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Biotech companies stand as key actors in pharmaceutical innovation. The high risk and long timelines inherent with their R&D investments might hinder their access to funding, potentially stifling innovation. This study aims to explore into the appeal of biotech companies to capital market investors, whose financial backing could bolster the growth of the biotechnology sector.

This paper uses a dataset of 774 US publicly listed biotech firms to investigate their risk and return characteristics by comparing them to pharmaceutical firms and a sample of matched non-biotech R&D-intensive firms over the sample period 1980–2021. Tests show that the conclusions remain consistent across diverse methodological approaches.

The paper shows that biotech companies are riskier than the average firm in the market index but outperform on a risk-adjusted basis both the market and a matched group of R&D-intensive firms. This is particularly true for large capitalization biotech, which is also shown to provide a diversification benefit by reducing the downside risk in past crisis periods.

This paper provides insight relevant to the current debate about the overall performance of the biotech industry in terms of policy changes and their impact on small, early-stage biotech firms. While small and early-stage biotech firms are playing an increasing role in scientific innovation, this study confirms their greater vulnerability to financial risks and the importance of access to capital markets in enabling those companies to survive and evolve into larger biotech.

This study investigates the paradox of lotteries in financial markets, challenging traditional utility models predicated on rational behavior amid uncertainty. It explores why investors are drawn to lotteries despite the potential trade-off between risk-adjusted returns and sporadically substantial gains.

Employing a multifaceted approach, the study first scrutinizes diverse theories elucidating the perplexing behavior of lottery investors. Subsequently, it assesses the premium attached to lottery stock shares in the Brazilian financial market using distinct methodologies, thereby offering a comprehensive analysis of this phenomenon. Finally, the study estimates the risk premium associated with the lottery stocks applying an extended Fama–French multifactor model and searching for evidence of overlap with other risk-based anomalies.

This research unveils theories underpinning seemingly irrational investor behavior vis-à-vis lotteries, revealing the motivations propelling investors to willingly exchange risk-adjusted returns for the allure of substantial but infrequent gains. Empirical evidence delineates the extent of the premium paid for lottery stocks in the Brazilian market.

The study’s novelty lies in its amalgamation of theoretical exploration, empirical analysis and the application of the Fama–French factor model to gauge the risk premium associated with lottery-related behavior. Furthermore, its investigation of lottery stocks within the Brazilian market introduces a distinctive dimension, elucidating market dynamics and investor behaviors unique to the region.

This paper scrutinizes the relationship between idiosyncratic risks and stock returns at different quantiles, especially the extremely low and high ones, to explore the applicability of the Prospect Theory’s rationale in Vietnam’s stock market.

The Prospect Theory demonstrates that investors’ attitudes towards risks can change from risk-seeking in the loss domain to risk-averse in the gain domain. This can be observed by the negative (positive) connection between idiosyncratic risks and returns for the losing (winning) stocks. To explore if the aforesaid patterns occur in Vietnam’s stock market, this paper employs the quantile regression method which is suitable for inspecting the relationship at the high and low tails of the stock returns.

The estimation results acknowledge the changes in attitudes towards risks as mentioned by the Prospect Theory.

The negative relationship between idiosyncratic risks and stock returns confirms investors’ risk-seeking behavior in the loss domain, which is in line with the prediction of the Prospect Theory. This behavior may cause worse investment performance as the losing stocks in investors’ portfolios remain overvalued, leading to subsequent negative returns. Therefore, investors should establish and follow their investment disciplines to protect themselves from larger losses.

Existing research found little evidence for the Prospect Theory’s rationale in Vietnam’s stock market, which can stem from the usage of the conditional-mean regression methods. Different from the prior studies, this paper is the first to apply the quantile regression method and provide new evidence supporting the Prospect Theory’s rationale in Vietnam’s stock market.

This paper aims to analyze the downside risk for the stock indices of BRICS countries. The study also aimed to study the interrelationship, directional influence and interdependence among the stock exchanges of BRICS economies to provide insights for policymakers, fund managers, investors and other stakeholders.

The authors used Value at Risk (VaR) as an indicator of downside risk and time series econometrics for measuring the long run relationship, directional influence and interdependence.

The calculated VaR estimates, long-run linkages and strong interdependence among these indices especially with the returns of Brazil exerting a notable impact on the returns of other BRICS nations. These results emphasize the significance of taking into account cross-country spillover effects and domestic market dynamics in the context of portfolio management and risk assessment strategies. Further, from the extended results of variance decomposition analysis, the authors find that Brazil’s, China’s and South African stock market returns have a significantly lagged impact on their own stock market, while Russia’s and India stock market returns do not have a significantly lagged impact on their own stock markets.

