Finance and Financial Management Commons^™

Justifying The Cost Of Implementing Contactless Travel In Non-Primary Airports: A European Perspective, Sumeet Hassan Anwar Mr., Humna Asad Miss

International Journal of Aviation, Aeronautics, and Aerospace

In the wake of the COVID-19 pandemic, the aviation industry faces an unprecedented push towards digital transformation. This paper delves into the economic, operational, and safety imperatives of implementing contactless travel solutions in Europe's non-primary airports. By juxtaposing the substantial upfront costs against the long-term operational savings and improved passenger experience, the study presents a compelling financial justification for such investments. Drawing on case studies and current trends, the research demonstrates that, despite initial expenditures, the adoption of contactless technology is a prudent strategy that aligns with evolving consumer preferences and the heightened need for efficiency and safety. The paper …

Absentee Ownership And Rental Affordability: Evidence From Commuting Zones, Luke Petach

Funded Scholarship

In this paper, we examine the intersection of financialization, wealth inequality, and the housing market in the United States with an emphasis on the relationship between absentee ownership and declining rental affordability. At the same time as financialization has increasingly transformed the market for residential real estate into a vehicle for financial speculation, households at the bottom of the income distribution have been disproportionately affected by rising rents and declining housing affordability. Using data from the decennial Census and the American Community Survey from 1990 to 2020, we investigate the link between absentee ownership and rental affordability across US commuting …

Understanding The Impact Of Dual Shock On Kuwait Stock Market, Talal A.N.M.S. Alotaibi

Doctoral

The emergence of the COVID-19 pandemic has caused financial markets to suffer historic losses during the first quarter of 2020 at unseen levels since the crisis of the futures markets in 1987. In January 2020, the World Health Organisation officially declared the pandemic, bringing with it significant uncertainty levels to the global economy. The COVID-19 pandemic affected global markets parallel to a simultaneous shock from the Saudi Arabian and Russian oil price wars. As the worldwide health crisis escalated, governments worldwide were forced to take measures that led to economic lockdowns, leading to significant disruption of global supply chains and …

Betting On The Market: The Influence Of Match-Day Odds On Price Reactions Of European Football Clubs, Pascal Alterauge, Marc Mehlhorn

Journal of Banking and Financial Economics

This research investigates the relationship between football match outcomes, betting odds and the stock prices of publicly traded European football clubs, spanning from 11 February 2004 to 7 April 2022. Drawing data from 12 major European and publicly traded clubs, the study utilised betting odds as a key metric. These odds, aggregated from the Odds Portal, serve as a gauge for expected versus unexpected match outcomes. Preliminary findings showed a market value increase of 0.44% after a win and a decrease of 1.08% post-defeat. Moreover, deviations from betting odds predictions significantly influenced stock prices, with unexpected wins and losses resulting …

Optimal Empirical Strategy For Deriving The Spot Curve: The Case Of Poland, Piotr Bartkiewicz

Journal of Banking and Financial Economics

We use a proprietary dataset of daily quotations of individual bonds from the period 2005–2018 to assess the appropriateness of three common yield curve intrapolation methods: Nelson-Siegel (NS), Diebold-Li (DL) and cubic splines. Spot (zero-coupon) yield curves derived from the methods are used to price all securities in the sample in both in-sample and out-of-sample settings. The results highlight trade-offs inherent in any empirical strategy: between flexibility and in-sample fit, between overall fit and fit in particular segments of the curve. We look at both in-sample and out-of-sample. Cubic splines offer the best in-sample fit, but out-of-sample results indicate that …

European Union Sanctions Impact On The Sector Stock Prices – The Ukrainian War Effect?, Patrycja Chodnicka, Piotr Jaworski, Marcin Kot

Journal of Banking and Financial Economics

The aim of this paper is to analyze the current impact of the implementation of the European Union sanctions related to the Ukrainian War on the abnormal rates of return on the stock prices of companies listed on the stock exchanges. It was hypothesized that the implementation of the European Union sanctions related to the Ukrainian War is causing the varied abnormal rates of return on the stock prices of companies listed on the stock exchanges, taking into consideration the type of sector and the geographical proximity to the military conflict. The analysis used panel data event studies prepared using …

Indirect Measure Of Financial Constraints: Evidence From Unquoted Innovative Smes, Katarzyna Prędkiewicz

