Results 71 to 80 of about 7,235,439 (370)
ESG Performance and Credit Risk: Evidence From Chinese Manufacturing Companies
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates the effect of corporate environmental, social, and governance (ESG) performance on credit risk using a sample of manufacturing firms listed on China's Shanghai and Shenzhen A‐share markets from 2009 to 2021. Employing fixed effects, the generalised method of moments, and instrumental variable models, we find that ...
Yanan Wang +4 more
wiley +1 more source
Covered interest arbitrage opportunities in the South African foreign exchange market
South African Journal of Business Management, 1987 The Interest Parity Theory states that in an efficient market, any interest differential between local and foreign sources of finance will be offset by the forward premium/discount.
C. de J. Correia, R. F. Knight
doaj +1 more source
Arbitraging mispriced assets with separation portfolios to lessen total risk [PDF]
This paper expands on a procedure to arbitrage mispriced assets against the benchmark provided by the Security Market Line, but using only separation portfolios to put up a feasible portfolio with the same beta as the mispriced asset and the least total ...
Rodolfo Apreda
core
Extraction of the underlying structure of systematic risk from non-Gaussian multivariate financial time series using independent component analysis: Evidence from the Mexican stock exchange [PDF]
, 2018 Regarding the problems related to multivariate non-Gaussianity of financial time series, i.e., unreliable results in extraction of underlying risk factors -via Principal Component Analysis or Factor Analysis-, we use Independent Component Analysis (ICA ...
Ladrón de Guevara Cortés, Rogelio +2 more
core +2 more sources
Do Internet‐Driven Trade Shocks Moderate the Exchange Rate Pass‐Through to Inflation?
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines the existence of an internet globalisation intensifying impact on the size of the exchange rate pass‐through (ERPT) to inflation, which conditions the response of central banks' policy rates. Expanding on the traditional determinants of ERPT, we incorporate technology‐induced trade shocks linked to internet adoption to ...
Joanna Darwiche, Nicole Ballouz Baker
wiley +1 more source
Annales Universitatis Paedagogicae Cracoviensis: Studia Mathematica, 2017 In this paper, we discuss the no-arbitrage condition in a discrete financial market model which does not hold the same interest rate assumptions. Our research was based on, essentially, one of the most important results in mathematical finance, called ...
Marek Karaś, Anna Serwatka
doaj +1 more source
Economics and Business Review, 2020 In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset?
Bieta Volker, Broll Udo, Siebe Wilfried
doaj +1 more source
Journal of Banking & Finance, 2015 The last decade?s boom and bust in U.S. commercial real estate (CRE) prices was at least as large as that in the housing market and also had a large effect on bank failures.
John V. Duca, David C. Ling
semanticscholar +1 more source
Arbitrages in a Progressive Enlargement Setting [PDF]
, 2013 This paper completes the analysis of Choulli et al. Non-Arbitrage up to Random Horizons and after Honest Times for Semimartingale Models and contains two principal contributions.
Aksamit, Anna +3 more
core +1 more source
Forecasting Natural Gas Prices in Real Time
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper provides a comprehensive analysis of the forecastability of the real price of natural gas in the United States at the monthly frequency considering a universe of models that differ in complexity and economic content. We find that considerable reductions in mean‐squared prediction error relative to a no‐change benchmark can be ...
Christiane Baumeister +3 more
wiley +1 more source