporale, Luis A. Gil-Alana, Miguel Martin-Valmayor

01-09-2020 | Schwerpunkt | Issue 6-7/2020

Levers of Organizational Resilience

While organizational resilience seems to be in vogue, it is often unclear what companies could actually do to become more resilient. I therefore set out a framework encompassing four levers that organizations can mobilize: strategic risk …

Utz Schäffer

01-09-2020 | Unternehmenssteuerung | Issue 6-7/2020

Redesign des Controllings bei BNP Paribas

Banken sind in einem außergewöhnlichen Marktumfeld zunehmend gefordert, die Effektivität und Effizienz ihres Controllings zu steigern. Doch wie können sie die Prozesse und die Aufbauorganisation im Controlling optimieren? BNP Paribas hat für die …

Kai Nobach, Daniel Ebert

31-08-2020 | Original Research

Equity premium puzzle or faulty economic modelling?

In this paper we revisit the equity premium puzzle reported in 1985 by Mehra and Prescott. We show that the large equity premium that they report can be explained by choosing a more appropriate distribution for the return data. We demonstrate that …

Abootaleb Shirvani, Stoyan V. Stoyanov, Frank J. Fabozzi, Svetlozar T. Rachev

28-08-2020 | Policy Watch

Taxing telecommunications in developing countries

Developing countries apply numerous sector-specific taxes to telecommunications. This paper explores whether there is an economic rationale for sector-specific taxes on telecommunications and, if so, what form they should take to balance the …

Thornton Matheson, Patrick Petit

28-08-2020 | Regular Article Open Access

Does too much liquidity generate instability?

Corporate demand for cash is related to a number of firm-specific characteristics, like the presence of transaction costs, information asymmetry in credit markets, uncertainty and risk aversion. The purpose of this paper is to build a dynamic …

Giorgio Calcagnini, Laura Gardini, Germana Giombini, Edgar S. Carrera


Is the Korean housing market following Gangnam style?

Gangnam is a prime district in Korea known for its expensive real estate market due to convenient transportation, shopping and business centers, and elite schools and academies in the area. This paper examines spillovers and network connectedness …

Khamis Hamed Al-Yahyaee, Walid Mensi, Hee-Un Ko, Massimiliano Caporin, Sang Hoon Kang

24-08-2020 | Original Research

Agency cost of CEO perquisites in bank loan contracts

This study investigates the association between CEO perquisites and bank loan spreads. We collect detailed data on CEO perquisites from the proxy statements of S&P 500 firms between 1993 and 2015 to study this issue. The empirical evidence …

Chia-Ying Chan, Iftekhar Hasan, Chih-Yung Lin

24-08-2020 | Issue 4/2020

Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence

The possibility of combining the ranking period logic of contrarian (momentum) strategies with the holding period logic of momentum (contrarian) strategies to form hybrid strategies motivates us to evaluate several investment strategies using data …

Kobana Abukari, Isaac Otchere


Empirical analysis of term structure shifts

Principal component analysis and factor analysis of term structure movements shows that between 80 and 90% of term structure shifts can be explained by a uniform shift that is roughly parallel. In contrast, our analysis of term structure data from …

Joel R. Barber


Determining an Optimal Principal Limit Factor for Reverse Mortgages under Economics-Based Models

Determining an optimal principal limit factor (PLF) is important for a reverse mortgage (RM) contract because it mainly influences the development of the RM market. The goal of this study was to develop a model for calculating the optimal PLF …

Shu Ling Chiang, Ming Shann Tsai, Chien An Wang

17-08-2020 | Original Paper Open Access

Transitional justice and authoritarian backsliding

Can a lack of transitional justice contribute to democratic backsliding? This paper uses the case of Poland to argue that selective enforcement of transitional justice can be linked to democratic erosion. In doing so, the paper adjudicates between …

Monika Nalepa

16-08-2020 Open Access

The foundations of the “public organisation”: governance failure and the problem of external effects

The article constructs a model of firm governance that considers the wider effects of economic activity, thus bridging the organisational level and the macro level. The theoretical framework builds on Hansmann’s ownership model and introduces an …

Silvia Sacchetti, Carlo Borzaga


Science, technology, innovation, theory and evidence: the new institutionality in Colombia

It is widely recognized that the design and application of suitable and robust science, technology and innovation (STI) policies and appropriate STI institutions promote development, economic growth and competitiveness in the long run. This paper …

Clara Inés Pardo Martínez, Alexander Cotte Poveda


Anatomy of a Crisis: Structural Factors Contributing to the Collapse of Urban Municipal Governance in Emfuleni, South Africa

Why is urban local government failing in many South African secondary cities? Through the example of a major instance of governance collapse in the Emfuleni local municipality, this article discusses the fault lines in the legal and structural …

Marius Pieterse


The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis

We examine the predictability of private and public real estate returns using recursive, out-of-sample, linear and Markov switching models, employing a rich set of predictor variables. We find considerable improved predictive power compared to …

Massimo Guidolin, Manuela Pedio, Milena T. Petrova

07-08-2020 | Original Research

Auditor response to changing risk: money market funds during the financial crisis

Audits provide monitoring for investors. The collapse of markets across the financial crisis made assets more difficult to value, which increased risk for auditors. The money markets were at the center of the financial crisis increasing audit …

Kyle D. Allen, Drew B. Winters

05-08-2020 | Original Research

Impact of Market Expectations on the U.S. Interest Rate Lift-Off in ASEAN-5 Financial System

During 2015–2016, the market has lowered its expectations on the pace and magnitude of U.S. interest rate lift-off, which should have reduced capital outflow and supported the ASEAN-5 financial markets. Yet, the ASEAN-5 financial markets have …

