Journal of Finance Issues https://jfi.aof-mbaa.org/index.php/jfi <p>The Journal is a double-blind reviewed journal that is listed in Cabell's Directories. The Journal was founded by members of the Academy of Finance (AOF), which is one of twelve affiliated organizations that meet annually in Chicago, IL at the Midwest Business Administration Association (MBAA) meetings in the late winter or early spring. While some of the papers submitted to the Journal are papers that were presented at the MBAA/AOF conference and later improved based upon the feedback received at the meetings, the Journal is open to all submissions from authors outside of the AOF membership. No preference is given to papers that were submitted by members over those submitted by non-members. </p> en-US h-lee@wiu.edu (Hongbok Lee) lbauer@mun.ca (Larry Bauer) Wed, 12 Oct 2022 07:28:14 -0700 OJS 3.3.0.10 http://blogs.law.harvard.edu/tech/rss 60 The Impact of Post-Trade Transparency on Investors: Evidence from an Emerging Market https://jfi.aof-mbaa.org/index.php/jfi/article/view/3762 <p>This study examines the effects of a post-trade transparency event on the payoff to informed and uninformed traders of large and small size firms. The evidence indicates that the event leads to a significant decrease in the payoff only to informed traders of large firms, while there is little change in the payoff to other investors. The implications are two-fold, that the event is beneficial to market fairness for large firms although it has the drawback of discouraging informed traders from producing/sharing information; and secondly, the event has no universal and equivalent impact for different groups of investors.&nbsp;</p> Cheng-Huei Chiao, Chiou-Fa Lin, Bin Qiu Copyright (c) 2022 Journal of Finance Issues https://jfi.aof-mbaa.org/index.php/jfi/article/view/3762 Wed, 12 Oct 2022 00:00:00 -0700 Does Market Timing Beat Dollar Cost Averaging? https://jfi.aof-mbaa.org/index.php/jfi/article/view/3353 <p>This paper explores several methods for investing a series of monthly cash contributions in an equity index, such as the S&amp;P 500 or the Nikkei 225. The dollar cost averaging (DCA), three variations of market timing (MT1, MT2, and MT3), and 12-month perfect foresight (PF) are examined, and they are built on the same assumptions, such as monthly cash inflows, no borrowing of cash, and no selling of equity. The PF outcomes, unachievable by human beings, serve as the optimal boundaries. Our results show that in both the U.S. and Japanese markets, the PF dominates the DCA, while the MTs tend to deliver similar results as the DCA. Thus, the DCA seems an effective investment method.</p> Yan He, Junbo Wang Copyright (c) 2022 Journal of Finance Issues https://jfi.aof-mbaa.org/index.php/jfi/article/view/3353 Wed, 12 Oct 2022 00:00:00 -0700 ESG Risk in Times of Crisis: Evidence from the COVID-19 Pandemic https://jfi.aof-mbaa.org/index.php/jfi/article/view/3875 <p><em>This study compares the volatility of the S&amp;P 500 ESG index and its conventional counterpart during the COVID-19 pandemic.&nbsp; The conditional volatility of each index is generated from an EGARCH model, with these series then used in a vector autoregression.&nbsp; Impulse response functions computed from the VAR show an increase in the conditional volatility of both the ESG and conventional index in response to various pandemic related shocks.&nbsp; However, the impact on the ESG index is significantly less than that of the conventional index, providing further evidence backing the claim that socially responsible investments are less risky than other investments during times of economic crisis.</em></p> Samuel Jones Copyright (c) 2022 Journal of Finance Issues https://jfi.aof-mbaa.org/index.php/jfi/article/view/3875 Wed, 12 Oct 2022 00:00:00 -0700 The Post-IPO Performance of Private Equity Backed Firms during the Great Recession https://jfi.aof-mbaa.org/index.php/jfi/article/view/3490 <p style="font-weight: 400;">We examine the performance of PE-backed firms following their IPOs during the expansionary period of the early 2000s and their performance during the “great recession.” We employ a control group using multi-digit NAICS codes, which allows us to match firms much more closely than prior studies. The results during the market expansion of the early decade parallel those of the existing literature, showing PE-backed firms perform as well or better than non-PE-backed firms. However, while those studies conclude that IPOs are generally a positive addition to the market and its investors, we show their performance is significantly worse than their non-PE-backed peers during the great recession, suggesting the success of these firms is particularly dependent on the state of the economy.</p> Jack Trifts, Gary Porter Copyright (c) 2022 Journal of Finance Issues https://jfi.aof-mbaa.org/index.php/jfi/article/view/3490 Wed, 12 Oct 2022 00:00:00 -0700 The Impact of Chinese Capital Outflows on Bitcoin vs. Yuan Relationships: A Multi-Period Analysis https://jfi.aof-mbaa.org/index.php/jfi/article/view/3432 <p style="font-weight: 400;">We examine the relationships among Bitcoin (BTC), the Chinese Yuan (CNY), and Chinese capital outflows between 2014-2021. We find that BTC returns strongly comove with CNY returns after 2018Q1, while no significant BTC/CNY relationship exists before 2018Q1. Further, the strength of the BTC/CNY relationship increases throughout 2018 to the present date. Yet, this relationship strength cannot be explained by periods of ascending BTC prices, changes in crypto mining location, nor changes in the use of BTC "mining pools". Instead, we find that the strength of the BTC/CNY relationship is strongly and directly related to Chinese capital outflows. We find no similar relationship with a "bogey" currency, the Euro, implying that the capital outflows -to- BTC/CNY relationship is unique to China and its capital outflow environment. In total, our novel results suggest that BTC is used as part of a process to move economically significant amounts of capital from mainland China.</p> Michael Williams, Mucahit Kochan, David Green Copyright (c) 2022 Journal of Finance Issues https://jfi.aof-mbaa.org/index.php/jfi/article/view/3432 Wed, 12 Oct 2022 00:00:00 -0700