Volume 11, 2022


pdf Risk Factors in the German Stock Market: Can Sentiment Improve the Performance of Traditional Multifactor Models?

Emile David Hövel 1, Matthias Gehrke 2

1 Universidad Católica San Antonio de Murcia, Spain
2 FOM University of Applied Sciences, Germany

Capital market research usually focuses on the investment decision of a risk-averse investor, who determines the relationship between risky assets and risk-free investment. Furthermore, numerous capital market models assume normally distributed security returns and rational investors. In this framework, ex-ante investment decisions depend solely on the expected return, risk of investment opportunities, and investor risk affinity. For decades, empirical research findings have criticized this idealized framework. New risk factors were empirically confirmed and established. This study attempts to shed light on this issue. A comparative analysis considers the Fama-French and Carhart factors and a principal component analysis based sentiment-risk factor considering 76 sentiment indicators to examine the possible explanatory contribution to German stock market returns.

Keywords: Stock Market Returns, Risk Management, Behavioral Finance, Investor Sentiment, Germany

pdf Reconstruction of the Slippery Slope Framework Tax Compliance Model

I Nyoman Darmayasa*, I Made Marsa Arsana, I Made Agus Putrayasa

Politeknik Negeri Bali

This study attempts to reconstruct the Slippery Slope Framework (SSF) tax compliance model based on the values of Pancasila as the nation's ideology. This study is a conceptual paper through a literature review. The conceptual based on internalization of the value of Pancasila through historicity, rationality, and actuality. Historically, the SSF compliance model has not fully agreed with the values of Pancasila, which reflects the characteristics of taxpayers in Indonesia. Rationally, the SSF compliance model prioritizes the objective role of tax authorities in their primary task of collecting tax revenues. The reconstruction of the model through the actuality of the nation's ideological value occurs by balancing the role of the tax authority’s power with the taxpayers’ trust. The reconstruction propositions of the obedience model are based on humanist religious values at the conceptual level. The reconstruction of the SSF compliance model makes the humanist religious assumption the foundation of the tax authority's power as taxpayers’ trust increases. The reconstruction model is believed to be able to dynamically transform an antagonistic into a synergistic climate to increase voluntary compliance.

Keywords: Conceptual paper, Nation's ideological value, Reconstruction, Slippery slope framework, Tax compliance