Outputs (55)

Betting against analyst target price (2021)
Journal Article
Han, C., Kang, J., & Kim, S. (2022). Betting against analyst target price. Journal of Financial Markets, 59(Part B), Article 100677. https://doi.org/10.1016/j.finmar.2021.100677

Using a robust measure that captures the market’s reaction to analysts’ target price releases, we show that the initial stock price reaction corresponds to target prices, but the price drifts in the opposite direction for a long period, resulting in... Read More about Betting against analyst target price.

Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation? (2021)
Journal Article
Chowdhury, M., Damianov, D., & Elsayed, A. (2022). Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?. Finance Research Letters, 46(Part B), Article 102494. https://doi.org/10.1016/j.frl.2021.102494

Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts... Read More about Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?.

Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis (2021)
Journal Article
Asutay, M., Wang, Y., & Alija, A. (2022). Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis. Asia-Pacific Financial Markets, 29(2), 327-355. https://doi.org/10.1007/s10690-021-09351-7

Islamic indices encompass different fundamental principles to those held by conventional ones, which directs attention onto comparative financial performance. This paper offers a comprehensive performance comparison between Islamic indices and conven... Read More about Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis.

Forward Guidance and Corporate Lending (2021)
Journal Article
Delis, M., Hong, S., Paltalidis, N., & Philip, D. (2022). Forward Guidance and Corporate Lending. Review of Finance, 26(4), 899-935. https://doi.org/10.1093/rof/rfab027

We suggest that forward guidance, via publicly committing the central bank to future actions and creating associated expectations, fundamentally affects bank lending decisions independently of other forms of monetary policy. To test this hypothesis,... Read More about Forward Guidance and Corporate Lending.

Financial Inclusion and Economic Well-Being: Evidence from Islamic Pawnbroking (Ar-Rahn) in Malaysia (2021)
Journal Article
Abdul, R., Azila, B., & Asutay, M. (2022). Financial Inclusion and Economic Well-Being: Evidence from Islamic Pawnbroking (Ar-Rahn) in Malaysia. Research in International Business and Finance, 59, Article 101557. https://doi.org/10.1016/j.ribaf.2021.101557

This study examines the impact of financial inclusion through Islamic pawnbroking, or ar-rahn financing facilities, on the economic well-being of ar-rahn clients in Malaysia. The data set consists of primary data assembled through questionnaire surve... Read More about Financial Inclusion and Economic Well-Being: Evidence from Islamic Pawnbroking (Ar-Rahn) in Malaysia.

A Geometric Framework for Covariance Dynamics (2021)
Journal Article
Han, C., & Park, F. C. (2022). A Geometric Framework for Covariance Dynamics. Journal of Banking and Finance, 134, Article 106319. https://doi.org/10.1016/j.jbankfin.2021.106319

Employing methods of differential geometry, we propose a new framework for covariance dynamics modeling. Our approach respects the intrinsic geometric properties of the space of covariance matrices and allows their natural evolution. We develop covar... Read More about A Geometric Framework for Covariance Dynamics.

Do Capital Requirements Make Banks Safer? Evidence from a Quasinatural Experiment (2021)
Journal Article
Bostandzic, D., Irresberger, F., Juelsrud, R. E., & Weiss, G. N. (2022). Do Capital Requirements Make Banks Safer? Evidence from a Quasinatural Experiment. Journal of Financial and Quantitative Analysis, 57(5), 1805-1833. https://doi.org/10.1017/s0022109021000612

We use the EBA capital exercise of 2011 as a quasi-natural experiment to investigate how capital requirements affect various measures of bank solvency risk. We show that, while regulatory measures of solvency improve, non-regulatory measures indicate... Read More about Do Capital Requirements Make Banks Safer? Evidence from a Quasinatural Experiment.

Abnormal Investment and Firm Performance (2021)
Journal Article
Liu, S., Yin, C., & Zeng, Y. (2021). Abnormal Investment and Firm Performance. International Review of Financial Analysis, 78, Article 101886. https://doi.org/10.1016/j.irfa.2021.101886

We find a negative relation between abnormal investment and future stock performance. Such a negative relation is mainly driven by under-investment, not overinvestment. Our results are robust to various estimation methods and investment models. Both... Read More about Abnormal Investment and Firm Performance.

Two-period duopolies with forward markets (2021)
Journal Article
Cox, C., Karam, A., & Pelster, M. (2022). Two-period duopolies with forward markets. Review of Industrial Organization, 60(1), 29-62. https://doi.org/10.1007/s11151-021-09839-6

We experimentally consider a dynamic multi-period Cournot duopoly with a simultaneous option to manage financial risk and a real option to delay supply. The first option allows players to manage risk before uncertainty is realized, while the second a... Read More about Two-period duopolies with forward markets.

The Impact of Islamic Spirituality on Job Satisfaction and Organisational Commitment: Exploring Mediation and Moderation Impact (2021)
Journal Article
Asutay, M., Buana, G., & Avdukic, A. (2022). The Impact of Islamic Spirituality on Job Satisfaction and Organisational Commitment: Exploring Mediation and Moderation Impact. Journal of Business Ethics, 181(4), 913-932. https://doi.org/10.1007/s10551-021-04940-y

Research into spirituality and its impact on the work environment has been bourgeoning. In an attempt to explore the role of Islamic spirituality in the workplace, this study examines the influence of Islamic spirituality on job satisfaction and orga... Read More about The Impact of Islamic Spirituality on Job Satisfaction and Organisational Commitment: Exploring Mediation and Moderation Impact.