Essays in financial economics / edited by Rita Biswas and Michael Michaelides.

Format:

Book

Contributor:

Biswas, Rita, editor.

Michaelides, Michael, editor.

Series:

Research in finance, 0196-3821 ; volume 35

Language:

English

Subjects (All):

Capital market.

Finance.

Physical Description:

1 online resource (xi, 154 pages).

Edition:

1st ed.

Place of Publication:

Bingley, England : Emerald Publishing, [2019]

Summary:

This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance. Starting with a study examining the NYMEX Crude oil market, the first paper uses a no-arbitrage futures equilibrium cost-of-carry model that incorporates both the quality delivery option as well as the timing delivery option in the NYMEX contract. This is followed by two papers focusing on the growth of firms, one looking at a sample of S&P 500 firms in the US and one utilising a sample of firms from India's manufacturing sector. The fourth paper compares the Fama-French (FF) five-factor model for firms on the Paris Bourse with the four-factor model, exploring how the fifth factor, investment risk premium, benefits the French stock market in comparison with the profitability factor (the fourth factor). The fifth paper examines the volatility of the Indian stock market, while the sixth looks at the Italian banking industry. Closing the volume is a paper that looks at the relationship between the US Dollar Index and several emerging stock market indices using Granger Causality tests.

Contents:

Intro

Essays in Financial Economics

Contents

List of Contributors

Introduction

Market Efficiency, Arbitrage, and Delivery Options in the Nymex Crude Oil Market

1. The Futures Equilibrium No-Arbitrage Method

2. Arbitrage, Cointegration and the Futures Equilibrium Differential

3. Data

3.1. Adjusted Physical Spot/Futures Crude Oil Price Data

3.2. NYMEX/Brent Futures Contract Specifications

4. Empirical Analysis and Results

5. Conclusions and Summary

References

Financial Decisions and Growth of the Firm Under High and Low Levels of Information Asymmetry

1. Introduction

1.1 Objectives of This Chapter

2. Measures of Growth of the Firm

3. Financing Decisions and Information Asymmetry

4. Investment Decisions and Information Asymmetry

5. Dividend Decisions and Information Asymmetry

6. Interaction of Investment, Financing, Dividend Decisions and Growth of the Firm

7. Hypotheses Development

7.1. Proposed Proxy Measures of Information Asymmetry

8. Data, Statistical Tests, and Estimation Methods

8.1. Statistical Tests and Estimation Methods

9. Results and Discussion

10. Conclusion

10.1. The Case of High Information Asymmetry

10.2. The Case of Low Information Asymmetry

Is Growth Risky? Evidence from India

1. Theoretical Background

2. Brief Literature Survey

3. Data and Methodology

3.1. Measurement of Variables

3.2. Data

Panel VAR Model

4. Empirical Results

4.1. Optimum Lag Length

4.2. Regression Specifications

4.3. Test of Causality

4.4. Impulse Response Function

4.5. Variance Decomposition

5. Discussion

6. Conclusion

6.1. Summary and Implications

6.2. Limitations

Detecting Profitability and Investment Risk Premiums in the French Stock Market

2. Data and Methodology.

2.1. Data

2.2. Methodology

3. Results

3.1. Summary Statistics

3.2. Model Performance

3.3. Regression Details

3.4. Size-Profitability Portfolios

3.5. Size-Investment Portfolios

4. Robustness Tests

4.1. Fama and Macbeth (1973) Two-step Regression

4.2. Market Conditions

4.3. European Sovereign Debt Crisis

5. Conclusion

Appendix 1. Formulas used to Construct Monthly Factor Values

Stock Market Volatility Modeling and Forecasting with a Special Reference to BSE Sensex

2. Review of Literature

3. Statement of the Problem

4. Objectives of the Study

5. Research Design and Methodology

5.1. Data

5.2. Tools of Analysis

5.3. Descriptive Statistics

5.4. Test of Stationary

5.5. Volatility Measurement Technique

6. Results and Discussion

6.1. Augmented Dickey-Fuller (ADF) Test

6.2. GARCH(1,1) Model Estimation

6.3. Validation

7. Findings and Conclusion

8. Limitations and Scope of the Study

9. Scope for Further Research

Are Italian Banks Profitable by Using Derivatives? Evidence from the Recent Recession of Italian Economy

2. Sample Description and Statistics

3. Literature Review

3.1. Literature on Profitability

3.2. Literature on the Relationship between Derivatives Use and Profitability

4. Hypotheses

5. Methodology

5.1. Period and Data

5.2. Definition and Selection of Variables

5.2.1. Profitability Measures

5.2.2. The Variable of Interest

5.2.3. The Control Variables

5.3. The Models for Estimation

5.4. Estimation Method

6. Results Presentation and Analysis

6.1. Variable Statistics

6.2. Results Presentation and Analysis

6.2.1. Panel A Results and Comments

6.2.2. Panel B Results and Comments

6.2.3. Panel C Results and Comments.

6.2.4. Panel D Results and Comments

6.2.5. Panel E Results and Comments

6.3. Hypotheses Check-up and Results Comments

7. Conclusion

Appendix: Panels' Results

The Impact of US Dollar Index on Emerging Stock Markets: A Simultaneous Granger Causality and Rolling Correlation Analysis

2. Literature Review

3.1. Correlation and Causality Tests

4. Results

4.1. Causality Results

4.2. Rolling Correlation Results

References.

ISBN:

9781789733914

178973391X

9781789733891

1789733898