Tři nové impaktované články členů katedry v 1. a 2. kvartilu

Pracovníci katedry publikovali tři nové články v zahraničních impaktovaných časopisech indexovaných ve Web of Science, jejichž AIS je v 1. a 2. kvartilu:

Mikula, Š, Molnár. P.: Expected transport accessibility improvement and house prices: Evidence from the construction of an undersea road tunnel system, Journal of Transport Geography, Volume 111, July 2023, 103649 (Q1 Social and Economic Geography), k dispozici zde: https://www.sciencedirect.com/science/article/abs/pii/S0966692323001217

Abstrakt:

This paper studies the impact of expected transport accessibility improvement on house prices. We identify the effect exploiting a quasi-natural experiment created by the approval and construction of the Ryfast tunnel system in Rogaland, Norway, which shortened the traveling time to the affected municipality from 62 to 24 min. Estimates of a repeated sales model in a difference-in-differences framework show that the expectation of improvement in transport accessibility connected with the construction of the tunnel system led to an increase in house prices by 12.8% on average. That effect grew as the opening of the tunnel drew closer and was driven by less valuable houses.

Málek, J. Nguyen, D. K., Sensoy, A., Tran, Q. V.: Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations, Finance Research Letters, Volume 55, Part A, July 2023, 103817 (Q2 Economics and Business), k dispozici zde: https://www.sciencedirect.com/science/article/abs/pii/S1544612323001903

Abstrakt:

We employ alpha-stable distribution to dynamically compute risk exposure measures for the five most traded cryptocurrencies. Returns are jointly modeled with an ARMA-GARCH approach for their conditional mean and variance processes with alpha-stable innovations. We use the MLE method to estimate the parameters of this distribution, along with those of conditional mean and variance. Our results show that the dynamic approach is superior to the static method. We also find out that these risk measures of five cryptocurrencies do not offer the same pattern of behavior across subperiods (i.e., pre-, during- and post-COVID pandemic).

Gric, Z., Bajzík, J., Badura, O.: Does sentiment affect stock returns? a meta-analysis across survey-based measures, International Review of Financial Analysis, Volume 89, October 2023, 102773 (Q2 Economics and Business), k dispozici zde: https://www.sciencedirect.com/science/article/abs/pii/S1057521923002892

Abstrakt:

We are the first to meta-analyze the literature on the relationship between sentiment and stock returns, a topic that reacts to the history of systemic events causing asset bubbles in financial markets. We focus on three questions — whether the literature is biased; what is the “true effect” beyond this bias; and what are the key determinants of the variance among the estimates in the literature. To answer those questions we collect 1311 point estimates from 30 primary studies and use state-of-art meta-analytical approaches. Both linear and non-linear tests for publication bias suggest that the “true effect” of an improvement in sentiment is non-negligible and negative. In the majority of specifications, researchers tend to report this effect as being much stronger than it actually is. Next, using Bayesian model averaging we show that the effect of sentiment on future returns is significantly stronger for individual investors than for large institutions, and in US stock markets compared with European ones. The effect also depends on several data and model characteristics.