Corporate Finance Commons^™

Lead-Lag And Volatility Point Change Estimations For Cryptocurrencies, Jules Clement Mba, Jenipher Mutale, Ehounou Serge Eloge Florentin Angaman

Journal of Banking and Financial Economics

This study investigates the lead-lag relationships and volatility dynamics among four major cryptocurrencies – Bitcoin, Ethereum, Solana, and Polygon – during the turbulent year of 2022. We address three primary research questions: (1) To what extent do lead-lag relationships exist among major cryptocurrencies, and how do they challenge or support the notion of market efficiency in the crypto space? (2) How do volatility change points in different cryptocurrencies relate to each other and to major market events? (3) How can the identification of lead‑lag relationships and volatility change points inform cryptocurrency investment strategies and risk management practices? Using a continuous-time …

A Method To Incorporate Transition Risk Stress Testing Into Probability Of Default (Pd) Models For Retail Portfolios, Aneta Ptak-Chmielewska, Paweł Kopciuszewski, Alvaro Fernandez Toledo

Journal of Banking and Financial Economics

Climate risk is one of the type of risks in a bank’s portfolio which is not fully recognized, and its impact on the future overall risk changes is hidden due to lack of sufficient knowledge at the moment. One of the most common data comes from Network for Greening the Financial System (NGFS) scenarios related to climate change (physical risk) and climate policy and technology trends (transition risk). In the paper we focused on the transition risk scenarios and their impact on the economy and in particular on credit risk. Our main goal was to check the tendency in the …

Applying Deep Learning To Detect Abnormal Event Log Traces: A Non-Rule-Based Framework, Yunsen Wang, Tiffany Chiu, Miklos A. Vasarhelyi

Department of Accounting and Finance Faculty Scholarship and Creative Works

Process mining is an efficient method that can analyze the full population of transactions using the event log of business processes. Conventional rule-based process mining techniques can detect anomalies; however, it tends to trigger a large number of false alarms. To improve the efficiency of anomaly detection using process mining, this study adopts a deep learning-based classification approach to detect anomalies in the traces of event logs. This approach contributes to the literature by proposing a non-rule-based process mining technique based on deep learning. Results demonstrate that the proposed non-rule-based process mining method can help auditors focus on transactional anomalies.

Improved Estimation Of The Correlation Matrix Using Reinforcement Learning And Text-Based Networks, Cheng Lu, Papa Momar Ndiaye, Majeed Simaan

Department of Accounting and Finance Faculty Scholarship and Creative Works

We propose a data-driven methodology to shrink the correlation matrix and, hence, the covariance matrix using reinforcement learning (RL). Our approach does not impose any assumptions on the stock returns and can be applied to any covariance matrix target. It focuses on the special case of the global minimum variance portfolio and investigates the economic value of our methodology by utilizing text-based networks (Hoberg and Phillips, 2016). The portfolio selection problem, hence, boils down to determining the optimal shrinkage policy using RL. The empirical analysis utilizes a large universe of stocks covering more than 400 assets and 20 years as …

Politically Connected Firms And The Cash Flow Sensitivity Of Cash: International Evidence, Yuanto Kusnadi

Research Collection School Of Accountancy

This paper examines the role of political connections on the cash flow sensitivity of cash using a sample of international firms. The finding reveals that the cash flow sensitivity of cash is lower for politically connected firms than their non-connected counterparts, which is supportive of the precautionary motive of cash holdings. Further analyses reveal that the result is driven by political connections that are made through the directors of the firms and with members of parliament, as well as by differences in country-level institutional infrastructure. Overall, the empirical results corroborate that of previous studies on the relevance of the precautionary …

Discretionary Dissemination On Twitter, Richard M. Crowley, Wenli Huang, Hai Lu

Research Collection School Of Accountancy

The study provides large-scale descriptive evidence on the timing and nature of corporate financial tweeting. Using an unsupervised machine learning approach to analyze 24 million tweets posted by S&P 1500 firms from 2012 to 2020, we find that firms are more likely to tweet financial information around significantly negative or positive news events, such as earnings announcements and the filing of financial statements. This convex U-shaped relation between the likelihood of posting financial tweets and the materiality of accounting events becomes stronger over time. Whereas research based on early samples concludes that firms are less likely to disseminate financial information …

Public Enforcement Through Independent Directors, Xiaoxi Li, Pingui Rao, Yong George Yang, Heng Yue

Research Collection School Of Accountancy

We examine how public enforcement and private enforcement interact to contain self-dealing activities in emerging markets. Using data from China, we find that firms receiving comment letters concerning related party transactions (RPTs) from stock exchanges significantly reduce their RPTs in subsequent years. We further find that (1) the subsequent reduction in RPTs is more pronounced when independent directors have higher career or reputation concerns and (2) independent directors are more likely to dissent or resign if their firms do not significantly reduce RPTs after receiving RPT comment letters, especially if they have high reputation concerns. Our study sheds light on …

An Approach To Sustainable Dredging For Navigation Channels In Thailand, Suvijak Na Bangchang

World Maritime University Dissertations

No abstract provided.

