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Review Papers for Journal of Risk and Financial Management (JRFM) Management Financial and Risk of Journal for Papers  Review Review Papers for Journal of Risk and Financial Management (JRFM) • Michael McAleer Review Papers for Journal of Risk and Financial Management (JRFM) Edited by Michael McAleer Printed Edition of the Special Issue Published in Journal of Risk and Financial Management www.mdpi.com/journal/jrfm Review Papers for Journal of Risk and Financial Management (JRFM) Review Papers for Journal of Risk and Financial Management (JRFM) Editor Michael McAleer MDPI • Basel • Beijing • Wuhan • Barcelona • Belgrade • Manchester • Tokyo • Cluj • Tianjin Editor Michael McAleer University Research Chair Professor, Department of Finance, College of Management, Asia University Taiwan Editorial Office MDPI St. Alban-Anlage 66 4052 Basel, Switzerland This is a reprint of articles from the Special Issue published online in the open access journal Journal of Risk and Financial Management (ISSN 1911-8074) (available at: https://www.mdpi.com/ journal/jrfm/special issues/reviewpapers). For citation purposes, cite each article independently as indicated on the article page online and as indicated below: LastName, A.A.; LastName, B.B.; LastName, C.C. Article Title. Journal Name Year, Article Number, Page Range. ISBN 978-3-03943-332-2 (Hbk) ISBN 978-3-03943-333-9 (PDF) c 2020 by the authors. Articles in this book are Open Access and distributed under the Creative Commons Attribution (CC BY) license, which allows users to download, copy and build upon published articles, as long as the author and publisher are properly credited, which ensures maximum dissemination and a wider impact of our publications. The book as a whole is distributed by MDPI under the terms and conditions of the Creative Commons license CC BY-NC-ND. Contents About the Editor .............................................. vii Preface to ”Review Papers for Journal of Risk and Financial Management (JRFM)” ...... ix Michael McAleer Review Papers for Journal of Risk and Financial Management (JRFM) Reprinted from: J. Risk Financial Manag. 2020, 13, 185, doi:10.3390/jrfm13080185 .......... 1 Michael McAleer Editorial Note: Review Papers for Journal of Risk and Financial Management (JRFM) Reprinted from: J. Risk Financial Manag. 2018, 11, 20, doi:10.3390/jrfm11020020 .......... 5 Adam Zaremba The Cross Section of Country Equity Returns: A Review of Empirical Literature Reprinted from: J. Risk Financial Manag. 2019, 12, 165, doi:10.3390/jrfm12040165 .......... 7 Ashok Chanabasangouda Patil and Shailesh Rastogi Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature Reprinted from: J. Risk Financial Manag. 2019, 12, 105, doi:10.3390/jrfm12020105 .......... 33 Qianwei Ying, Tahir Yousaf, Qurat ul Ain, Yasmeen Akhtar and Muhammad Shahid Rasheed Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis Reprinted from: J. Risk Financial Manag. 2019, 12, 97, doi:10.3390/jrfm12020097 .......... 51 Ruili Sun, Tiefeng Ma, Shuangzhe Liu and Milind Sathye Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review Reprinted from: J. Risk Financial Manag. 2019, 12, 48, doi:10.3390/jrfm12010048 .......... 73 Zericho R Marak and Deepa Pillai Factors, Outcome, and the Solutions of Supply Chain Finance: Review and the Future Directions Reprinted from: J. Risk Financial Manag. 2019, 12, 3, doi:10.3390/jrfm12010003 ...........107 James R. Barth and Stephen Matteo Miller On the Rising Complexity of Bank Regulatory Capital Requirements: From Global Guidelines to their United States (US) Implementation Reprinted from: J. Risk Financial Manag. 2018, 11, 77, doi:10.3390/jrfm11040077 ..........131 Chia-Lin Chang, Michael McAleer and Wing-Keung Wong Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections Reprinted from: J. Risk Financial Manag. 2018, 11, 15, doi:10.3390/jrfm11010015 ..........165 v About the Editor Michael McAleer PhD (Economics), 1981, from Queen’s University, Canada. He is University Research Chair Professor, Department of Finance, Asia University, Taiwan; Erasmus Visiting Professor of Quantitative Finance, Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands; Adjunct Professor, Department of Economic Analysis and ICAE, Complutense University of Madrid (founded 1293), Spain; Adjunct Professor, Department of Mathematics and Statistics, University of Canterbury, New Zealand; and IAS Adjunct Professor, Institute of Advanced Sciences, Yokohama National University, Japan. On numerous occasions, he has been a visiting professor at the University of Tokyo, Kyoto University, Osaka University, Kobe University, and Yokohama National University, Japan; University of Padova (founded 1222), Italy, Complutense University of Madrid (founded 1293), Spain; Foscari University of Venice, Italy; University of Zurich, Switzerland; University of Hong Kong, Chinese University of Hong Kong; and Hong Kong University of Science and Technology. China. He is an elected Distinguished Fellow of the International Engineering and Technology Institute (DFIETI), and an elected Fellow of the Academy of the Social Sciences in Australia (FASSA), International Environmental Modelling and Software Society (FIEMSS), Modelling and Simulation Society of Australia and New Zealand (FMSSANZ), Tinbergen Institute, The Netherlands,Journal of Econometrics and Econometric Reviews. He is the Editor-in-Chief of six international journals, is on the editorial boards of a further 40+ international journals, and has served as co-Guest Editor of numerous Special Issues of the Journal of Econometrics (Elsevier), Econometric Reviews (Taylor and Francis), Environmental Modelling and Software (Elsevier),Mathematics and Computers in Simulation (Elsevier), North American Journal of Economics and Finance (Elsevier), International Review of Economics and Finance (Elsevier), Annals of Financial Economics (World Scientific), Journal of Risk and Financial Management (MDPI), Sustainability (MDPI), Energies (MDPI), Risks (MDPI), Journal of Economic Surveys (Wiley), Economic Record (Wiley), Advances in Decision Sciences (Asia University), and China Finance Review International (Emerald). In terms of academic publications, he has published 880+ journal articles and books in economics, theoretical and applied financial econometrics, quantitative finance, risk and financial management, theoretical and applied econometrics, theoretical and applied statistics, time series analysis, energy economics and finance, sustainability, environmental modelling, carbon emissions, climate change econometrics, forecasting, informatics, data mining, bibliometrics, and international rankings of journals and academics. vii Preface to ”Review Papers for Journal of Risk and Financial Management (JRFM)” This book comprises an editorial and seven invaluable and interesting review papers for Journal of Risk and Financial Management (JRFM). The covered topics include the rising complexity of bank regulatory capital requirements from global guidelines to their United States (US) implementation; connections among big data, computational science, economics, finance, marketing, management, and psychology; factors, outcome, and the solutions of supply chain finance, with a review and future directions; time-varying price–volume relationships; adaptive market efficiency and a survey of the empirical literature; improved covariance matrix estimation for portfolio risk measurement; stock investment and excess returns with a critical review in the light of the efficient market hypothesis and a cross section analysis of country equity returns; and a review of the empirical literature. Michael McAleer Editor ix Journal of Risk and Financial Management Editorial Review Papers for Journal of Risk and Financial Management (JRFM) Michael McAleer 1,2,3,4,5 1 Department of Finance, Asia University, Taichung 41354, Taiwan; [email protected] 2 Discipline of Business Analytics, University of Sydney Business School, Darlington 2006, Australia 3 Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, 3062 PA Rotterdam, The Netherlands 4 Department of Economic Analysis and ICAE, Complutense University of Madrid, 28040 Madrid, Spain 5 Institute of Advanced Sciences, Yokohama National University, Kanagawa 240-8501, Japan Received: 14 August 2020; Accepted: 17 August 2020; Published: 18 August 2020 Abstract: This paper evaluates an editorial and seven invaluable and interesting review papers for the Journal of Risk and Financial Management (JRFM). The topics covered include the rising complexity of bank regulatory capital requirements from global guidelines to their United States (US) implementation, connections among big data, computational science, economics, finance, marketing, management and psychology, factors, outcome, and the solutions of supply chain finance, with a review and future directions, time-varying price-volume relationship, adaptive market efficiency, and a survey of the empirical literature, improved covariance matrix estimation for portfolio risk measurement, stock investment and excess returns, with a critical review in the light of the efficient market hypothesis, and a cross section analysis of country equity returns, and a review of the empirical literature. Keywords: bank regulatory capital requirements; big data; computational science; economics; finance; marketing; management; psychology; supply chain finance; price-volume relationship; adaptive market efficiency; covariance
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