Journal of Banking and Financial Economics

This paper examines whether companies’ innovativeness affects the availability of capital and, therefore, whether this group is financially constrained. It uses an objective, indirect way of measuring financial constraints based on the assumption that financially restricted firms only invest when internal cash flow allows them to do so. Therefore, the research was based on the investment-cash flow equation, more precisely the adjusted ECM model adapted to the SME sector. The companies’ innovativeness was measured based on a proprietary synthetic indicator covering a broad range of information on innovation activity. The research was conducted on a sample of 403 firms, including …

Legal Status Of Bank Gospodarstwa Krajowego As A Public Development Finance Institution, Sebastian Skuza

Monografie/Monographs

Bank Gospodarstwa Krajowego jest istotną instytucją w krajowym systemie finansowym. Zakres powierzonych mu zadań spowodował, że niektóre kwestie związane z jego funkcjonowaniem postanowiono uregulować w drodze odrębnej ustawy, wprowadzając rozwiązania o charakterze lex specialis dotyczące banków działających na zasadach komercyjnych. Monografia, jako jedna z pierwszych na rynku, prezentuje krajowe rozwiązania prawne zawarte w ustawie z dnia 14 marca 2003 r. o Banku Gospodarstwa Krajowego, ich analizę oraz ocenę zasadności ich funkcjonowania w kontekście reguły lex specialis również w aspekcie rozwiązań zagranicznych. Autor dokonał również przeglądu innych powszechnie obowiązujących przepisów prawa krajowego, w szczególności ustawy o Prawie Bankowym, a także rozwiązań …

Black-Scholes Option Pricing And Greeks Using Excel’S “Lambda” Function, Tom Arnold, Joseph Farizo, Jonathan M. Godbey

Finance Faculty Publications

The =LAMBDA function within Excel provides a powerful new tool for investors and analysts. In this treatment, we show how to create a function that calculates an option’s intrinsic value, price, and delta based on the Black-Scholes model. Other option Greek functions and calculations are available in a downloadable file. The LAMBDA function is not limited to the Black-Scholes model and has important advantages over Excel’s previous solution of creating user-defined functions in VBA.

Exploring Links Between Foreign Direct Investment And Host Country Economic Development, Thi Ngoc Dao

Doctoral

The thesis explores links between Foreign Direct Investment (FDI) and the economic development of host country, analysing both direct and indirect effects. Concerning direct effects, FDI has been recognised as an important driver of exports and job creation for the host country. In terms of indirect effects, however, a consensus has not been reached on the spillover effects and competition effects that FDI generates in indigenous firms. Evaluating these effects has been critical for small open economies due to their heavy reliance on external markets and factors. There is a need for comprehensive research investigating the impacts of FDI on …

Financial Literacy In The Era Of Artificial Intelligence. Towards Financial Inclusion. Opening Remarks, Łukasz Kurowski, Anna Szelągowska

Journal of Banking and Financial Economics

Financial Literacy in the Era of Artificial Intelligence. Towards Financial Inclusion. Opening Remarks

Euro-Denominated Credit Liquidity: Tracing Cyclical Phases In Global Finance, Mateusz Mariusz Mierzejewski

Journal of Banking and Financial Economics

In the past few years, set against the backdrop of pandemic mitigation efforts and the resultant inflationary spike, the macrofinancial landscape has undergone significant transformation. The tightening of monetary policy by global central banks in response to these phenomena has notably affected global financial liquidity, particularly within the realm of foreign currency lending. This article delves into the shifts in credit liquidity, centering on the Global Liquidity Index for euro-denominated loans across European Union nations over the last two decades. Through the application of the Fourier Transform, we analyse the cyclical patterns within the index and delineate the primary phases …

Expansionary Federal Monetary Policy And U.S. Banks’ Risk Profiles During The Covid-19 Pandemic-Induced Economic Recession, Maoyong Zheng, Cesar Escalante

Journal of Banking and Financial Economics

This study focuses on the pandemic phase when the U.S. economy dealt with significant economic recessionary pressures due to widespread, prolonged social mobility restraints. The Federal Open Market Committee (FOMC) promptly pursued expansionary policies, such as lowering the federal funds rate to almost zero until February 2022. This study employs a Dynamic Panel Data Generalised Moment Method Model (DPD-GMM) to analyse the impact of the COVID-19 pandemic’s economic shocks and FOMC’s expansionary policy on U.S. banks’ loan portfolio and asset complement risk profiles. Our analysis extends from two pre-pandemic years through the pandemic recession and recovery periods (until early 2022) …