The Reception Of Anglo-American Contractual Standards In Selected Droit Civil Systems: German And Polish Examples., Dr. Pawel Mazur, Dr. Hab. A. Szlęzak

Loyola of Los Angeles International and Comparative Law Review

The reception of Anglo-American contractual standards in droit civil countries is not as straightforward as it would seem at first glance. The language expressing notions such as “breach of contract,” “representations & warranties,” or “indemnities” cannot be merely copied into agreements subject to the law of droit civil countries. They need to be transposed thereto, i.e., rendered in terms of legal institutions characteristic of the legal systems of such countries, to achieve the same functional results as those achievable in the place of origin of such notions.

The authors discuss the process of such transposition in the examples of Germany …

Pooling And Winsorizing Machine Learning Forecasts To Predict Stock Returns With High-Dimensional Data, Erik Mekelburg, Jack Strauss

Finance: Faculty Scholarship

We evaluate US market return predictability using a novel data set of several hundred ag- gregated firm-level characteristics. We apply LASSO, Elastic Net, Random Forest, Neural Net, Extreme Gradient Boosting, and Light Gradient Boosting Machine methods and find these models experience large prediction errors that lead to forecast failures. However, winsorizing and pooling machine learning model forecasts provides consistent out-of-sample predictability. To assess robustness, we apply machine learning methods to high-dimensional data for Canada, China, Germany and the UK as well as the Goyal-Welch data. All machine learning models we consider, except for the ensemble pooled methods, fail to significantly …

Essays On Corporate Finance, Su Hee Yun

Dissertations and Theses Collection (Open Access)

Chapter 1. The impact of ESG disasters on Green and Brown firms

I investigate the effect of a firm’s prior ESG reputation on the market impact of ESG incidents. I find that firms with a better ESG reputation, i.e., higher ESG ratings, experience less negative stock-market reactions and analysts' forecast revisions compared to firms with a poorer ESG reputation. But managers of Greener firms, when producing earnings guidance, do not forecast a lower impact of these incidents on future earnings. Similarly, actual decreases in future earnings following these incidents are not significantly different between Green and Brown firms. Altogether, the …

Advancing Sustainable Investing: A Deep Learning Model For Multi-Source Stock Prediction, Hongxuan Yu, Tingting Zhang, Murat Kizildag

Journal of Global Business Insights

The burgeoning role of the stock market within the national economy elevates the importance of precise stock price analysis and prediction, a field that has garnered substantial interest in academic research. Stock price fluctuations, influenced by many factors, including company fundamentals, market sentiment, capital flows, industry news, and macroeconomic policies, present a highly dynamic and complex challenge for predictive modeling. Addressing this challenge, our study introduces an innovative method that capitalizes on the synthesis of news text and stock price data for forecasting market movements. We employ GloVe embeddings to capture semantic nuances from news text and integrate them with …

Big Data Analytics And Management Forecasting Behavior, Beng Wee Goh, Na Li, Tharindra Ranasinghe

Research Collection School Of Accountancy

This paper investigates whether the use of Big Data analytics by firms has a spillover effect on management forecasting behavior. Insights provided by Big Data could potentially improve firms’ ability to forecast earnings (supply channel) and investor demand for earnings information is likely higher for firms engaging in data analytics (demand channel). Using a text-based measure of firms’ commitments to and usage of Big Data analytics, we find that Big Data analytics usage is positively associated with the propensity to issue management earnings forecasts. Consistent with the “supply channel” explanation, we find that Big Data analytics usage is positively associated …

Climate Challenges: Central Banks In The Hot Seat – Rethinking Monetary Policy And Educational Activity, Łukasz Kurowski