Teik-Khim Ooi, Wee-Yeap Lau


Breaking the Word Bank: Measurement and Effects of Bank Level Uncertainty

Banks differ from non-financial firms as banks must communicate to both regulators and shareholders. Also, unlike non-financial firms, banks possess opaque and complex balance sheets and are the main providers of credit to the real economy. In …

Paul E. Soto

03-08-2020 | Issue 3/2020

Civil War, Institutional Change, and the Criminalization of the State: Evidence from Guatemala

The relationship between war and state formation is a central topic in the social sciences. While scholarship on interstate war posits that conflict triggers extractive processes that build the state, research findings on the effects of intrastate …

Rachel A. Schwartz

31-07-2020 | Issue 4/2020

Flight-to-quality in the stock–bond return relation: a regime-switching copula approach

This paper examines the existence, intensity and international dependence of flight-to-quality from stocks to government bonds. To this end, we develop a two-state regime-switching bivariate copula model and apply it to the domestic and …

Minoru Tachibana

30-07-2020 | Original Research

Reformulating prospect theory to become a von Neumann–Morgenstern theory

This paper reformulates Kahneman–Tversky’s (KT’s) cumulative prospect theory to become a von Neumann–Morgenstern (vNM) theory that is compatible with many existing economic, finance, psychology and decision theories. This vNM theory has the …

Jack Clark Francis


Price Dynamics in Public and Private Commercial Real Estate Markets

In this paper, we examine price dynamics, cycles and lead-lag relationships between private and public commercial real estate markets. We utilize wavelet technology to capture both the frequency and the time variations of a time series. We find …

Ying Fan, Abdullah Yavas

29-07-2020 Open Access

Electricity derivatives: an application to the futures Italian market

Since the liberalization of electricity markets, electricity prices are more volatile and expansion in electricity derivatives trading occurs. Indeed, a well-known feature of electricity prices concerns its high volatility. For this reason …

Laura Casula, Giovanni Masala

25-07-2020 | Issue 4/2020

Water Conservation with Managed Aquifer Recharge under Increased Drought Risk

Economic analysis of managed aquifer recharge (MAR) typically focuses on identifying the quantity of water to add cost-effectively to natural rates of recharge. However, to the extent that MAR is successful, higher groundwater levels or at least …

Dat Q. Tran, Kent Kovacs, Steve Wallander

24-07-2020 | Original Research

Beta-Anomaly: Evidence from the Indian Equity Market

The study investigates the existence of beta-anomaly in the Indian equity market. A growing body of literature shows that financial markets do not reward the risk (defined in terms of standard deviation or market beta). These results (known as …

Asgar Ali, K. N. Badhani

24-07-2020 | Original Paper | Issue 2/2020

Climate change, catastrophes and Dismal Theorem: a critical review

The aim of this paper is to provide an overview of the main studies about catastrophic scenarios and environmental policy in the presence of natural disaster risks related to climate change. We investigate how literature has analysed these topics …

Andrea Rampa

23-07-2020 | Original Paper | Issue 4/2020

A Social Commons Ethos in Public Policy-Making

In the business ethics literature, a commons paradigm orients theorizing toward how civil society can promote collaboration and collectively govern shared resources, and implicates the common good—the ethics of providing social conditions that …

Jennifer Lees-Marshment, Aimee Dinnin Huff, Neil Bendle


The Beta Anomaly in the REIT Market

This research examined whether the beta anomaly exists in the REIT market. By analysing a low-minus-high beta strategy and a betting-against-beta strategy in the REIT market, we find that high-beta REITs earn significantly lower risk-adjusted …

Jianfu Shen, Eddie C.M. Hui, Kwokyuen Fan

23-07-2020 | Issue 4/2020

A Framework for Explaining Black-White Inequality in Homeownership Sustainability

To explain racially differential housing outcomes, previous studies have tended to concentrate on discriminatory processes within the mortgage market while ignoring homeowning families’ broad socioeconomic challenges. This study proposes a …

Chunhui Ren

21-07-2020 | Original Research

Comparative Study of Momentum and Contrarian Behavior of Different Investors: Evidence from the Indian Market

We examine the investment behavior of Foreign Portfolio Investors (FPIs), Domestic Institutional Investors (DIIs), and retail investors based on past returns in the Indian context. Using the quarterly shareholding and return data of Indian firms …

Bhaskar Chhimwal, Varadraj Bapat

21-07-2020 | Original Research

Predicting Wheat Futures Prices in India

Futures markets perform their economic roles of price discovery and hedging only when they are efficient. One of the important features of efficient market is that one cannot make abnormal profits from the futures markets by trading in it. This …

Raushan Kumar

20-07-2020 | Issue 4/2020 Open Access

Global Inequality in a more educated world

Better-educated and younger cohorts from developing countries are entering the global labor market. This education wave is altering the skill and geographic composition of the global labor market, and impacting income distribution, at the national …

Amer Ahmed, Maurizio Bussolo, Marcio Cruz, Delfin S. Go, Israel Osorio-Rodarte


Bermudan option in Singapore Savings Bonds

The Singapore Savings Bonds (SSB) is a unique investment program offered by the Singapore government whereby retail investors can earn risk-free tax-free step-up interest closely matched to Treasury bond rates for up to 10 years and can redeem on …

Kian Guan Lim

17-07-2020 | Original Research

Size Effect in Indian Equity Market: Myth or Reality?

This study revisits size effect and its associated issues, in the Indian market, as recent studies question the persistence of size premium in the global context. We use data from NIFTY 200 stocks for the period 2005 to 2018 and find size effect …

Vibhuti Vasishth, Sanjay Sehgal, Gagan Sharma

14-07-2020 | Issue 3/2020

Does financial reporting misconduct pay off even when discovered?