To the best of the authors’ knowledge, this is the first study comprehensively analyzing the BRICS indices downside risk through the historical simulation method of VaR estimation, which is an unexplored area of risk management.

This paper evaluates the performance of actively managed conventional and Islamic equity funds in a developing economy with a focus to assess the performance-growth puzzle posited by Gruber (1993) (a.k.a Gruber’s puzzle). Under the context of an emerging market of Pakistan, this study explores if actively managed equity fund (AMEF) managers have been able to add value by outperforming the market in terms of stock-selection and market-timing abilities; and the comparative performance analysis of Islamic versus conventional AMEFs is also carried out.

We employ Sharpe and Treynor ratios, Capital asset pricing model, Fama–French three factors model (1993), Carhart four-factor model (1997) and Hendrickson (1981) market timing models on 45 equity funds comprising of 23 conventional and 22 Islamic equity funds operating in Pakistan for a period of 10 years. The overall sample period (2008–2018) is divided into two 5 years sub-periods (i.e. 2009–2013 and 2014–2018) and three 3 years sub-periods (2009–2011, 2012–2014 and 2015–2017) to be viewed in conjunction with the country's macro-economic condition.

We report that the actively managed equity funds (AMEFs) were unable to beat the market index with their stock selection or market timing capabilities. However, AMEFs depicted improved performance in the post-global financial crisis period where both conventional and Islamic AMEFs generated substantial rewards for the given amount of risk. Also, conventional AMEFs outperformed Islamic AMEFs potentially due to their holdings in highly leveraged value and large-cap stocks, while Islamic AMEFS invest more cautiously in small-cap and value firms. Analysis of market timing skills revealed that the funds have not been able to select the undervalued stocks and adopted a defensive strategy in the post-global financial crisis recovery period.

Our findings shed some interesting insights and raise some pertinent questions for research, policy, and practice – specifically for developing countries’ context. The no ‘return-growth’ configuration defies its fit with the ‘Gruber puzzle’ and somewhat presents a case of what we call the ‘Inverse Grubber puzzle’. This novel notion of the ‘Inverse Grubber puzzle’ should inform policy and practice to reflect on their practices, institutional arrangement, regulatory framework and policy design in developing economies characterized by lacklustre performance and growth of AMEFs. For example, the regulatory design may consider focusing on stimulating financial inclusion and deepening by motivating low-cost Index tracker funds (ITFs) – with lower fund management costs, while allocating the avoided cost to flow towards effective marketing campaigns driving greater awareness, financial deepening, and investor base diversification. For future research, financial development researchers may explore the implications and appropriateness of AMEFs versus ITFs in other developing economies.

The work reported in this paper is original and constitutes a valuable asset for ethno-religious-sensitive investors. The research has not been published in any capacity and is not under consideration for publication elsewhere.

This study aims to examine the nexus of corporate governance with firms' financial risk-taking behavior under the corporate social responsibility (CSR) disclosures in the context of non-financial listed firms of an emerging economy.

This study investigates the relationship between corporate governance as evaluated by an index and several financial risks, including idiosyncratic, default and systematic risks. The connection of corporate governance with financial risks is also studied while considering the moderation of CSR disclosures. The data are collected from 2014 to 2018 of 73 top 100-index listed non-financial firms of Pakistan Stock Exchange (PSX). Panel regression fixed effect and 2-step generalized method of moments techniques are applied to confirm the hypothesis along with the diagnostic tests to confirm that all outcomes of models must be authentic and reliable.

The study’s findings confirm that enhancing the overall corporate governance measures resulted in an augment in the firm’s risk due to weak control and regulations prevailing in emerging economies. Moreover, CSR disclosures enhance stakeholder information, lessen information asymmetry about management policies and mitigate the risk associated with operational uncertainties.

This study has a practical implementation to policymakers that effective monitoring and controlling measures facilitate the corporate management for minimizing the financial risks. Further, the study’s findings shed light that implementing corporate governance measures is not enough to mitigate financial risks until supervisory measures in the form of CSR disclosures are not taken to analyse corporate governance effectiveness.

This paper enhances the key findings in the literature by examining the role of corporate governance measures with respect to firms’ financial risks considering the moderating role of CSR disclosures. Furthermore, this research adds to the body of knowledge regarding the implementation of monitoring measures that assist in the mitigation of firms’ financial risks hence firm value.

The objective of the study is to shed light on the notion of quality investing in the Indian stock market. The study also attempts to combine the value and quality metrics to test their ability to generate a higher risk-adjusted return.

The paper employs asset pricing models to examine the excess risk-adjusted returns and panel regression model (random estimates) to determine the price of quality in the cross-section of Bombay Stock Exchange (BSE) listed stocks from 2003 to 2020.

