Article
Business
Chau Le, Bach Nguyen, Vinh Vo
Summary: This paper provides new evidence on the role of intangible assets in reducing credit frictions for SMEs. The findings suggest that identifiable intangible assets can improve firms' ability to access debt and equity finance, with a stronger effect on debt finance. Furthermore, firm age and size can moderate the association between intangibles and access to external finance.
SMALL BUSINESS ECONOMICS
(2023)
Article
Business, Finance
Weiqiang Zhong, Tingfeng Jiang
Summary: This paper empirically explores the impact of Internet finance on financial exclusion, finding that city participation in P2P lending is positively linked to the degree of Internet development and negatively linked to the accessibility of traditional finance, with an obvious asymmetry in investment exclusion and borrowing exclusion levels. The findings suggest that Internet finance can weaken the exclusiveness of traditional finance and reduce the asymmetry in investment and borrowing exclusion levels in traditional financial markets.
FINANCE RESEARCH LETTERS
(2021)
Article
Business, Finance
Zehui Yu, Yiming Li, Lihua Dai
Summary: This study examines the impact of digital finance (DF) on regional economic resilience (RER) through theoretical analysis and empirical research. The results show that DF has a positive effect on RER, but the effect varies across subsystems. DF also has positive spatial externalities, meaning that it not only improves local RER, but also has a positive impact on neighboring areas.
FINANCE RESEARCH LETTERS
(2023)
Article
Economics
Tong Su, Zuopeng (Justin) Zhang, Boqiang Lin
Summary: This paper provides empirical evidence on the information transmission of Chinese green bonds in relation to other assets. It finds that there is strong bidirectional information transmission between green bonds and fixed-income assets in terms of returns and volatility. The study also reveals that equity assets produce the most extreme risk spillovers.
Article
Business, Finance
Xiaohong Guo, Yongqian Tu
Summary: This study examines the impact of digital finance (DF) on carbon intensity (CI) using spatial econometrics based on panel data of 284 prefecture-level cities in China from 2011 to 2020. The results demonstrate an inverted U-shaped relationship between DF and CI. DF has a positive spatial externality on CI, affecting both local CI and surrounding areas. The positive effect is more pronounced under reasonable financial supervision.
FINANCE RESEARCH LETTERS
(2023)
Article
Economics
Trong-Nghia Nguyen, Minh-Ngoc Tran, David Gunawan, Robert Kohn
Summary: This study combines statistical stochastic volatility and recurrent neural network models, proposing a statistical recurrent stochastic volatility model that captures complex volatility effects overlooked by traditional models and has statistically interpretable and impressive forecasting performance.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
(2023)
Article
Business, Finance
Zishan Huang, Huiming Zhu, Liya Hau, Xi Deng
Summary: This study examines the time-frequency co-movement and network connectedness between green bonds and other financial assets in China. The empirical results reveal that green bonds positively co-move with conventional bonds, but negatively co-move with stocks and commodities. The network connectedness of green bonds with stocks and commodities strengthens over time, while their connectedness with conventional bonds is significant in the short term. The study also finds that the spillover between green bonds and other assets is greater in the long and medium terms. Overall, the study provides practical implications for investors and policymakers.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2023)
Article
Business
Jan Schwiderowski, Asger Balle Pedersen, Jonas Kasper Jensen, Roman Beck
Summary: Information technology has brought radical changes to the financial services industry, particularly with the recent shift towards Fintech and decentralized finance (DeFi) driven by blockchain. Non-fungible token (NFT) assets within DeFi, especially in the art industry, are redefining how value is created and disseminated. However, the dynamics of the DeFi and NFT market are not well understood.
ELECTRONIC MARKETS
(2023)
Article
Operations Research & Management Science
Gurjeet Dhesi, Bilal Shakeel, Marcel Ausloos
Summary: This study introduces a new methodology using the irrational fractional Brownian motion model to forecast the numerical value of the fat tail(s) in asset returns distributions. By fitting parameter values to consecutive daily 2-year period returns of the S&P500 index over [1950-2016], optimal model parameter values are obtained, leading to 33-time series estimations. Through an econometric model and auto-regressive analysis, the kurtosis and returns distributions are modeled and forecasted, providing accurate measurements of return distribution shapes and Value at Risk.
ANNALS OF OPERATIONS RESEARCH
(2021)
Article
Environmental Studies
Idris A. Adediran, Olalekan D. Yinusa, Kanwal Hammad Lakhani
Summary: This study suggests that assets such as gold, silver, commodity futures, and Bitcoin can serve as safe havens for financial investors against uncertainty risks. It recommends including these assets in diversified portfolio risk-management strategies, while suggesting that the US dollar and long-term bonds may not be suitable options.
