Derivatives trading,volatility spillover,and regulation: Evidence from the Korean securities markets

Unlike the U.S. and Japanese securities markets, we find new evidence of volatility spillover between index stocks and non‐index stocks following the introductions of index derivatives trading in the Korean securities markets. We further find that the degree of volatility spillover is closely related to the level of market deregulation; significant return volatility spills over from non‐index to index stocks during deregulation period but in the opposite direction during post‐deregulation period. Our empirical results show that the former volatility spillover from non‐index to index stocks can be explained by the transitory contagion effect associated with the 1997 Korean financial crisis and the subsequent market deregulation, whereas the latter volatility spillover from index to non‐index stocks is attributed to the permanent information spillover effect. This latter evidence suggests that the information regarding investors' expectations on the future common market factors is first reflected into the return volatility of index stocks and then transferred to the trading of non‐index stocks against which derivatives are not traded. Our results are robust to different estimation and sample construction methods. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:563–597, 2009     

A Sequential Rationality Test of USDA Preliminary Price Estimates for Selected Program Crops: Rice, Soybeans, and Wheat

Despite recurrent evaluations on USDA price forecasts, the performance of USDA price estimates has not previously been examined in publication. To fill the void in research to this important public information, a sequential forecast evaluation procedure is applied to selected USDA price estimates: Rice, soybeans, and wheat. The evaluation procedure reveals that the USDA price estimates are short-run unbiased; however, they are not long-run rational. In addition, short-run optimality and efficiency tests suggest that USDA price estimates need to be properly scaled and fully reflect information embodied in past prices and their estimates — a possible venue to improve the predictability of USDA price estimates for the crops.     

Effects of brand personality on brand trust and brand affect

Given the potential utility of brand personality for marketers, the present research conceptualizes and investigates the relationships between five brand personality dimensions and brand trust as well as brand affect. This research proposes that some brand personality dimensions relate more to brand trust, whereas other dimensions relate more to brand affect. The results suggest that Sincerity and Ruggedness brand personality dimensions are more likely to influence the level of brand trust than brand affect, whereas the Excitement and Sophistication dimensions relate more to brand affect than to brand trust. The Competence dimension appears to have similar effects on both brand trust and brand affect. The research findings are consistent with marketing and consumer researchers' assertions that brand personality can increase levels of brand trust and evoke brand affect, which in turn builds the level of brand loyalty. Theoretical and practical contributions and implications are discussed. © 2010 Wiley Periodicals, Inc.     

Gucci versus Old Navy: Interplay of Brand Personality and Regulatory Focus in Advertising Persuasion

The present research examines how brand personality and regulatory focus (promotion vs. prevention) interplay in affecting advertising message persuasiveness. In Experiment 1, the moderating role of brand personality with respect to regulatory focus is tested. The results show that a promotion‐framed advertising message is more persuasive for a fictitious exciting brand than is a prevention‐framed message, whereas a prevention‐framed (vs. promotion‐framed) message is more effective for a fictitious competent brand. To replicate Experiment 1 and further test the hypothesis, in Experiment 2, two real brands representing two additional brand personality dimensions (sophistication vs. sincerity) are tested and the influence of individuals’ self‐construal level is controlled. The findings reveal that individuals exposed to the sophisticated brand show a more positive attitude when the brand message is promotion framed. By contrast, individuals exposed to the sincere brand react more favorably when the brand is presented with a prevention‐framed advertising message.     

