A smiling bear in the equity options market and the cross-section of stock returns

We propose a measure for the convexity of an option-implied volatility curve, IV convexity, as a forward-looking measure of risk-neutral tail-risk contribution to the perceived variance of underlying equity returns. Using equity options data for individual US-listed stocks during 2000–2013, we find that the average realized return differential between the lowest and highest IV convexity quintile portfolios exceeds 1% per month, which is both economically and statistically significant on a risk-adjusted basis. Our empirical findings indicate the contribution of informed options trading to price discovery in terms of the realization of tail-risk aversion in the stock market.     

Correction to: Fiscal policy and economic growth: some evidence from China

Review of World Economics - In the original publication of the article, the email addresses and affiliations of the second, third and fourth authors, Mengxi Wang, Donghyun Park and Cynthia...     

Why do They Come Back? The Effects of Winery Tourists’ Motivations and Satisfaction on the Number of Visits and Revisit Intentions

ABSTRACT

Few studies have examined the influence of winery tourists’ motivations and satisfaction on number of visits and revisit intentions. This study examined these relationships through 1602 online survey responses from former winery visitors. The data were analyzed through a series of multiple regression analyses. Findings show that among tourists’ motivations, the reputation, reviews, and perceived quality of the winery and its wines significantly affect the number of visits and revisit intentions, while media exposure affects revisit intentions. Further, visitors’ satisfaction with the winery significantly impacts revisit intentions. While visitors’ geographic proximity to the winery increased the number of visits, as expected, distance from the winery is shown to increase revisit intentions. Finally, the number of previous visits had a significant positive effect on revisit intentions.     

ICT investment and GDP growth: Causality analysis for the case of Korea

This study investigated how investment in the industry of Information, Communication and Technology (ICT) has been interlocked with the GDP growth of South Korea. Based on seasonally-adjusted quarterly time-series data for the period between 1999 and 2016 available from the Korea Statistical Information Service, a Vector Error Correction model was applied for the analysis. The results revealed that ICT investment and GDP growth affected bi-directionally except for the short-run case in which only ICT investment affected GDP growth. The results explain that ICT investment plays an important role in the economic growth of South Korea in the long term; at the same time, investment size in the ICT industry increases as the economy grows. Without controlling any other factors, we found GDP increases by 0.4% when ICT investment increases by 1%. However, in the short term, only ICT leads to GDP growth. Therefore, the recent stagnation in ICT investment experienced in South Korea could negatively affect the economic growth of Korea in the short run, and hence, in the long-run, if it should become prolonged. The ICT investment strategy revealed from this study is especially useful to policy-makers who plan the economic growth in South Korea and other ICT-advanced countries because promoting ICT utilization across all sectors requires putting legal and policy mechanisms in place.     

Effects of Organizational Embeddedness on Unethical Pro-organizational Behavior: Roles of Perceived Status and Ethical Leadership

Journal of Business Ethics - This study examines why individuals who are deeply embedded in the organization may engage in unethical pro-organizational behavior (UPB). Drawing from social identity...     

Japan's Policy Stance on East Asian Neo-Regionalism: From Being a “Reluctant”, to Becoming a “Proactive” State

Abstract

This article is a theoretically grounded empirical contribution aimed at shedding light on Japan's policy stance on East Asian neo-regionalism. It aims to examine the recent region-building process in East Asia. The dynamics in East Asia suggest that regional institutionalization, brought about by norm diffusion based on the idea of neo-regionalism, is likely to follow a progressive and evolutionary trajectory through the institutionalization of the Association of Southeast Asian Nation (ASEAN)?+?3 (South Korea, Japan and China). It provides a wide spectrum of regional-integrationist perspectives in order to offer as full a picture as possible of Japan's role in promoting regional integration in East Asia. The key finding of this article is that Japan has changed from a being “reluctant”, to becoming a “proactive” state in the context of regional collaboration in East Asia.     

Intellectual Capital and Business Performance: What Structural Relationships Do They Have in Upper‐Upscale Hotels?

The purpose of this study is to investigate the structural relationships among intellectual capital (INCAP) dimensions and business performance (BUPER) in upper‐upscale hotels. This study classified INCAP into three dimensions: human capital (HUCAP), organizational capital (ORCAP) and customer capital (CUCAP). This study applied a structural equation modeling to investigate the proposed model and hypotheses. The results showed that HUCAP affects ORCAP and CUCAP and that ORCAP influences CUCAP. INCAP dimensions, with the exception of HUCAP, directly affect BUPER; however, HUCAP indirectly affects BUPER via ORCAP and CUCAP. This study helps upper‐upscale hotel managers identify relevant INCAP dimensions and their indicators to enhance BUPER. Copyright © 2012 John Wiley & Sons, Ltd.