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Applied Finance Letters
ISSN 2253-5799 · Tuwhera Open Access Publisher · 151 artikel di indeks
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Artikel Jurnal
Investor Behavior in Hedged Mutual Funds: Evidence on Risk Chasing and Misallocation
Hedged mutual funds (HMFs), employing hedge-fund-like strategies such as leverage, short-selling, and derivatives, have become a significant segment of the U.S. fund industry. These strategies generate returns tied to nontraditional or exotic risk factors, raising the question of whether investors…
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Auditor’s Reporting Change and Insider Trading Behavior: Evidence from Critical Audit Matters as an Exogenous Shock
Mandating the public reporting of Critical Audit Matters (CAMs) found during an audit changes when and how negative firm information is disclosed to market participants. These issues must be reported in the firm’s annual 10-K report starting in 2019. Relative to this regulatory change, we find that…
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Sample selection bias for Jackson Pollock auctions: A case study
Jackson Pollock is one of the most influential Post-War American artists. The art critic Clement Greenberg claimed that Pollock’s drip paintings were the culmination of modern art. In this case study, we construct a novel dataset on the auctions of Pollock’s paintings from 1984 to 2023. We consider…
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Artikel Jurnal
Systemic and Failure Risk Effects of the U.S. Regional Bank Crisis
This study investigates the effects of recent large U.S. regional bank failures on industrywide systemic risk as well as individual bank failure risk. We begin by using a logit model of individual bank failure risks to construct aggregate measures of systemic risk over time. Subsequently, mimicking…
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The Effect of Financial Stress on Bitcoin Volatility
This study contributes to the growing literature on the determinants of Bitcoin volatility by examining its relationship with financial stress. Building on prior research linking Bitcoin volatility to broader economic and financial uncertainty, we employ a combination of regression analysis, a…
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Artikel Jurnal
Effectiveness of Central Bank Swap Lines in Alleviating the Mispricing of FX Swaps at the Start of the COVID-19 Pandemic
At the start of the COVID-19 pandemic the increased market volatility and risk aversion led to a deterioration of U.S. Dollar funding conditions in the Euro Area. The swap line interventions by the ECB and Federal Reserve on March 15, 2020 aimed to alleviate the mispricing of EUR/USD FX swaps. We…
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Artikel Jurnal
ETF flows on volatility of NAV returns: Evidence from Chinese markets
The main purpose of this study is to empirically investigate the relationship between ETF flows and the volatility of NAV returns in Chinese ETF markets. Our empirical findings show that there is a positive relationship between ETF flows and the volatility of NAV returns. Additional analysis using…
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Artikel Jurnal
Term Premium Estimates for Brazil in a Model with Survey Expectations
This paper estimates the term premium and equilibrium rates im- plied in the Brazilian yield curve, using a term structure model that incorporates data from survey expectations. Nominal long-term yields in Brazil are explained mostly by fluctuations in the equilibrium real rate.
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Artikel Jurnal
Market Sentiment and Stock Splits
This study examines the impact of stock split events on abnormal returns, identifying significant effects both short-term and long-term. We find that market sentiment plays a crucial role, with abnormal returns being more pronounced during high sentiment periods. Our research highlights two key…
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Impacts of Financial Knowledge and Health on Household Savings Behavior:
The increasing longevity of individuals, coupled with rising financial uncertainty, underscores the critical need for adequate household savings. Despite the importance of financial preparedness, nearly 50% of U.S. households nearing retirement (ages 55-64) lack sufficient savings (U.S. Federal…
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Artikel Jurnal
Green or gray: government-business relations and urban greening construction
This study examines the impact of the government-business relations on urban greening investments in major Chinese cities. We find that the government-business index (GBI) is positively related to urban greening construction. However, the corruption sub-index within the GBI shows a negative…
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Artikel Jurnal
Document Complexity and Trading Volume
This study examines whether the linguistic complexity of corporate risk factor disclosures affects trading behavior. Using a sample of 8,297 firm-year observations from 1,489 unique firms spanning 2006-2024, the analysis examines the relationship between multiple readability measures and abnormal…
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Do Research Topics and Abstract Readability Affect Citation Impact in Leading Finance Journals?
This study examines how research topics and abstract readability influence citation impact in finance journals. Using BERTopic modeling on over 7,000 abstracts from 13 top-tier journals, we identify four core themes—financial markets, banking & credit, corporate finance, and insurance & actuarial…
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CLIMATE RISK AND THE PREDICTABILITY OF JUMPS IN GREEN ASSETS
This paper shows that climate uncertainty can help predict the size and direction of intraday jumps in green assets, both in and out-of-sample. Using tick data to capture the size and intensity of intraday jumps, we find that news that relate to transition climate uncertainty including…
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Artikel Jurnal Teks lengkap
IMPACTS OF RISK PREFERENCE AND SOCIAL INSURANCE ON HOUSEHOLD FINANCIAL MARKET PARTICIPATION IN CHINA: ARE THERE DIFFERENCES BETWEEN URBAN AND RURAL RESIDENTS?
This letter examines the impact of risk preference and social insurance on household financial market participation and diversification using the 2017 and 2019 China Household Finance Survey. A multi-value treatment model is used to address the selection bias between risk preference and household…
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Artikel Jurnal
OIL VOLATILITY-OF-VOLATILITY AND TAIL RISK OF COMMODITIES
We examine the information content of oil volatility-of-volatility (VOV), constructed from the past 1-month OVX (implied volatility in crude oil market), on the expected tail risk of commodities. Specifically, we find oil VOV predicts 1-step-ahead tail risks of Energy, Precious Metals, Agriculture…
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Artikel Jurnal
THE IMPACT OF SOCIAL MEDIA PRESENCE, RESPONSE TIME, CORPORATE ACTIONS ON THE STOCK MARKET: EVIDENCE FROM THE RUSSIA–UKRAINE WAR
This study investigates the influence of social media presence and conflict response on the stock returns during the Russia–Ukraine war. We examined the long-term impacts regarding social media presence, response time, action taken, and industry affiliation using a sample of 174 firms in 10…
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Artikel Jurnal
GEOPOLITICS, UNCERTAINTY, AND CRYPTOCURRENCY: A LOVE TRIANGLE GONE WRONG
This study aims to investigate the spillover effects from geopolitical risks (proxied by the geopolitical risk index GPRD) and cryptocurrencies-related uncertainty (proxied by the Cryptocurrency Uncertainty Index UCRY) to cryptocurrencies. We utilize the Baruník and Křehlík (2018) framework to…
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Artikel Jurnal
The INVESTIGATION OF ASYMMETRIC DYNAMICS OF BORSA ISTANBUL INDEX WITH QUANTILE UNIT ROOT TEST
In this study, we apply the quantile unit root test, which provides robust inferences for non-normal processes based on the quantile autoregression approach, to examine the asymmetric dynamic process of the BIST100 Borsa Istanbul index. The quantile autoregression approach allows the measurement of…
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Artikel Jurnal
Informationally advantaged lenders and the credit derivative market: Evidence from Loan only Credit Default Swap (LCDX)
This paper explores the informational role of the Loan Only Credit Default Index (LCDX) on the pricing of syndicated loans. Despite an extensive body of research on credit indices and loan pricing, limited studies have comprehensively assessed the complex relationship between the LCDX and…