Experts and popular belief contend that it pays to engage in financial misconduct. We hand-collect data on three subsamples of severe misconduct cases, between 2003 and 2016: a sample of 37 (100) SEC enforcement actions (class action lawsuits) …

Dan Amiram, Serene Huang, Shiva Rajgopal

14-07-2020 | Original Research

Differential risk effect of inside debt, CEO compensation diversification, and firm investment

The main purposes of this paper are to study (1) a differential effect of inside debts on components of the firm risk, and (2) how it relates to the diversification of CEOs’ portfolios to reduce exposures to the firm risk. We find that …

Cheng-Few Lee, Chengru Hu, Maggie Foley


Is the future really observable? A practical approach to model monetary policy rules

We take a practical approach to model the forward-looking monetary policy rule. Unlike existing studies, we recognize that the forward-looking components—future inflation and output growth—are intrinsically unobserved at the time policy …

Hardik A. Marfatia


Social Capital and Mortgage Delinquency

This study offers a simple theoretical model and empirical evidence to address the impact of social capital on mortgage delinquency. Social capital includes the norms, values, trust, and information common to a social network, which enable …

Lingxiao Li, Erdem Ucar, Abdullah Yavas

10-07-2020 | ARTICLES | Issue 3/2020

El-Hajj Malik El-Shabazz: the Continuity and Legacy of a Critical Africana Human Rights Consciousness

This article places El-Hajj Malik El-Shabazz’s praxis, as well as the Africana [Black] movement for freedom, into a human rights discourse. Exploring his evolution into an internationalist activist-theoretician in five rhythmic movements, if you …

James Pope

09-07-2020 | Original Research

Intertemporal asset pricing with bitcoin

This paper develops and tests an intertemporal regime-switching asset pricing model characterized by heterogeneous agents that have different expectations about the persistence and volatility of bitcoin prices. The model is estimated using daily …

Dimitrios Koutmos, James E. Payne

02-07-2020 | Issue 5/2020

Resolution of the Internal Audit-Based Role Conflicts in Risk Management: Evidence from Signaling Game Analysis

This study analyzes the inherent role conflicts of internal audit in risk management and clarifies the conditions for the resolution of them using a signaling game model. In the model, we determined five perfect Bayesian Nash equilibriums. The …

Halis Kiral, Hakan Karabacak

01-07-2020 | Original Article | Issue 13/2020

Assessing the transport of rare earth elements in runoff in a small watershed developed on a coarse-grained granite area in southern China

The transport of rare earth elements (REEs) in surface runoff could have adverse ecological and public health impacts in some regions. In this study, the transport of REEs in a small watershed developed on coarse-grained granite in southern China …

Meixia Liang, Zhibiao Chen, Qiang Lin, Zhiqiang Chen, Qingqing Zhang, Xiaolin Ou, Yanmin Xie, Shaoyun Peng

01-07-2020 | Original Research Open Access

Earnings forecasts: the case for combining analysts’ estimates with a cross-sectional model

We propose a novel method to forecast corporate earnings, which combines the accuracy of analysts’ forecasts with the unbiasedness of a cross-sectional model. We build on recent insights from the earnings forecasts literature to improve analysts’ …

Vitor Azevedo, Patrick Bielstein, Manuel Gerhart

01-07-2020 | Information & Technologie | Issue 5/2020

Digitalisierung im Corporate Treasury Management

Eine Analyse von 59 Publikationen lässt erkennen, wie sich die Digitalisierung auf den Bereich des Corporate Treasurys in Deutschland auswirkt. Schon heute sind grundlegende Veränderungen sichtbar. Auch in Zukunft, so die Prognose, werden die …

Thomas K. Birrer, Florian Schreiber

25-06-2020 | Issue 4/2020

Intertemporal variation in the information content of aggregate earnings and its effect on the aggregate earnings-return relation

We develop and test explanations for sources of intertemporal variation in the information content of aggregate earnings and how that variation explains variation in the relation between aggregate earnings growth and market returns over time. We …

Jaewoo Kim, Bryce Schonberger, Charles Wasley, Hunter Land


On the linkage between government expenditure and output: empirics of the Keynesian view versus Wagner’s law

Using disaggregated data based on the classification of functions of government (COFOG), this study seeks to verify the Keynesian view versus Wagner’s law on the relationship between government expenditure and output, considering Turkey as a case …

Philip Arestis, Hüseyin Şen, Ayşe Kaya

21-06-2020 | Issue 4/2020

Tax-savvy executives

We investigate why firms include individuals with significant professional tax experience on their senior management team and the consequences associated with the presence of these tax-savvy executives. We find that past performance, network …

Thomas R. Kubick, Yijun Li, John R. Robinson

19-06-2020 | Issue 3/2020

The Ebb and Flow of Federal Sector Labor-Management Relations Policies under Four Successive Presidents

Federal sector labor-management relations policies ebb and flow with changes in presidential administrations. As the nation’s Chief Executive, the president exercises considerable influence over both policy and practice in this domain. We review …

Marick F. Masters, Robert Albright, Raymond F. Gibney

18-06-2020 | Issue 4/2020

Negative accounting earnings and gross domestic product

Konchitchki and Patatoukas Journal of Accounting and Economics 57 (1-2), 76–88, (2014a) show that aggregate accounting earnings growth predicts future nominal gross domestic product (GDP) growth and that professional macro forecasters do not fully …

Fabio B. Gaertner, Asad Kausar, Logan B. Steele

18-06-2020 | Original Paper | Issue 4/2020

The impacts of civil society and inequality on the extractive capacity of authoritarian regimes: a conceptual model and the case study of Vietnam