The results indicate that the quality-only strategy failed to produce substantial risk-adjusted returns in the Indian stock market. The returns to long/short hedging strategy quality-minus-junk (QMJ) are significantly positive with the majority of the returns attributable to the short leg of the stock portfolio. The findings further discovered that the explanatory effect of quality on prices is limited. In particular, a strategy that combines value and quality investing generated positive and significant alphas as well as a higher Sharpe ratio.

The study provides investors and portfolio managers with valuable insights for navigating undervalued high-quality equities in the Indian stock market.

This is the first research of its kind to examine the performance of quality (Q score indicator) combined with value investing in the Indian stock market. As majority of research have concentrated on developed economies, this study offers out-of-sample evidence to validate the strategy’s success in an emerging market.

The study aims to test prospect theory (PT) predictions in the cryptocurrency (CC) market. It proposes a new asset pricing model that explores the potential of prospect theory value (PTV) as a significant predictor of CC returns.

The study comprehensively analyses a large sample set of 1,629 CCs, representing more than 95% of the CC market. The study uses a portfolio analysis approach, employing univariate and bivariate sorting techniques with equal-weighted and value-weighted portfolios. The study also employs ordinary least squares (OLS) regression, panel data methods and quantile regression (QR) to estimate the models.

This study demonstrates an average inverse relationship between PTV and CC returns. However, this relationship exhibits asymmetry across different quantiles, indicating that investor reactions vary based on market conditions. Moreover, PTV provides more robust predictions for smaller CCs characterized by high volatility and illiquidity. Notably, the findings highlight the dominant role of the probability weighting (PW) component in PT for predicting CC behaviors, suggesting a preference for lottery-like characteristics among CC investors.

The study is one of the early studies on CC price dynamics from the PT perspective. The study is the first to apply a QR approach to analyze the cross-section of CCs using a PT-based asset pricing model. The results shed light on CC investors' decision-making processes and risk perception, offering valuable insights to regulators, policymakers and market participants. From a practical perspective, a trading strategy centered around the PTV effect can be implemented.

The purpose of this paper is to provide theory for some popular models and strategies used by practitioners in constructing optimal portfolios. King (2007), for example, advocated adding a diversification term to mean-variance problems to create better portfolios and provided clear empirical evidence that this is beneficial.

The authors provide an analytical framework to help us understand different portfolio construction practices that may incorporate diversification and conviction strategies; this allows us to connect our analysis to ideas in psychophysics and behavioural finance. The critical psychological ideas are cognitive dissonance and entropy; the economics are based on expected utility theory. The empirical section uses the theory outlined and provides the basis for constructing such portfolios.

The model presented allows the incorporation of different strategies within a mean-variance framework, ranging from diversification and conviction strategies to more ESG-oriented ones. The empirical analysis provides a practical application.

To the best of the authors’ knowledge, this model is the first to bridge the gap between portfolio optimisation and the psychological ideas mentioned in a coherent analytical framework.

Islamic financial technology (fintech), primarily peer-to-peer (P2P) lending, plays a substantial role in funding the unbanked population and small and medium enterprises (SMEs) by offering streamlined financial services through online digital technology. In addition, Islamic fintech lending offers a promising return rate for individual and institutional investors, and therefore, it is considered a worthy investment alternative for diversification. This study aims to examine the determinants of project returns of SMEs on Islamic fintech lending platforms, taking the case study of one Islamic fintech lending platform registered at the Financial Service Authority in Indonesia.

Project return information and other information, such as the name of the SME raising fund, project duration, location, contract (aqad) and value (amount of money) to be raised, were extracted from the Islamic fintech lending platform. Furthermore, a regression analysis was performed using the completed projects as sample data (n = 122) on the platform.

The results show that the rate of return is significantly affected by project duration and type of Sharia-compliant contract. Location and project value are, however, found to be statistically insignificant. This study’s overall results align with the Signaling theory, indicating the importance of information for decision-making.

Due to limited access to the data, our study uses data from one of seven Islamic fintech lending platforms; thus, the study results may not be generalized to the general population.

The results suggest that investors aspiring to invest their funds in SME projects on Islamic fintech lending platforms should consider the project duration and contractual agreement since these factors significantly influence the return. Additionally, society may consider the Islamic fintech lending platform a viable investment instrument since its return rate follows the risk-return principle in classical and established finance theories. That is why Islamic fintech lending platforms are competitive compared to the more established ones, such as the Islamic stock market.

To the best of the authors’ knowledge, this study is the first study using an empirical approach to reveal the project return determinants of SMEs on Islamic fintech lending platform.