Article
Management
Paul Glasserman, Harry Mamaysky, Yiwen Shen
Summary: We propose a model that explains the role of investors in information choices and asset prices. The availability of fundamental information varies over time based on investor demand. The research sector generates more information when investors are willing to pay for research. This feedback mechanism results in two equilibrium regimes, one characterized by high prices and low volatility, and the other by the opposite. The low price, high-volatility regime is associated with greater information asymmetry between informed and uninformed investors. Information dynamics move the market between regimes, causing large price drops even without changes in fundamentals. Calibration of the model suggests the important role of information dynamics in financial crises.
MANAGEMENT SCIENCE
(2023)
Article
Economics
Ehsan Bagheri, Seyed Babak Ebrahimi, Arman Mohammadi, Mahsa Miri, Stelios Bekiros
Summary: The study found that during crises, the connectedness among markets increases dramatically, with markets mainly driven by short-term factors and being highly speculative. Natural Gas Futures have the least impact on other markets, while London Gas Oil Futures and Heating Oil Futures collaborate.
COMPUTATIONAL ECONOMICS
(2022)
Article
Business, Finance
Itay Goldstein
Summary: Financial markets play a crucial role in allocating resources in modern economies by discovering information to guide real economic decisions. The literature suggests that feedback from financial markets has significant implications for market equilibrium and economic efficiency. With the ongoing FinTech revolution, the nature of information processing in financial markets is changing, potentially altering the feedback effect.
Article
Environmental Studies
Zhenghui Li, Fanqi Zou, Yong Tan, Jinhui Zhu
Summary: The study reveals that there is excessive financial support in land urbanization construction, with different situations in different regions; the impact of financial support on land urbanization is influenced by land finance, and there is a threshold effect.
Article
Business
Donghyun Park, Kwanho Shin, Shu Tian
Summary: Local currency bond markets (LCBMs) are believed to promote financial stability in emerging markets, and a gradual expansion of bank loans may also contribute to financial stability.
EMERGING MARKETS FINANCE AND TRADE
(2021)
Article
Energy & Fuels
Alfredo Trespalacios, Lina M. Cortes, Javier Perote
Summary: This paper proposes a static hedging strategy based on a bivariate semi-nonparametric distribution to help electricity generators in liberalized markets mitigate price and quantity uncertainty. The model suggests that the hedge ratio is influenced by skewness, kurtosis, correlation, and forward risk premium.
Article
Multidisciplinary Sciences
Lina M. Cortes, Juan M. Lozada, Javier Perote
Summary: This study examines the distribution of firm size in the Colombian economy, revealing evidence against Gibrat's law and proposing a lognormal expansion model to better fit the distribution, while also showing that firm growth depends heavily on firm characteristics.
Article
Business, Finance
Luis P. de la Horra, Javier Perote, Gabriel de la Fuente
Summary: The study shows that uncertainty spikes can undermine the policy-rate-based transmission mechanisms, and asymmetries exist at the firm level where factors such as investment irreversibility, market power, and cash flows influence firms' responsiveness to monetary policy changes.
The effectiveness of monetary policy depends on authorities' ability to reduce uncertainty and target sectors more likely to be affected by policy shifts.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2021)
Article
Business, Finance
Angel Leon, Trino-Manuel Niguez
Summary: This paper extends the GC density and ensures positivity through a transformation. It investigates the parametric properties of the density and conditional properties under the TGARCH model. In an empirical application, it estimates tail index, reestimates density, VaR and ES, and conducts a comparative analysis.
JOURNAL OF EMPIRICAL FINANCE
(2021)
Article
Business, Finance
Ines Jimenez, Andres Mora-Valencia, Javier Perote
Summary: This paper establishes a brand-new perspective of analyzing the risk of crypto assets through a semi-nonparametric approach and suggests Median Shortfall as a robust and reliable risk measure for cryptocurrencies. The evidence supports Median Shortfall at 98.31% and 98.51% confidence levels as accurate alternatives to Value-at-Risk at 99% and Expected Shortfall at 97.5%.
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
(2022)
Article
Business, Finance
Angel Leon, Trino-Manuel Niguez
Summary: This paper presents a polynomial expansion method for the standardized Student-t distribution, deriving closed-form expressions for moments and distribution functions, suitable for modeling skewed and heavy-tailed distributions of asset returns. Empirical applications and analyses demonstrate that this new density could be a promising candidate for risk management.
