Suchergebnisse

As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and academics. We consider discrete reported intraday VIX tick values as realisations of a collection of curves observed sequentially on equally spaced and dense grids over time and utilise functional data analysis techniques to produce 1-dayahead forecasts of these curves. The proposed method facilitates the investigation of dynamic changes in the index over very short time intervals as showcased using the 15-s high-frequency VIX index values. With the help of dynamic updating techniques, our point and interval forecasts are shown to enjoy improved accuracy over conventional time series models. ; The first author acknowledges a faculty research grant from the College of Business and Economics at the Australian National University. The second author would like to acknowledge financial support from the Australian Government Research Training Program Stipend Scholarship.

AbstractDespite the increasing consensus that socially responsible behavior can act as insurance against externally induced shocks, supporting evidence remains somewhat inconsistent. Our study provides a clear demonstration of the insurance‐like properties of corporate social responsibility (CSR) in preserving corporate financial performance (CFP), in the event of a data (cyber) breach. Exploring a sample of 230 breached firms, we find that data breaches lead to significantly negative CFP outcomes for low CSR firms, with the dynamic being particularly pronounced in consumer‐sensitive industries. Further, we show that firms increase their CSR activities in the aftermath of a breach to recover lost goodwill and regain stakeholder trust. Overall, our results support the use of CSR as a strategic risk‐mitigation tool that can curtail the consequences of data breaches, particularly for firms operating in consumer‐centric environments.