The Planned Reforms Of The American And European Deposit Insurance Systems: Similarities And Differences, Konrad Szeląg

Journal of Banking and Financial Economics

Last year, at around the same time, two reforms of deposit insurance systems were announced – one in the United States and the other in the European Union. The American proposal of the reform was triggered by the banking crisis of March 2023 (bank runs and failures) and it was put forward by the Federal Deposit Insurance Corporation in May 2023. In Europe, the European Commission published in April 2023 its legislative proposal to reform the current EU framework for crisis management in the banking sector (including both deposit insurance and bank resolution). The EU proposal for the reform was …

Journal Of Banking And Financial Economics 2024, 2(22)

Journal of Banking and Financial Economics

Journal of Banking and Financial Economics 2024, 2(22)

Special Issues In Support Of Evidence-Based Policy Making In Sustainable Banking And Finance, Lucia Alessi, Theodor Florian Cojoianu, Declan French, Andreas G. F. Hoepner

Research Collection College of Integrative Studies

BackgroundIn December 2015, 195 countries around the world signed the Paris Agreement and pledged to work towards limiting global greenhouse gas emissions in order to limit the average global temperature increase to 1.5 °C above preindustrial levels. From a scientific perspective, the stabilisation of global warming under any target requires the achievement of a net-zero emissions economy (Matthews & Caldeira, 2008). In support of global investors looking to provide capital towards green solutions andSustainability disclosures – a means to what end?A significant body of literature has suggested that many of the voluntary sustainability disclosures of companies come from the need …

A Panel Partial Break Model For Forecasting Stock Returns With Parameter Instability, Nuttapat Bumrungrat

Chulalongkorn University Theses and Dissertations (Chula ETD)

Predicting stock returns is one of the most fascinating problems in finance. However, predicting stock returns is also one of the most challenging problems due to the instability and noisy nature of stock returns. One of the promising directions to handle both problems is to use a panel break model. Recently, a panel common break model has been proposed and shown to generate superior predictive performance. However, the model assumes that every parameter breaks simultaneously, which is not aligned with empirical data. In this article, we propose a novel panel break model that addresses the main limitation of the common …

Option Pricing Based On A Stochastic Volatility With Co-Jump Model And Application In Thai Market, Lu Tang

Chulalongkorn University Theses and Dissertations (Chula ETD)

The correlated jumps in returns and volatility serve different, but complementary purposes in studying asset dynamic properties. In this paper, we choose Heston’s square-root stochastic volatility model, simultaneously incorporating jumps in returns and volatility, and propose a closed-form solution for European call option pricing. Applied to SET50 index in Thailand stock market, comparisons between the stochastic volatility with co-jump (SVCJ) model and the classical stochastic volatility (Heston) model are made to emphasize the significance of contemporaneous jumps appeared in asset dynamics. Empirical research demonstrates the superiority of SVCJ model in both out-of-sample pricing and hedging performance.

The Efects Of Cryptocurrency Wealth On Household Consumption And Investment, Darren Aiello, Scott R. Baker, Tetyana Balyuk, Marco Di Maggio, Mark Johnson, Jason Kotter

Faculty Publications

We use bank transaction data from millions of U.S. households to:

1. Characterize retail crypto investing
2. Examine the efect of crypto wealth on consumption and investment behavior
3. Zoom in on the efect of crypto wealth on housing spending
4. Document spillovers of crypto wealth to the local economy

The Influence Of Intellectual Property Mergers And Acquisitions On Long- Term Financial Performance: Insights From Chinese Companies, Mingyue Fang

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the long-term financial effects of intellectual property-related M&As (IP M&As) in China, using ROIC as the main performance metric. Based on a panel of listed firms from 2000–2020, it first applies a DID model to compare IP M&As with regular deals, then extends to a DDD framework to assess directional heterogeneity (North-to-South, South-to-North, intra-regional). Results show IP M&As improve ROIC, especially in North-to-South transactions. Mechanism analysis confirms enhanced innovation output, though its financial conversion may face institutional or integration frictions. The study highlights the strategic value of IP M&As and the importance of regional context in post-deal …