This paper analyses the impacts of civil society and inequality on the extractive capacity of authoritarian regimes and undertakes a case study of Vietnam. The paper argues that civic groups tend to reduce the extractive capacity of such states …

Thai Q. Nguyen, Giang K. Nguyen


Taxation, credit frictions and the cyclical behavior of the labor wedge

Labor-income and consumption taxes are often referred to as the primary causes of the labor wedge and differences in hours worked across countries. While this can be potentially true in the long run, its premise for explaining the cyclical …

Salem Abo-Zaid

12-06-2020 | Original Article

Memory augmented hyper-heuristic framework to solve multi-disciplinary problems inspired by cognitive problem solving skills

This paper proposes a new framework, named Deja-Vu+, which is an extension of Deja Vu framework, a classic study on hyper-heuristic framework with 2R (Record and Recall) modules. Deja-Vu+ has the ability to handle two other domains, namely …

Samina Naz, Hammad Majeed, Farrukh Aslam Khan


Patent protection and public capital accumulation

This paper examines the balanced-growth-maximizing public investment policy in a growth model where the engines of economic growth are private R&D and public capital accumulation. The government allocates tax revenue between new investment and …

Ken Tabata

08-06-2020 | Original Paper

Partner Gender Differences in Prestige of Clients Served at the Largest U.S. Audit Firms

Despite tremendous investment to promote gender equity, U.S. public accounting firms continue to be gendered organizations. Our archival study examines gender equity within the partnership of these large firms for a one-year period. We find female …

Elizabeth D. Almer, M. Kathleen Harris, Julia L. Higgs, Joseph R. Rakestraw

07-06-2020 | ORIGINAL ARTICLE | Issue 6/2020

Monetary losses caused by the absence of packaging reverse logistics: environmental and economic impacts

Reverse logistics systems are one of the instruments brought by the Brazilian National Solid Waste Policy (PNRS), to improve waste management in the country. Packaging materials play a big part on waste generation and present a high recovery …

Fernanda Olivo, Mário Cesar Junqueira, Matheus Barros Furlan, Priscilla Azambuja Justi, Priscila de Morais Lima


Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions

In a recent study, Maheu et al. (Int J Forecast 36: 570–587, 2020) suggest a predictive regression model, where besides the conditional mean, the lagged value of the predictor of interest can also impact the dependent variable through the …

Nima Nonejad

01-06-2020 | Original Research

Alternative profitability measures and cross-section of expected stock returns: international evidence

This paper provides an extensive international analysis of the cross-sectional return predictive power of a variety of firm-level profitability measures, calculated from different combinations of measures of earnings and scaling variables. We show …

Nusret Cakici, Sris Chatterjee, Yi Tang, Lin Tong

29-05-2020 | Issue 4/2020

The U.S. term structure and return volatility in emerging stock markets

This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and the maturity premium, we …

Riza Demirer, Asli Yuksel, Aydin Yuksel

28-05-2020 | Original Research

Strategic usefulness of ignorance: evidence from income smoothing via retained interest of securitized loans

This paper examines the notion of strategic ignorance in an earnings management context. Managers possess less information about loans subjected to securitization and auditors are aware of this shortcoming. Consistent with managers exploiting …

Emre Kilic, Gerald Lobo, Tharindra Ranasinghe, Lin Yi

27-05-2020 | Original Research Paper | Issue 2/2020

Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets

The 2008–2009 Global Financial Crisis (GFC) has swayed regulators to set forth the Solvency II agreement for determining Solvency Capital Requirement (SCR) for insurance companies. In this paper, we apply novel internal models to investigate …

Saeed Asadi, Mazin A. M. Al Janabi


Distance to Headquarter and Real Estate Equity Performance

We study the effect of geographic portfolio diversification of real estate firms on their investment performance before and after the global financial crisis (GFC). In addition to previously used dispersion metrics, we also account for the …

Stanimira Milcheva, Yildiray Yildirim, Bing Zhu

26-05-2020 | Original Paper

Who Benefits? Race, Immigration, and Assumptions About Policy

Existing scholarship suggests that attitudes about the real or imagined beneficiaries or targets of public policies shape public opinion about those policies, with racial and ethnic stereotypes driving policy evaluations for many Americans.

Jake Haselswerdt

26-05-2020 Open Access

Asian options with zero cost-of-carry: EEX options on freight and iron ore futures

The Turnbull–Wakeman (J Financ Quant Anal 26:377, 2003) formula is a well-known formula for continuous arithmetic average rate options. However, the Turnbull–Wakeman formula was originally only developed for Asian options when the cost-of-carry is …

Espen Gaarder Haug

24-05-2020 | Original Research | Issue 3/2020 Open Access

Understanding the (non-)Use of Societal Wellbeing Indicators in National Policy Development: What Can We Learn from Civil Servants? A UK Case Study

Gross Domestic Product is often used as a proxy for societal well-being in the context of policy development. Its shortcomings in this context are, however, well documented, and numerous alternative indicator sets have been developed. Despite …

Christine Corlet Walker, Angela Druckman, Claudio Cattaneo

22-05-2020 | Original Article | Issue 4/2020

The potential contribution of building codes to climate change response policies for the built environment

Improved building energy efficiency has been shown to contribute substantially to global greenhouse gas abatement objectives. Realisation of these benefits depends on the deployment of appropriate policy instruments. Building energy codes have the …

Robert A. Enker, Gregory M. Morrison

20-05-2020 | Issue 6/2020

Social Security reform: three Rawlsian options

To maintain long-run solvency in light of changing demographics, the US Social Security system needs to be reformed. We present three reform options that protect the retirement benefits of the economically vulnerable while also balancing the …