EUROPEAN JOURNAL OF FINANCE
(2022)
Article
Social Sciences, Interdisciplinary
Ines Jimenez, Andres Mora-Valencia, Javier Perote
Summary: This study implements a procedure for dynamically selecting the Gram-Charlier approximation that best fits the empirical distribution of cryptocurrency returns and tests it using backtesting techniques. The results demonstrate that dynamic selection of the Gram-Charlier expansion order can significantly improve conditional coverage compared to fixed-order Gram-Charlier expansions.
RISK MANAGEMENT-AN INTERNATIONAL JOURNAL
(2022)
Article
Business
Bernardo Leon-Camacho, Andres Mora-Valencia, Javier Perote
Summary: This paper introduces a new risk measure for portfolio choice and compares its performance with two related metrics. By taking into account investor attitudes towards skewness and kurtosis-related risks, the proposed methodology provides a more accurate description of portfolio risk. The results show the superiority of this approach under different risk tolerance parameters based on the minimum variance and Sharpe ratio criteria.
ENGINEERING ECONOMIST
(2022)
Article
Economics
Luis P. de la Horra, Javier Perote, Gabriel de la Fuente
Summary: This paper adopts a real options approach to investigate the effects of economic policy uncertainty (EPU) and monetary policy on R&D investment. The findings show that higher EPU and contractionary monetary policy have a positive influence on R&D investment, while lower EPU and expansionary monetary policy have a negative influence. These findings shed light on the counter-intuitive behavior of R&D investments and can help policymakers anticipate such effects.
Article
Business, Finance
Ines Jimenez, Andres Mora-Valencia, Javier Perote
Summary: This paper introduces the effect of crossed products of Hermite polynomials on Gram-Charlier densities and proposes an improved density function to accurately capture the distribution tails. It evaluates risk quantification for S&P500 losses using backtesting procedures for Value-at-Risk and Median Shortfall.
FINANCE RESEARCH LETTERS
(2022)
Article
Energy & Fuels
Alfredo Trespalacios, Lina M. Cortes, Javier Perote
Summary: Electricity production in hydrological-dependent systems is influenced by weather phenomena, impacting spot prices. We propose a stochastic process with mean reversion and switching regime component to represent spot price dynamics. Our study on the Colombian electricity market shows that scarcity seasons increase spot price mean, variance, and risk level. The switching regime model with semi-nonparametric distributions outperforms traditional models, making it a valuable tool for resource planning and risk management in electricity markets with high climatic dependency.
ENERGY SCIENCE & ENGINEERING
(2023)
Article
Economics
Julian Pineda, Lina M. Cortes, Javier Perote
Summary: Financial contagion, known as the simultaneous spread of crisis among stock markets due to their interconnection, has a long-lasting effect and is manifested in herd behavior. This study examines the presence of contagion, its transmission channels, and potential herd behavior using worldwide MSCI indices covering the subprime, European, and COVID-19 crises. Results show evidence of contagion during all three crises, driven mainly by investor expectations and their impact on volatility. In addition, during the COVID-19 crisis, the dissemination of information measured through text-based indices played a significant role in market contagion and led to herd behavior.
ECONOMIC MODELLING
(2022)
Article
Business, Finance
Javier Perote, Jose D. Vicente-Lorente, Jose Angel Zuniga-Vicente
Summary: This study investigates the response of green bonds and ESG stock markets to the COVID-19 crisis in the US. Unlike the S&P 500 index, the impact of pandemic progress on green bonds and ESG markets is nonlinear: a low (large) level of confirmed new cases of COVID-19 has a positive (negative) effect. Additionally, the implementation of containment policies, such as stringency measures and vaccination campaigns, is viewed positively, but their simultaneous usage is perceived negatively by investors. Overall, this research raises questions about the resilience of investments in green bonds and ESG markets.
FINANCE RESEARCH LETTERS
(2023)
Article
Economics
M. Angeles Carnero, Angel Leon, Trino-Manuel Niguez
Summary: In this study, we estimate the skewness of energy returns and test its statistical significance. Traditional and robust tests for skewness are compared with tests based on the implied skewness in a TGARCH-GC model. The study also examines the impact of skewness on tail risk through the evaluation of VaR and ES accuracy. The results suggest that crude oil and gasoline returns have negative skewness, indicating higher tail risk compared to other energy returns.
QUARTERLY REVIEW OF ECONOMICS AND FINANCE
(2023)
Article
Business, Finance
Enrique Molina-Munoz, Andres Mora-Valencia, Javier Perote
Summary: The paper analyzes risk quantification for three main stock market index exchange-traded funds in world financial markets, comparing parametric and semi-nonparametric models. The study shows that peaks-over-threshold and flexible Gram-Charlier approximations are suitable for quantifying market risk.
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
(2021)