Journal of Banking and Financial Economics

Global warming poses many challenges for all economic entities. The two main challenges facing all countries are climate change mitigation and adaptation. Central banks also face difficult tasks in this context. The difficulty stems from the impact of climate change on all sectors of the economy. Central banking has to deal with the new challenges created by climate change for monetary policy, macroprudential policy, but also climate education. The aim of the article is to verify to what extent climate change is considered in the central bank’s main objective – monetary policy. Therefore, the article examines the frequency with which …

Informativeness Of Key Audit Matters: Evidence From China, Beng Wee Goh, Kiat Bee Jimmy Lee, Dan Li, Muzhi Wang

Research Collection School Of Accountancy

This study examines whether the key audit matters (KAMs) disclosed in expanded audit reports as a part of recent regulatory reforms are informative for investors in an emerging economy setting. Using the recent adoption of expanded audit reports for firms listed exclusively in Mainland China, we find robust evidence that the abnormal trading volume and earnings response coefficients (ERCs) are higher and that stock price synchronicity is lower during the postadoption than preadoption period. In additional tests, we find evidence that KAMs are more informative for non-state-owned enterprises (non-SOEs), smaller firms, and firms with a smaller analyst following. Finally, we …

Assessing And Mitigating The Impact Of Geopolitical Risk Uncertainty On The Indian Financial Sector: A Policy Perspective, Satish Kumar, Amar Rao

Bulletin of Monetary Economics and Banking

The study explores the impact of geopolitical risk uncertainty on the Indian financial sector, focusing on bonds, banking, currency, and the equity markets. It uses a quantile vector autoregression (QVAR) approach to examine shock transmission under different market conditions. Results show that geopolitical risks significantly influence the Indian financial sector, with varying levels of shock transmission across different market conditions. The currency and banking sectors show heightened sensitivity during periods of increased uncertainty. The findings suggest the need for effective monitoring systems and comprehensive risk management strategies to mitigate the adverse effects of geopolitical risks.

Consumers’ Financial Literacy In Poland - The Research And The Resulting Conclusions, Andrzej Bień, Łukasz Gębski

Journal of Banking and Financial Economics

Background & Purpose of the article: The research paper raises important issues in the field of consumer financial literacy in Poland. The authors note that efforts made in financial education are not fully effective and the number of wrong decisions made by consumers is high. The study led to two interesting observations: high self-assessment of knowledge is not confirmed in practice. The mistakes made do not result solely from the lack of knowledge of consumers. They are very often a result of their personality and a way of perceiving reality.

Methods: The authors compared Polish and foreign research results in …

Can Financialisation Counteract Banking Exclusion? A Study On The Example Of The European Union Member States, Tomasz Florczak, Marika Ziemba

Journal of Banking and Financial Economics

The purpose of the article is to assess the relationship between financialization and banking exclusion. The research hypothesis that financialization contributes to the reduction of financial exclusion was also verified. The research was based on an analysis of the variables describing financialization and banking exclusion of 27 European Union countries in the 2014–2021 period. The zero-unitarization method and Pearson’s correlation coefficient were used. The results of the study indicate that a high degree of financialization is found in Croatia, Greece, Cyprus and Portugal. In contrast, the level of banking exclusion is the highest in Finland, Sweden, the Netherlands and Latvia. …

Board Gender Diversity And Its Impact On Financial Performance And Risk-Taking: A Study Of Listed North American Companies, Ambrose Houphouet

Doctoral Dissertations (DBA)

In today's globalized world, gender diversity is increasingly recognized as vital for companies, yet women remain underrepresented in leadership positions. The lack of representation of women in leadership roles and their possible impact on business performance have led to a greater awareness of gender diversity on corporate boards in recent years. However, men dominate in some fields and the representation of women in decision-making levels is very low and it is unclear whether gender diversity brings any benefits to the company in terms of financial performance and risktaking. Therefore, the study examines the impact of gender diversity on financial performance …

Empirical Tests Of The Existence Of Industry Momentum On The Indonesian Stock Exchange, Irene Natalia Verda

The Indonesian Capital Market Review

Momentum is one of strategy to generate return for profit seeker. This research was conducted to see the existence of momentum strategy at the industry level with the object of all stocks on the Indonesia Stock Exchange consists of 880 stocks grouped into 11 industries based on ICB (Industry Classifi- cation Benchmark). Research period start in July 2014 until December 2023. There are 6 industry momentum strategies, 3 strategies to form portfolio quarterly and 3 strategies to form portfolio in each semester. Tests are conducted on mean returns and risk-adjusted returns using the Fama-French Three Factor model. The method of …