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The North American Journal of Economics and Finance
Papers 1105
1 page of 111 pages (1,105 results)
Zhen-Xing Wu (ZUEL: Zhongnan University of Economics and Law), Tsung-Yu Chen (NCU: National Central University)
Abstract This study demonstrates that the information risk premium is strongly dependent on the state of the market. Stocks with high information asymmetry, as measured by the probability of informed trading (PIN) or adjusted PIN (ADJPIN), exhibit higher returns than stocks with low information risk when the market is in a good state, but this is not the case when the market is bad. Further analysis reveals that the information risk premium is high when the implementation risk is low, suggesting...
Fernando Antonio Lucena Aiube (UERJ: Rio de Janeiro State University), Winicius Botelho Faquieri (UERJ: Rio de Janeiro State University)
Abstract In this paper we investigate whether Gaussian factor models can capture the financialization of commodity markets. The use of convenience yield as a stochastic factor is a common practice in the literature. This variable reflects the behavior of producers and physical traders. On the other hand, the great presence of financial traders during the financialization period could make the convenience yield factor less relevant for modeling the term structure of future prices. We find that th...
Tat Lung Chan1
Estimated H-index: 1
(UEL: University of East London),
Tat Lung (Ron) Chan
Abstract Highly accurate approximation pricing formulae and option Greeks are obtained for European-type options using a complex Fourier series. We assume that risky assets are driven by exponential Levy processes and affine stochastic volatility models. We provide a succinct error analysis to demonstrate that we can achieve an exponential convergence rate in the pricing method in many cases as long as we choose the correct truncated computational interval. As a novel pricing method, we also num...
Joanna Bruzda2
Estimated H-index: 2
(UMK: Nicolaus Copernicus University in Toruń)
Abstract We use wavelet gain and partial gain coefficients to measure exposures to risk factors specified within popular asset pricing models with macroeconomic sources of risk. When applied to the consumption CAPM, the durable consumption model of Yogo (2006) and the model of Chen, Roll, and Ross (1986), this approach substantially influences the significance of sensitivities to macroeconomic risks, points to different frequency channels of risk transmission compared with wavelet beta coefficie...
Zixiong Xie (JNU: Jinan University), Shyh-Wei Chen11
Estimated H-index: 11
(THU: Tunghai University),
An-Chi Wu (Institute of Economics, Academia Sinica)
Abstract In this paper, we detect the housing price bubbles of eighteen OECD countries under assumptions of asymmetric adjustment and non-linearity. To this end, we adopt the momentum threshold autoregressive (MTAR) and exponential smooth transition (ESTR) approaches in this study. In order to consider the possibility of asymmetry between regimes of positive and negative changes in the price-rent ratio, we modify the Kilic (2011) and Park and Shintani (2005, 2016) tests and provide their critica...
Faruk Balli13
Estimated H-index: 13
(Massey University),
Anne de Bruin15
Estimated H-index: 15
(Massey University),
Iftekhar Hasan Chowdhury (Massey University)
Abstract We investigate pair-wise, net and total return and volatility spillovers across 15 Islamic equity markets from widely dispersed locations. Using the generalized VAR-based spillovers index between 2007 and 2017, we find increasing interactions in return and volatility spillovers while the extent of spillovers has been asymmetric across the countries. Interestingly, we find the presence of persistent clustering of spillovers (viz., Qatar - UAE - Saudi Arabia and Turkey - Malaysia - Indone...
Hyung Sun Choi2
Estimated H-index: 2
(Kyung Hee University),
Hyung Sun Choi
Abstract A monetary model is constructed to explore the effects of a new source of inefficiency of gross settlement with an operational risk on the choice of cash that is risky to hold and a debit card that is costly to use. During inflation, gross settlement would entail the deposit of a larger amount of money as payments and collaterals for the finality of the settlement process, thereby leading to a consumption loss. The endogenous adjustment between gross and net settlement may alleviate thi...
Lu Wei2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences),
Guowen Li2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences)
+ 1 AuthorsXiaoqian Zhu7
Estimated H-index: 7
(CAS: Chinese Academy of Sciences)
Abstract Approaches based on financial statements are important to the field of bank risk aggregation. However, previous studies only used numerical data recorded in financial statements to aggregate bank risk. Time lags in numerical data can bias risk aggregation results. Thus, this paper first incorporates forward-looking textual risk disclosures reported in financial statements into bank risk aggregation. In doing so, we overcome the drawback of risk aggregation resulting from using only hist...
Ahmad Hassan Ahmad4
Estimated H-index: 4
(Lboro: Loughborough University),
Olalekan Bashir Aworinde2
Estimated H-index: 2
(Pan-Atlantic University)
Abstract This paper investigates relationship between fiscal deficits and inflation in a sample of twelve African countries using quarterly series, covering the period from 1980:1 to 2018:4. It uses the Enders and Siklos (2001) technique that accommodates asymmetric adjustments between the series, which suits African countries with imperfect and underdeveloped financial market systems where adjustments may be sporadic and contingent. The results indicate that there is a long-run relationship bet...