Erin Cottle Hunt, Frank N. Caliendo

18-05-2020 | Issue 3/2020

Time reversal and last passage time of diffusions with applications to credit risk management

We study time reversal, last passage time and h$h$-transform of linear diffusions. For general diffusions with killing, we obtain the probability density of the last passage time to an arbitrary level and analyse the distribution of the time left …

Masahiko Egami, Rusudan Kevkhishvili


Measuring monetary policy: rules versus discretion

In this paper, we propose a novel method to measure the strength of commitment versus discretion in monetary policy. We estimate a Taylor-type monetary policy rule with time-varying heteroskedasticity, decomposing the policy into rule-based and …

Narek Ohanyan, Aleksandr Grigoryan

14-05-2020 | Original Article | Issue 4/2020

A modelling framework for the diffusion of low carbon energy performance contracts

The building sector contributes significantly to global energy consumption and CO2 emissions. It is urgent to reduce them through the retrofit of the current building stock and improvements in new building designs. The energy performance contracts …

G. Papachristos

13-05-2020 | Issue 2/2020

Aiding Dependency: a Cross-National Analysis of Foreign Aid and Tax Compliance

This paper argues that foreign aid undermines tax compliance, and examines three causal mechanisms that may undergird this relationship: By leading the recipient state to under-invest in tax enforcement, substituting for the state in terms of …

Josiah Marineau

12-05-2020 | Research Paper

Good Enough for Government Work? Life-Evaluation and Public Policy

A life-evaluation question asks a person to quantify his or her overall satisfaction with life, at the time when the question is asked. If public policy seeks to make individuals’ lives better, does it follow that changes in aggregate …

Noel Semple

09-05-2020 Open Access

Applying Benford’s Law to Detect Accounting Data Manipulation in the Banking Industry

We utilise Benford’s Law, which predicts the frequencies in different digits in data, to test if balance sheet and income statement data used to assess bank soundness were manipulated prior to, and also during, the global financial crisis. We find …

Theoharry Grammatikos, Nikolaos I. Papanikolaou

08-05-2020 | Original Research | Issue 4/2020

Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market

Motivated by the exponential growth of the cryptocurrency market and the need for more empirical work to understand the dynamics of the young financial market, this paper, through time- and frequency-varying techniques examines the extent of …

Maurice Omane-Adjepong, Imhotep Paul Alagidede


Six decades of inflation and money demand

The present estimates of dollar demand treat inflation as a separate variable in a money market model with annual data covering nearly six decades from 1960 to 2017. The difference stationary series lead to robust error correction estimates in …

Alexi Thompson, Henry Thompson

01-05-2020 | Karriere | Issue 5-6/2020

Verdienstaussichten trüben sich ein

Kurz vor Ausbruch der Corona-Krise waren die Chancen am Arbeitsmarkt für Banken und Sparkassen noch gut. Trotz Filialschließungen werden auch künftig noch kompetente Mitarbeiter gesucht, doch diese werden häufig relativ schlecht bezahlt. Institute …

Rainer Spies

30-04-2020 | Original Paper Open Access

A risk management perspective on CSR and the marginal cost of debt: empirical evidence from Europe

This article investigates the association between CSR and marginal credit costs of European companies. We provide instance for a negative association based on a variety of model specifications and fine-grained measures for CSR. These results can …

Othar Kordsachia

30-04-2020 | Issue 4/2020

Portfolio Risk and Return with a New Simple Moving Average of Price Change Ratio

Cluster analysis is a commonly used technique by investors to create a diversified portfolio. The approach aims at maximizing returns for a tolerable degree of risks. To diversify effectively, investors use similarity measures to enable …

Jirapond Muangprathub, Arthit Intarasit, Laor Boongasame, Nattakarn Phaphoom


Sustainability of current account balances in MENA countries: threshold cointegration approach

This document aims to determine the empirical link between current account balances and a set of economic variables proposed by the theoretical and empirical literature. To do this, we first use a generalized method of moments (GMM) dynamic panel …

Rihab Bousnina, Srdjan Redzepagic, Foued Badr Gabsi

28-04-2020 | Original Research

Do futures lead the index under stress? Evidence from the 2015 Chinese market turmoil and its aftermath

Do index futures still lead the spot market over government intervention or under trading restrictions? This intriguing question can be explored in the context of the 2015 Chinese market turmoil with frequent government interventions and its …

Shuxin Guo

27-04-2020 | Original Article | Issue 4/2020

Empirical Assessment of Money Demand Stability Under India’s Open Economy: Non-linear ARDL Approach

This study explores stability issues of money demand in the wake of a new economic policy regime of India’s open economy, particularly since the 1990s. The study covers dataset on quarterly frequency from 1996: Q2 to 2016: Q3. In this paper, it is …

Masudul Hasan Adil, Salman Haider, Neeraj R. Hatekar

23-04-2020 | Article | Issue 2/2020 Open Access

Progress Toward Implementing the Sendai Framework, the Paris Agreement, and the Sustainable Development Goals: Policy from Aotearoa New Zealand

In 2015, Aotearoa New Zealand became a signatory to the Sendai Framework for Disaster Risk Reduction 2015–2030 (Sendai Framework), the Paris Climate Change Agreement (Paris Agreement), and the Sustainable Development Goals (SDGs). Since 2017 …

Wendy S. A. Saunders, Scott Kelly, Suzanne Paisley, Larissa B. Clarke

22-04-2020 | Original Research | Issue 4/2020

Do Fund Investors Consider Asset Returns? Substitute Relation Among Investment Funds in Korea

This study aims to investigate whether fund investors change their investment fund type depending on the return change of assets such as stocks, bonds, and housing. For this purpose, we examine the substitution relation among the equity, bond, and …

