Journal of Risk Finance: Volume 19 Issue 3

Revisiting the (mis)pricing of the accrual anomaly

Felix Canitz, Christian Fieberg, Kerstin Lopatta, Thorsten Poddig, Thomas Walker

This paper aims to hunt for the driving force behind the accrual anomaly and revisit the risk versus mispricing debate.

Strategic risk, banks, and Basel III: estimating economic capital requirements

Arun Chockalingam, Shaunak Dabadghao, Rene Soetekouw

Basel III regulations require banks to protect themselves against strategic risk. This paper aims to provide a comprehensive and measurable definition of this risk and proposes a…

Sustainability-themed mutual funds: an empirical examination of risk and performance

Federica Ielasi, Monica Rossolini, Sara Limberti

This paper aims to analyze the portfolio characteristics and the performance measures of sustainability-themed mutual funds, compared to ethical mutual funds that implement…

Firm opacity and informed trading around spinoffs

Yuan Wen

This paper aims to examine the prevalence of informed trading around corporate spinoffs and the relation between firm opacity and informed trading using option market data.

Taxes and risk-taking behavior: evidence from mergers and acquisitions in the G7 nations

Poonyawat Sreesing

This study aims to examine how corporate taxes affect corporate risk-taking decisions.

A spectral analysis based heteroscedastic model for the estimation of value at risk

Yang Zhao

This paper aims to focus on a better model to capture the trait of varying volatility in various financial time series, as well as to obtain reliable estimate of value at risk…