Manuel Lobato, Javier Rodríguez and Herminio Romero-Perez
This study aims to examine the herding behavior of socially responsible exchange traded funds (SR ETFs) in comparison to conventional ETFs during the COVID-19 pandemic.
Abstract
Purpose
This study aims to examine the herding behavior of socially responsible exchange traded funds (SR ETFs) in comparison to conventional ETFs during the COVID-19 pandemic.
Design/methodology/approach
To test for herding behavior, the authors use the cross-sectional absolute deviation and a quadratic market model.
Findings
During the pandemic, investments in socially responsible financial products grew rapidly. And investors in the popular SR ETFs herd during this special period, while holders of conventional ETFs did not.
Practical implications
Investors in socially responsible investments must do their own research and make their own financial decisions, rather than follow the crowd, especially during extreme events like the COVID-19 pandemic.
Originality/value
The evidence shows that, during the pandemic, socially responsible ETFs behaved in line with theoretical predictions of herding, that is, herding is more significant during extreme market conditions.
Details
Keywords
Manuel Lobato, Mario Jordi Maura, Javier Rodriguez and Herminio Romero-Perez
This study aims to examine investor attention by exploring the trading behavior of investors in US-based exchange traded funds (ETFs) of countries active in the Federation…
Abstract
Purpose
This study aims to examine investor attention by exploring the trading behavior of investors in US-based exchange traded funds (ETFs) of countries active in the Federation Internationale de Football Association (FIFA) World Cups.
Design/methodology/approach
The present study employs event study methodology to measure abnormal returns and excess trading volume of country-specific ETFs during six FIFA World Cups. The sample of ETFs includes 19 participating countries.
Findings
Consistent with investor behavior that might be explained by attention effect, the study finds that country-specific ETFs from participating countries do indeed behave differently during FIFA World Cups events. The authors find significant evidence of abnormal trading volume and, albeit weaker, abnormal returns during cups.
Originality/value
This study contributes to the literature on investor behavior, linking investor attention with salient sports events.
Details
Keywords
Mario Jordi Maura-Pérez and Herminio Romero-Perez
This study aims to analyze the factors related to the failure of 535 Federal Deposit Insurance Corporation (FDIC)-Insured United States banks in conjunction with the 2008…
Abstract
Purpose
This study aims to analyze the factors related to the failure of 535 Federal Deposit Insurance Corporation (FDIC)-Insured United States banks in conjunction with the 2008 financial crisis.
Design/methodology/approach
The research consists of an analysis of the following three five-year partitions: pre-crisis (2002–2006), crisis (2007–2011) and post-crisis (2012–2016). The main hypothesis is that the factors explaining bank failures vary by period. Using logistic regression analysis, the authors identify the desirable models by period based on three model selection strategies.
Findings
Liquidity and non-risk-based capital ratios are important explanatory factors in all three periods. As the authors can see from the results, when comparing the full period (2002–2016) and the three five-year period partitions (2002–2006, 2007–2011 and 2012–2016), the ratios change from period to period, but they measure the same financial areas of concern in different contexts as follows: liquidity, leverage/risk exposure and capital adequacy. Risk-based capital ratios are not effective predictors of bank failures.
Originality/value
Recent academic studies have analyzed bank failures during periods that cover the years before, during and after the crisis, but most of these studies discuss bank failures in the forecasting context only. This study includes an analysis of failure determinants during pre-crisis, crisis and post-crisis subperiods based on the FDIC monitoring system of bank failures and identifies what ratios are more relevant during each period and how they change from period to period.