Prehliadanie podľa Autor "Rech, Frederik"
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Položka Calendar anomalies in DeFi assets and their competitive implications(Univerzita Tomáše Bati ve Zlíně, 2025) Rech, Frederik; Meng, Fanchen; Musa, Hussam; Cyrus, Isaboke; Syed Tauseef, AliThis paper investigates the presence, characteristics, and potential competitive implications of calendar anomalies within the decentralized finance (DeFi) sector, an area largely overlooked in existing financial literature. Previous research has predominantly focused on bitcoin or other cryptocurrencies selected purely based on market capitalization. In contrast, this article uniquely examines a specific sector within the cryptocurrency market, analyzing five leading DeFi assets by market capitalization, namely LINK, AAVE, MKR, SNX, and UNI, using daily data spanning November 2017 to November 2023 and estimating a GJR-GARCH model to assess day-of-the-week (DoW), month-of-the-year (MoY), and Halloween effects. The findings reveal no evidence of a consistent Halloween effect in returns or volatility. However, a strong and consistent Tuesday effect is observed in volatility, with four out of five assets exhibiting statistically significant excess volatility. A less pronounced Wednesday effect is identified in three assets, highlighting distinct volatility patterns unique to DeFi markets. The MoY analysis uncovers a pronounced January effect, with all assets except MKR exhibiting positive excess returns. This finding aligns with traditional finance yet is unprecedented within cryptocurrencies. Additionally, volatility clustering is evident, with periods of high or low volatility persisting and strongly linked to historical levels across all assets. These results enhance understanding of the competitive dynamics of DeFi markets, offering insights into how calendar anomalies influence risk, returns, and competitiveness within this rapidly evolving ecosystem.Položka ESG performance and bank financial stability: Global evidence(Institute of Economic Research : Olsztyn, 2026) Musa, Hussam; Rech, Frederik; Grofčíková, Janka; Cúg, JurajResearch background: The link between environmental, social, and governance (ESG) performance and bank financial stability is of high academic and regulatory interest, yet global evidence is mixed. Clarifying this relation is important for resilient banking systems under rising sustainability pressures. Purpose of the article: To examine the association between ESG performance and bank financial stability, assessing both composite scores and the individual pillars, and documenting heterogeneity across bank financial stability, ESG profiles, and economic conditions. Methods: The analysis draws on a global panel of 4,466 bank-year observations from 688 banks across 84 countries over 2013–2024. ESG data come from MSCI ESG Ratings, and bank financial stability is measured using the natural logarithm of the Z-score. Baseline estimates use fixed effects with bank, country, and year effects. To account for persistence and potential endogeneity in bank financial stability, we additionally estimate dynamic panel models using the two-step Arellano–Bond GMM estimator. Findings & value added: The composite ESG score is positively associated with bank financial stability, but the effect is economically and statistically negligible in fixed effects models. Pillars diverge: governance is positive and significant, social is negative, and environmental shows no clear link. Heterogeneity is pronounced, with ESG aligning with higher bank financial stability mainly among already stable banks, while fragile banks face adverse associations. During the COVID‑19 period, the social pillar improves toward neutral or mildly beneficial, while the governance effect weakens. Dynamic GMM yields a stronger positive composite association and uniformly positive pillar effects, suggesting static models understate benefits due to endogeneity and persistence. The central contribution of this paper lies in its reconceptualization of the ESG–bank financial stability relationship as fundamentally state‑ and capacity‑contingent. By demonstrating that ESG functions not as a universal remedy but as a conditional strategic asset that benefits financially robust institutions, and by revealing how pillar‑specific effects exhibit distinct shifts during systemic crises, this paper provides a novel dynamic framework that advances both theoretical understanding and the practical design of risk management and prudential supervision in an era of escalating global uncertainty.Položka Is it possible to build a stable ex-ante bankruptcy prediction model for Visegrad Group companies? A multi-year approach(Centre of Sociological Research : Ternopil, 2025) Musa, Hussam; Musová, Zdenka; Rech, FrederikCorporate bankruptcies pose significant challenges, impacting a wide range of stakeholders. While valuable, existing research on bankruptcy prediction primarily focuses on ex-post analysis, identifying financial indicators associated with past failures. This approach offers limited utility in proactively mitigating the negative consequences of future corporate distress. This study addresses this critical gap by developing ex-ante bankruptcy prediction models for the Visegrad Group countries. Employing Multiple Discriminant Analysis, these models are aimed at identifying companies at risk of bankruptcy up to five years before the event. A multi-model approach is utilized to construct a comprehensive V4 model that encompasses all four nations and develop individual models for each member country. Data from a sample of 25,084 companies incorporates 15 key financial ratios and 5 non-financial variables. The ratios differ significantly between bankrupt and solvent companies, and each model is calibrated with a single cut-off that caps the in-sample Type II error at 10%. Ex-ante evaluation, however, shows that this restriction does not halt the erosion of correct identification of failed firms. Rather, it drops from 90% in the test year to about one-third at a five-year horizon, even though classification of healthy firms remains above 95% and overall accuracy stays above 92%. The V4 model performed well, indicating that companies across the region share similar financial characteristics. Notably, two financial ratios, Net Income to Total Liabilities / Total Assets (X06) and Net Income / Total Assets (X04), consistently proved to be reliable indicators of financial health in all the examined models. These ratios are important because they help identify companies with strong financial stability across the V4 countries.