An empirical model of mainframe computer investment

This paper introduces a dynamic model of investment decisions in mainframe computer systems. I estimate and test the model using detailed micro data from a company in the telecommunications industry. The model accounts for ‘technological depreciation’ which distinguishes computers from other investment goods where physical depreciation is typically a key factor underlying replacement investment decisions. The company increased its installed mainframe computer capacity by over 30‐fold over the 10‐year sample period. Part of this growth was undoubtedly due to the huge increase in performance and the corresponding drop in the per unit cost of processing capacity of mainframes, a consequence of ‘Moore's law’. However, there was also tremendous growth in the need for computers for billing, account processing and other tasks, due to the rapid growth in the telecommunications industry over this same time period. I estimate the unknown parameters of the investment model using a nonlinear least squares–nested fixed‐point algorithm (NLS‐NFXP), which solves the Bellman equation underlying the dynamic model of investment and replacement of mainframe computers by nonlinear least squares. I demonstrate that it is feasible to estimate this model on an ordinary PC, whereas standard discretization approaches to solving the firm's optimal investment policy might not even be feasible using supercomputers. I show that the estimated model fits the data very well, and accurately captures the large growth in installed mainframe capacity, the timing and magnitude of replacement investment, as well as periodic upgrades of existing mainframe units. I use the model to decompose how much of the 30‐fold increase in mainframe computer capacity is due to ‘Moore's law’ (i.e. the huge drop in the unit cost of installed mainframe capacity), and how much is due to the growth in demand for services of mainframes, due to the rapid growth in demand for telecommunications services (particularly cell phone accounts) by the firm's customers. Copyright © 2010 John Wiley & Sons, Ltd.     

Does corporate diversification by business groups create value? Evidence from Korean chaebols

We investigate the valuation effects of diversification activities by Korean business groups known as chaebols. Employing an extensive dataset of Korean firms and accounting for the endogeneity problem associated with firms' diversification decisions, we offer reconciling evidence that unrelated diversification by Korean firms erodes firm value, but their related diversification does not decrease firm value. Undocumented in the existing literature, we further provide new evidence that a firm's affiliation to a large business group amplifies the valuation effect of firm-level diversification, such that the non-negative or weak positive valuation effect of related diversification is stronger for large business group firms. These findings are supportive of the notion that the unique characteristics of large business group firms such as stronger internal factor markets enable these firms to take advantage of the synergic benefits associated with related diversification. Our findings are robust to different model and sample specifications.     

CULTURE,CORPORATE GOVERNANCE,AND DIVIDEND POLICY: INTERNATIONAL EVIDENCE

We find that Hofstede's cultural dimensions—uncertainty avoidance, masculinity, and long‐term orientation—remain significant in the determination of firms’ dividend policies, even after controlling for corporate governance. We also show that this association varies with the strength of corporate governance, measured by the degree of investor protection. Hence, national culture and investor protection independently affect firms’ dividend payouts but also interact with each other, such that strong investor protection induces higher dividend payouts in high uncertainty avoiding and/or highly masculine cultures. Our results provide strong evidence that cultural differences matter and offer additional power in explaining variations in dividend policies.     

Information technology,efficiency and productivity: evidence from Korean local governments

This study evaluates the performance of Korean local government by measuring their technical efficiency (TE) and total factor productivity (TFP) growth and, more importantly, examining the impact of information technology (IT) on this performance. The study is different from received analysis in that a unique measure of the state of IT–the Informatization Index–is used to investigate the impact of IT on both TE and TFP growth. Empirical analyses are conducted on data from 222 Korean local governments for the period 1999 to 2001. In particular, data envelopment analysis techniques are applied to calculate TE scores and TFP growth rates for sampled local governments. The empirical findings confirm the positive impact IT has in improving technical efficiency and accelerating productivity growth. The estimated coefficients are correctly signed (with other regional characteristics controlled for) when TE scores and TFP growth rates are regressed on the Index. In addition, the findings indicate that economies of density are present in the production of local public services.     

Vocational education and training and employer engagement: an industry‐led sectoral system in the Netherlands

The overall objective of this paper is to determine, through a qualitative case study of the Dutch sectoral training system, factors associated with successful employer engagement. As well as examining the key features of the Dutch approach to vocational education and training (VET), the article makes a number of specific arguments: (1) employer ‘buy‐in’ is crucial to the success of the sectoral approach to VET; (2) simply establishing a system of sector‐based training bodies (e.g. skills councils) does not guarantee effective employer engagement; and (3) to make sectoral training work, especially in countries where a ‘supply‐led’ system dominates, a fundamental reform is required in areas such as funding, qualification structure, leadership and system support.     

鄂尔多斯的盔甲

冬季来临之前,要“温暖全世界”的鄂尔多斯,首先在征战全球市场的路途中像模像样地武装了一番自己