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This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus low VaR and ES portfolios as a systematic risk factor in one factor, three-factor, and five-factor asset pricing model. Furthermore, the study introduced the six-factor model, deploying VaR and ES as the idiosyncratic risk factor. The theoretical and empirical alteration of traditional asset pricing models is the study’s contributions. This study reported a strong positive relationship of traditional market beta, value at risk, and expected shortfall. Market beta pertains its superiority in estimating the time-varying stock returns. Furthermore, value at risk and expected shortfall strengthen the effects of traditional beta impact on stock returns, signifying the proposed six-factor asset pricing model. Investment and profitability factors are redundant in conventional asset pricing models.
Adeel Nasir; Kanwal Khan; Mário Mata; Pedro Mata; Jéssica Martins. Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall. Mathematics 2021, 9, 394 .
AMA StyleAdeel Nasir, Kanwal Khan, Mário Mata, Pedro Mata, Jéssica Martins. Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall. Mathematics. 2021; 9 (4):394.
Chicago/Turabian StyleAdeel Nasir; Kanwal Khan; Mário Mata; Pedro Mata; Jéssica Martins. 2021. "Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall." Mathematics 9, no. 4: 394.
The current coronavirus pandemic (COVID-19) has led the world toward severe socio-economic crisis and psychological distress. It has severely hit the economy; but the service sector, particularly the hospitality industry, is hard hit by it. It increases the sense of insecurity among the employees and their perception of being unemployed, adversely affecting their mental health. This research aims to contribute to the emerging debate by investigating the effect of economic crisis and non-employability on employees’ mental health through perceived job insecurity under the pandemic situation. It empirically examines the underlying framework by surveying 372 employees of the hospitality industry during COVID-19. Results indicate that perceived job insecurity mediates the relationship of fear of economic crisis, non-employability, and mental health. Furthermore, the contingency of fear of COVID-19 strengthens the indirect relationship of fear of economic crisis on mental health through perceived job insecurity. The findings will provide a new dimension to the managers to deal with the psychological factors associated with the employees’ mental health and add to the emerging literature of behavioral sciences. The study also highlights the increasing need for investment in the digital infrastructure and smart technologies for the hospitality industry.
Kanwal Iqbal Khan; Amna Niazi; Adeel Nasir; Mujahid Hussain; Maryam Iqbal Khan. The Effect of COVID-19 on the Hospitality Industry: The Implication for Open Innovation. Journal of Open Innovation: Technology, Market, and Complexity 2021, 7, 30 .
AMA StyleKanwal Iqbal Khan, Amna Niazi, Adeel Nasir, Mujahid Hussain, Maryam Iqbal Khan. The Effect of COVID-19 on the Hospitality Industry: The Implication for Open Innovation. Journal of Open Innovation: Technology, Market, and Complexity. 2021; 7 (1):30.
Chicago/Turabian StyleKanwal Iqbal Khan; Amna Niazi; Adeel Nasir; Mujahid Hussain; Maryam Iqbal Khan. 2021. "The Effect of COVID-19 on the Hospitality Industry: The Implication for Open Innovation." Journal of Open Innovation: Technology, Market, and Complexity 7, no. 1: 30.