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International Review of Financial Analysis
Papers 1440
1 page of 144 pages (1,440 results)
Published on Jan 1, 2018
Franck Jovanovic9
Estimated H-index: 9
Rosario N. Mantegna , Christophe Schinckus11
Estimated H-index: 11
This paper aims at analyzing the unexpected influence of Financial economics on Physics. The rise of Econophysics, a fundamentally new approach in finance, suggests that the influence between the two disciplines becomes less unilateral than in the past. Methodological debates emerging in Econophysics led physicists to acknowledge that dealing with financial complex systems contributed to a wider modelling of their field. The approach of econophysicists suggests that physicists might try to conce...
Fenghua Wen (U of W: University of Windsor), Longhao Xu (CSU: Central South University)+ -3 AuthorsGang Kou (SWUFE: Southwestern University of Finance and Economics)
Abstract This paper investigates the effect of retail investor attention on stock price crash risk in China. Retail investor attention is measured by the search frequency from the Baidu Index. Using a large sample of Chinese listed firms from 2007 to 2017, the evidence shows that firms with higher retail investor attention tend to have a lower future stock price crash risk. The results are robust to alternative measures of retail investor attention and crash risk. Moreover, higher quality auditi...
Published on Jul 1, 2019in International Review of Financial Analysis 1.69
Wei Huang5
Estimated H-index: 5
(UNNC: The University of Nottingham Ningbo China),
John W. Goodell12
Estimated H-index: 12
(University of Akron),
Hong Zhang (UNNC: The University of Nottingham Ningbo China)
Abstract For a broad, 16-year sample of mergers by Chinese listed firms, we document that income-increasing earnings management through both discretionary accruals and real activities in the year immediately preceding mergers significantly increases the probability of deal payment all or partially in stock. Concomitantly, in contrast to Western developed markets, we find these share-for-share bidders outperform pure-cash bidders during times close to deal announcements; while over longer periods...
Published on Oct 1, 2019in International Review of Financial Analysis 1.69
Yaoyao Fan (SYSU: Sun Yat-sen University), Agyenim Boateng16
Estimated H-index: 16
(DMU: De Montfort University)
+ 1 AuthorsClaire MacRae (GCU: Glasgow Caledonian University)
Abstract This study examines the impact of board-CEO friendship ties on firm value and explores potential channels through which changes in firm value may be conveyed, based on a sample of 1696 publicly listed firms in U.S. over the period of 2000–2014. The study reveals that board-CEO friendship ties have a negative and economically meaningful impact on firm value, as measured by Tobin's Q and Total Q. Regarding potential channels of firm value, we show that the negative influence of board-CEO ...
Published on Oct 1, 2019in International Review of Financial Analysis 1.69
Mahmoud Qadan2
Estimated H-index: 2
(University of Haifa)
Abstract This paper examines the variations in idiosyncratic volatility in stock returns over time, and evaluates the role of investor sentiment in explaining these variations. This study uses Fama and French's (2015) 5-factor model to calculate the idiosyncratic volatility with data from the Center for Research in Security Prices (CRSP) for 1980–2016, and analyzes the effects of investors' risk appetite reflected by market-based, press-based, and survey-based proxies for investor sentiment on t...
Layla Khoja1
Estimated H-index: 1
Maxwell Chipulu7
Estimated H-index: 7
(University of Southampton),
Ranadeva Jayasekera6
Estimated H-index: 6
(Trinity College, Dublin)
Abstract This paper applies three-way multidimensional scaling and cluster analysis to examine the nature of insolvency in the Gulf Corporation Council, the United Kingdom and the United States of America between from 2004 to 2012. The findings of this paper reveal that analysing the financial statements data with indicators of industrial and macroeconomic, provide a better understanding of the performance of the solvent and insolvent firms cross-counties. The results proved that the financial h...
Saktinil Roy4
Estimated H-index: 4
(Athabasca University),
David M. Kemme10
Estimated H-index: 10
(U of M: University of Memphis)
Abstract Using forecast error and sensitivity analyses with a vector error correction model for the US economy, we find that the specific exogenous shocks that contributed to the run-up to the global financial crisis of 2007–2009 vary across the three time periods (1980–1988; 1989–1997; and 1998–2006) that are known for distinctive historical events. The findings are that deregulation in the 1980s and capital inflows in the early and mid1990s triggered by the collapse of the European exchange ra...
Published on Jul 1, 2019in International Review of Financial Analysis 1.69
Christos Argyropoulos1
Estimated H-index: 1
Ekaterini Panopoulou13
Estimated H-index: 13
Backtesting provides the means of determining the accuracy of risk forecasts and the corresponding risk model. Given that the actual return generating process is un- known, the evaluation methods rely on various assumptions in order to quantify the models inefficiencies and proceed with the model evaluation. These method specific assumptions, in conjunction with the regulatory policies can introduce distortions in the evaluation process, which affect the reliability of the evaluation results. To...
Published on Jul 1, 2019in International Review of Financial Analysis 1.69
Zhonhgfei Chen , Zhongfei Chen (JNU: Jinan University)+ 1 AuthorsRon Webb (University of Nottingham)
Abstract We assess the presence of herding by considering the lead-lag relationship of sovereign ratings assigned by the three main rating agencies at the individual country level. Given that different rating agencies may have different levels of expertise (reputation) for different countries it is not obvious that the lead-lag relationship is homogeneous across countries. We therefore conduct poolability tests within this context to assess this assumption and find evidence of heterogeneity. Thi...
Published on Jun 1, 2019in International Review of Financial Analysis 1.69
Adam Zaremba8
Estimated H-index: 8
(Poznań University of Economics)
Abstract We are the first to employ the price range (the difference between previous maximum and minimum prices) as a measure of country and industry risk. Having examined 51 country and 887 industry indices for the years 1974–2018, we demonstrate a strong positive relationship between price range and future returns. This effect is not explained by well-established return predictors that include value, size, momentum, reversal, skewness, and seasonality, and this effect visibly subsumes the trad...