Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors

Essa, Mohammad Sharik; Giouvris, Evangelos

doi:10.3390/jrfm13040070

Cited by 3 publications

(1 citation statement)

References 87 publications

(155 reference statements)

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“…Adhikari Sudip and Khanal Aditya R. found that the perceived higher commercial risks significantly increased the debt use, savings use, and debt-to-equity ratio of small farmers (Skadina & Veinbergs, 2021). In addition, the research results indicate that factors such as the age and education level of operators, family participation, income, land area, alternative solutions adopted by farm enterprises, and farmers' continuation plans have a significant impact on the financing decisions of small-scale farm operations (Essa & Giouvris, 2020). The original/value author investigated an important empirical question, examining the risk-balancing behavior of small farm operations in the United States.…”

Section: Possible Impacts Of Commercial Risksmentioning

confidence: 85%

Research on Business Risk under CHFS Data Empirical Analysis

Xiao

2023

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This study utilizes CHFS (China Household Finance Survey) data to analyze business risk factors in the modern business environment. It quantitatively examines the relationship between business risk and various factors using statistical methods like multiple regression analysis. The literature review highlights the importance of business risk for enterprise stability and development. The study identifies significant correlations between economic factors, market conditions, and company characteristics with business risk. Key findings indicate that business risk is influenced by factors like market volatility, financial conditions, industry competition, and macroeconomic factors. The research also suggests strategies for businesses facing these risks. The conclusions can guide risk management for enterprises and macroeconomic policymaking. However, the study has limitations such as data timeframe and sample specificity. Future research should broaden data sources and interdisciplinary analysis for more comprehensive results. In summary, this study offers new insights into business risk management through CHFS data analysis, revealing crucial factors. These findings benefit businesses and policymakers in understanding and addressing business risks for a stable, sustainable business environment.

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Section: Possible Impacts Of Commercial Risksmentioning

confidence: 85%

Research on Business Risk under CHFS Data Empirical Analysis

Xiao

2023

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What is the Effect of VIX and (un)Expected Illiquidity on Sectoral Herding in US REITs during (Non)Crises? Evidence from a Markov Switching Model (2014 – 2022)

Essa,

Giouvris

2023

Journal of Behavioral Finance

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Fama–French–Carhart Factor-Based Premiums in the US REIT Market: A Risk Based Explanation, and the Impact of Financial Distress and Liquidity Crisis from 2001 to 2020

Essa

Giouvris

2023

IJFS

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The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and significance of these premiums, along with assessing if these premiums are associated with higher risk. The study then employs Auto-regressive distributed lag and Error Correction Modeling to establish the long/short-run impact of financial distress and liquidity crisis on these premiums during recessionary and non-recessionary phases, including COVID-19. Premiums associated with all five factors are positive and significant. Secondly, in contradiction to the Efficient Market Hypothesis, we find that value and momentum portfolios provide superior returns without exposing investors to higher risk while portfolios based on size, profitability and investment, do tend to expose investors to a higher risk. Thirdly, in contradiction to the risk based explanation of Fama–French/Carhart (2015/1997), we find significant evidence of a fall in profitability and momentum premiums with an uptick in financial distress and liquidity crisis. On the other hand, size, value and investment premiums rise with financial distress/liquidity crisis, only during the recessionary phases. This impact is insignificant during non-recessionary phases.

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Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors

Cited by 3 publications

References 87 publications

Research on Business Risk under CHFS Data Empirical Analysis

Research on Business Risk under CHFS Data Empirical Analysis

What is the Effect of VIX and (un)Expected Illiquidity on Sectoral Herding in US REITs during (Non)Crises? Evidence from a Markov Switching Model (2014 – 2022)

Fama–French–Carhart Factor-Based Premiums in the US REIT Market: A Risk Based Explanation, and the Impact of Financial Distress and Liquidity Crisis from 2001 to 2020

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