Young-Min Kim

20-04-2020 | Original Paper Open Access

Public or perish? From founding to initial public offering

We examine the factors affecting the time to initial public offering (IPO), using a sample of more than 10,000 start-up firms in Japan. We provide evidence that start-up firms engaging in innovative and uncertain businesses are more likely to go …

Yuji Honjo

17-04-2020 | Issue 3-4/2020

The broken bridge of public finance: majority rule, earmarked taxes and social engineering

Nobel laureate James Buchanan was influenced substantially by Knut Wicksell’s arguments in favor of unanimous consent or “qualified majorities” for approving or rejecting specific public spending programs. Buchanan thought of Wicksell’s …

William F. Shughart II, Josh T. Smith

16-04-2020 | Original Research | Issue 4/2020

Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps

In this article, we develop a semi-analytical solution for a structural model that combines jump and regime switching risk. We use an Esscher transform that is applicable to regime switching double exponential jump diffusion to move from the …

Olivier Le Courtois, Xiaoshan Su

16-04-2020 | Original Article | Issue 2-3/2020 Open Access

Collaborative models for autonomous systems controller synthesis

We show how detailed simulation models and abstract Markov models can be developed collaboratively to generate and implement effective controllers for autonomous agent search and retrieve missions. We introduce a concrete simulation model of an …

Douglas Fraser, Ruben Giaquinta, Ruth Hoffmann, Murray Ireland, Alice Miller, Gethin Norman


An application of Sigmoid and Double-Sigmoid functions for dynamic policyholder behaviour

The growing relevance of risk-based valuations of insurance contracts has stimulated the extension of the traditional deterministic lapse rate models towards a dynamic modelling. A popular dynamic model uses deterministic lapse rates as base rates …

Fabio Baione, Davide Biancalana, Paolo De Angelis

15-04-2020 | Issue 2/2020

Portfolio creation using artificial neural networks and classification probabilities: a Canadian study

This study aims to verify whether using artificial neural networks (ANNs) to establish classification probabilities generates portfolios with higher excess returns than using ANNs in their traditional role of predicting portfolio returns. Our …

Tania Morris, Jules Comeau

14-04-2020 | Original Research | Issue 4/2020

When enough is not enough: bank capital and the Too-Big-To-Fail subsidy

This paper takes a unique approach to study the relationship between bank capital and Too-Big-To-Fail (TBTF) during the Financial Crisis. A structural credit risk model is used to compute implied market value capital ratios which, when compared to …

Michael B. Imerman

03-04-2020 | Original Research Paper | Issue 1/2020

The determinants of lapse rates in the Italian life insurance market

We investigate the drivers of lapses in life insurance contracts of a large Italian insurance company. We consider both traditional (with profit or participating) and unit-linked policies. We develop two different types of analyses. First of all …

Emilio Barucci, Tommaso Colozza, Daniele Marazzina, Edit Rroji

03-04-2020 | Issue 2/2020

Vulnerability of Complex Network Structures and Systems

Structural and functional approaches to the determination of vulnerability of complex network structures and systems to negative internal and external influences are considered. The concept of parameters of influence and betweenness of system …

O. D. Polishchuk

02-04-2020 | Issue 3/2020 Open Access

No–arbitrage commodity option pricing with market manipulation

We design three continuous-time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk-neutral producer and a representative risk-neutral trader. Depending on the model, the producer …

René Aïd, Giorgia Callegaro, Luciano Campi

01-04-2020 | Titel | Issue 4/2020

Leistungen mit Komfort anbieten

Die Digitalisierung macht vor keinem Unternehmen halt. Deshalb gibt es bei allen Dienstleistungen und Produkten, die Firmenkunden die digitale Transformation und den Alltag erleichtern, Ertragschancen für Geldhäuser.

Barbara Bocks


Does the belt and road initiative resolve the steel overcapacity in China? Evidence from a dynamic model averaging approach

The Belt and Road Initiative (BRI) is an important long-term development plan in China. The initiative aims at expanding international markets and resolving the domestic steel overcapacity. This paper applies the dynamic model averaging and …

Zhongxin Ni, Xing Lu, Wenjun Xue


Entrepreneurial fintech clusters

We study the formation and dynamics of entrepreneurial clusters in the emerging fintech industry. Using detailed data on the almost 1000 fintech startups in France to date, we find that most fintechs are geographically clustered and that the …

Marco Gazel, Armin Schwienbacher


Positive Payment Shocks, Liquidity and Refinance Constraints and Default Risk of Home Equity Lines of Credit at End of Draw

Using a unique and comprehensive dataset of loan-level home equity lines of credit serviced by large US national banks, we confirm that default risk of home equity lines of credit increases at end of draw. More importantly, we quantify the …

Min Qi, Harald Scheule, Yan Zhang

18-03-2020 | Issue 4/2020

A Bayesian Approach for Dynamic Variation of Specific Sectors in Stock Exchange: A Case Study of Stock Exchange Thailand (SET) Indexes

This paper aims to investigate the identification of sectors of stock exchange that were positively or negatively driven by fundamental monetary tools. A Bayesian approach for dynamic model averaging (DMA) algorithm is analyzed and implemented to …

Paponpat Taveeapiradeecharoen, Nattapol Aunsri

13-03-2020 | Original Article | Issue 2/2020 Open Access

The Influence of the Organizational Structure, Environment, and Resource Provision on the Use of Accrual Accounting in Municipalities

Despite its benefits, municipalities frequently struggle to take advantage of accrual accounting as a basis for managerial decisions. We assume that the reason for this is that municipalities technically implement accrual accounting but sometimes …

Christian Nitzl, Dennis Hilgers, Bernhard Hirsch, David Lindermüller

12-03-2020 | Original Research | Issue 4/2020

On the Importance of Questioning Within the Ideal Model of Critical Discussion

Both questions as abstract objects and the speech acts, here called requests, by which we ask them play an enormous role in all argumentative practices. Nonetheless, there is hardly a proper systematic treatment of questions and requests in …

Fernando Leal


How safe are central counterparties in credit default swap markets?

We propose a general framework for estimating the vulnerability to default by a central counterparty (CCP) in the credit default swaps market. Unlike conventional stress testing approaches, which estimate the ability of a CCP to withstand …

Mark Paddrik, H. Peyton Young

07-03-2020 | Issue 3-4/2020

The anti-discriminatory tradition in Virginia school public choice theory

This paper investigates the historical relationship between the emergence of public choice theory in the 1960s and the problem of racial discrimination. Drawing upon archival research, I argue that foundational public choice scholars brought …

Phillip W. Magness


Estimating a time-varying financial conditions index for South Africa

This paper uses 39 monthly time series of the financial market observed from January 2000 to April 2017 to estimate a financial conditions index (FCI) for South Africa. The empirical technique used is a dynamic factor model with time-varying …

Alain Kabundi, Asithandile Mbelu

05-03-2020 | Research Article | Issue 2/2020

A computable general equilibrium model for banking sector risk assessment in South Africa

In this article a banking sector Computable general equilibrium (CGE) model for South Africa is developed. The model is used to estimate the potential effect of regulatory policy on the economy and as a risk assessment tool to assess how changes …

Conrad F. J. Beyers, Allan De Freitas, Kojo A. Essel-Mensah, Reyno Seymore, Dimitrios P. Tsomocos

04-03-2020 | Research Paper

Socio-Economic Inequality of Wellbeing: A Comparison of Switzerland and South Africa

The study seeks answers to the broader question on the income-wellbeing nexus through a seldom utilised technique of concentration index to measure income related wellbeing inequality. The analysis is undertaken in the vastly differing income and …

Umakrishnan Kollamparambil

02-03-2020 | Research Article | Issue 4/2020

Optimization of covered calls under uncertainty

We present a two-stage stochastic program with recourse to construct covered call portfolios. To maximize the expected utility of a covered call portfolio, the model selects equity positions and call option overwriting weights for varying strike …

Mauricio Diaz, Roy H. Kwon

01-03-2020 | Original Article | Issue 6/2020

Morphometry as tool to trace out the genealogy of oxbow lake

Morphometry of oxbow lakes is widely used as a tool for knocking the evolutionary history of geomorphology and hydraulics of the region concerned. Oxbow lakes are the treasury of abundant geomorphological records of yesteryears which could serve …

Balai Chandra Das, Aznarul Islam, Biswajit Biswas

01-03-2020 | Strategie | Issue 2-3/2020

Neue Benchmarks verändern das Treasury

Die Europäische Bankenaufsicht drängt auf eine angemessene Reform der Referenzzinssätze. Denn eine allzu abwartende Haltung der beteiligten Institute könnte zu großen systemischen Risiken führen.

Christoph Schmid


Short-Term andLong-TermDiscountRates For Real Estate Investment Trusts

How should we discount cash flows generated by real estate projects up to 30 years in the future? In this paper, we develop a methodology to estimate the term structure of discount rates. We provide empirical estimates of the yield curve for the …

Carmelo Giaccotto, Erasmo Giambona, Yanhui Zhao

24-02-2020 | Focus | Issue 18/2020

Liquidity transmission and the subprime mortgage crisis: a multivariate GARCH approach

This paper examines the liquidity transmission across the interbank money market by investigating four liquidity measurements. We detect an empirical evidence of the increase in conditional correlation across different liquidity channels during …

Ling Xiao, Gurjeet Dhesi, Eduard Gabriel Ceptureanu, Kevin Lin, Claudiu Herteliu, Babar Syed, Sebastian Ion Ceptureanu

15-02-2020 | Issue 1/2020

Insider Share-Pledging and Equity Risk

Corporate insiders frequently borrow from lending institutions and pledge their personal equity as collateral for the loan. This borrowing, or pledging, potentially affects shareholder risk through changing managerial incentives or contingency …

Ronald Anderson, Michael Puleo

08-02-2020 | Research Article | Issue 1/2020

From Economic Cooperation to Strategic Competition: Understanding the US-China Trade Disputes through the Transformed Relations

This article investigates the escalation of US-China trade disputes and the implications for Sino-US relations. Both structural realism and liberal institutionalism have failed to pay sufficient attention to the evolution of the US-China economic …

Zhaohui Wang, Jinghan Zeng


Sources of current account fluctuations in Taiwan: 1989–2015

In this paper, we use a small open economy model with nontradable goods and time-varying interest rates to investigate the sources of fluctuations in Taiwan’s current account. The correlation coefficient between the implied path of the current …

Yu-Hsi Chou, Chun-Yen Tsai


Federal Reserve policy after the zero lower bound: an indirect inference approach

Regardless of whether the federal funds target rate has lifted off from the zero lower bound, the historical record of interest rates will be forever marred by the lack of variation in the aftermath of the great recession. This paper employs a …

Lealand Morin, Ying Shang

06-02-2020 | Original Paper Open Access

Identity Drift: The Multivocality of Ethical Identity in Islamic Financial Institution

In today’s neo-liberalist world, Islamic financial institutions (IFIs) face many difficulties combining contemporary financial thinking with Islamic, faith-based principles, on which their day-to-day operations ought to be based. Hence, IFI are …

Nunung Nurul Hidayah, Alan Lowe, Ivo De Loo

31-01-2020 | Issue 2/2020

Do excessively volatile forecasts impact investors?

There is a logical bound on the time-series variability of analyst forecasts; when variability exceeds this bound it must be caused by something besides statistically rational forecasting. We document occurrences of excessively volatile analyst …

Russell Lundholm, Rafael Rogo

30-01-2020 | Original Paper Open Access

The Transformation from Traditional Nonprofit Organizations to Social Enterprises: An Institutional Entrepreneurship Perspective

The development of commercial revenue streams allows traditional nonprofit organizations to increase financial certainty in response to the reduction of traditional funding sources and increased competition. In order to capture commercial …

Wai Wai Ko, Gordon Liu

30-01-2020 | Issue 5/2020

The impact of population size on the risk of local government default

Since the outbreak of the international economic crisis in 2008, governments’ fiscal policies have been strongly influenced by high levels of public debt and default. Studies of the causes of debt problems for large local governments have …

Dionisio Buendía-Carrillo, Juan Lara-Rubio, Andrés Navarro-Galera, María Elena Gómez-Miranda


On the Consequences of the Discontinuation of the Eleventh District Cost of Funds Index

The Federal Home Loan Bank of San Francisco announced its intention to discontinue the three Eleventh District Weighted Average Cost of Funds Indexes (COFI). As these indexes are used to benchmark many ARM mortgages, their discontinuation raises …

Jerry Nickelsburg, William Yu

28-01-2020 | Research Article | Issue 3/2020

Robust trade-off portfolio selection

Robust portfolio selection explicitly incorporates a model of parameter uncertainty in the problem formulation, and optimizes for the worst-case scenario. We consider robust mean–variance portfolio selection involving a trade-off between the …

Joong-Ho Won, Seung-Jean Kim

27-01-2020 | Original Article | Issue 4/2020

Order Flows, Investor Sentiments and Feedback Trade in Index Futures Market

This paper examines the presence of feedback trading, and investor sentiment drove feedback trading by traders in the Nifty 50 index futures contract in India. The results of the study using high-frequency data sampled at 10 min interval using VAR …

Ameet Kumar Banerjee, H. K. Pradhan

24-01-2020 | S.I. : ATCI 2019 | Issue 10/2020

Application of improved adaptive Kalman filter in China’s interest rate market

With the increasing number of data in China’s interest rate market, the model is increasingly complex. For most interest rate models at this stage, its parameter estimation has become the focus of many scholars in recent years. At present, for the …

Qisong Zhang, Xuebiao Wang, Xin Zhou, Qian Chen


Favoring co-partisan controlled areas in central government distributive programs: the role of local party organizations

We analyze the non-contributory health insurance program (“green cards”) in Turkey with RDD (Regression Discontinuity Design) and show that more citizens receive green cards in municipalities controlled by the national incumbent party, AKP …

Özge Kemahlıoğlu, Reşat Bayer

14-01-2020 | Regular Article | Issue 4/2020

A path integral approach to business cycle models with large number of agents

This paper presents an analytical treatment of economic systems with an arbitrary number of agents that keeps track of the systems’ interactions and agents’ complexity. This formalism does not seek to aggregate agents. It rather replaces the …

Pierre Gosselin, Aïleen Lotz, Marc Wambst

14-01-2020 | Focus | Issue 18/2020

Using Markov-switching models with Markov chain Monte Carlo inference methods in agricultural commodities trading

In this work, the use of Markov-switching GARCH (MS-GARCH) models is tested in an active trading algorithm for corn and soybean future markets. By assuming that a given investor lives in a two-regime world (with low- and high-volatility time …

Oscar V. De la Torre-Torres, Dora Aguilasocho-Montoya, José Álvarez-García, Biagio Simonetti

08-01-2020 | Original Paper | Issue 2/2020

The Ethical Implications of Using Artificial Intelligence in Auditing

Accounting firms are reporting the use of Artificial Intelligence (AI) in their auditing and advisory functions, citing benefits such as time savings, faster data analysis, increased levels of accuracy, more in-depth insight into business …

Ivy Munoko, Helen L. Brown-Liburd, Miklos Vasarhelyi

04-01-2020 | Issue 4/2020 Open Access

Voluntary disclosure schemes for offshore tax evasion

Tax authorities worldwide are implementing voluntary disclosure schemes to recover tax on offshore investments. The US and UK, in particular, have implemented such schemes in response to bulk acquisitions of information on offshore holdings …

Matthew Gould, Matthew D. Rablen

04-01-2020 | Issue 4/2020

Price Volatility, the Maturity Effect, and Global Oil Prices: Evidence from Chinese Commodity Futures Markets

We study the maturity effect using 41 major agricultural, industrial, and metal commodities traded in three Chinese futures exchanges between 2006 and 2015. After controlling for seasonality, year and product fixed effects, we find supportive …

Jing Ao, Jihui Chen

02-01-2020 | Original Research | Issue 3/2020

US Economic Policy Uncertainty and GCC Stock Market

This study contributes to the scant finance literature on emerging countries by examining the relationship between economic policy uncertainty and monthly indices of Gulf Cooperation Council (GCC) stock markets during the period of July 2004 to …

Abdullah Alqahtani, Miguel Martinez


The limits of central bank independence for inflation performance

The independence of the central bank is routinely regarded as sacrosanct, at least for governments wishing to maintain credible monetary policy to meet inflation objectives. Yet empirical efforts to ascertain that routine economic policy advice …

Jamus Jerome Lim

02-01-2020 | Original Research | Issue 3/2020

Distress risk, product market competition, and corporate bond yield spreads

The purpose of this paper is to examine whether industry-level risk affects corporate bond yield spreads. We use three types of industry risk variables in our empirical analysis: distress exposure measure, industry condition, and product market …

Han-Hsing Lee
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