Investor sentiment,trading behavior and stock returns

This article examines how investor sentiment and trading behaviour affect asset returns. By analysing the unique stock trading dataset of the Korean market, we find that high investor sentiment induces higher stock market returns. We also find that institutional (individual) trades are positively (negatively) associated with stock returns, suggesting the information superiority (inferiority) of institutional (individual) investors. Investor sentiment generally plays a more important role in explaining stock market returns than investor trading behaviour.     

An empirical study on credit card loan delinquency

Following the Basel II convention, consumer credit default is commonly defined as delinquency beyond a period of 90 days. In this study, rather than considering default as a binary variable, we dissect delinquency states further to investigate default behavior in greater detail. As such, we define three states—no delinquency, delinquency and serious delinquency—and estimate the probabilities of the transitions between states using extensive panel data from Korea, covering a wide range of behavioral information. Our findings have several economic implications. First, the factors that affect delinquency risk can differ from those that affect the transition from delinquency to serious delinquency. Second, the recent increase in the number of seriously delinquent accounts can be attributed to changes in the borrower age distribution. Third, macroeconomic conditions, especially differences in gross domestic product and consumption growth, have led to the recent increase in delinquent accounts. Fourth, the debt-to-income (DTI) ratio has a profound effect on transitions between delinquency states and thus affects both recovery and delinquency. Furthermore, this result is robust to controls for demographic and macroeconomic factors.     

International volunteer tourism and youth travelers – an emerging tourism trend

This study attempted to examine the intricate associations among volunteer tourism (VT) motivations, overall image, satisfaction, trust, and the influence of these relationships on behavioral intentions among youth travelers. Our findings from the structural analysis indicated that VT motivations significantly contributed to building positive images, inducing satisfactory VT experiences, and building trust with a VT organization. Our results also demonstrated the competence of the higher-order structure of VT motivations in explicating the intention formation. In addition, the overall image, satisfaction, and trust played an important mediating role. Moreover, satisfaction with VT experiences was of utmost significance in determining intentions.     

The underlying mechanism of self-regulatory focus impact on compromise choice

The current research examines the psychological process underlying the differential sensitivity to the compromise effect associated with a distinct self-regulatory focus. In particular, we test two competing hypotheses: one based on the different weights assigned to decision components, and the one that draws on biased perception. This issue is explored via the statistical derivation of decision weights (Study 1), manipulation of the temporal frame of choice (Study 2), and altering the risks associated with decision-making (Study 3). The results of these three studies consistently support the differential weight account: Promotion-focused participants assign greater weight to the desirability (or hedonic value) of the choice outcome, whereas prevention-focused participants place greater weight on the likelihood (or risk) of achieving that outcome. However, perceptions regarding the desirability and the risk of the given choice are similar among those with a distinct self-regulatory focus.     

How Rousseau read Hume’s Political Discourses: hints of unexpected agreement in their views of money and luxury

Despite mounting scholarship on the Rousseau–Smith connection, the possibility of overlap between the Humean and Rousseauian views of commercial society has not been explored. This is due to opposing views held by these two thinkers on this issue. However, Rousseau in the Confessions recorded a brief, but shrewd impressions on Hume’s Political Discourses, which he held before meeting Hume. In these comments, Rousseau, unlike his other French contemporaries, noted some republican aspects lurking in Hume’s political and economic essays. Moreover, after his two Discourses, Rousseau composed several other important works in which he revealed his more ‘mature’ economic arguments. Careful readings of these textual clues indicate that, in striking parallel with Hume, Rousseau conducts a thought experiment on the drastic change in the quantity of money and elaborates on the significance of industry and a certain type of luxury. Our purpose here is not to prove that Hume’s Political Discourses directly influenced Rousseau’s later writings, but to measure the extent to which Rousseau could share the Scot’s economic ideas by considering that the former may well have read the latter.     

Factors of determining long-term orientation in interfirm relationships

Marketers have witnessed a paradigm shift in which establishing, maintaining, and forging long-term buyer–seller relationships are considered the core of marketing activities. Accordingly, investigating a long-term orientation (LTO) has become a steady research stream in the marketing literature. Building on this on-going research stream, this study confirms that an essential precursor of a manufacturer's LTO is trust that, in turn, is formed by relational norms and satisfaction with supplier performance. Interestingly, however, the seemingly strong trust–LTO path is moderated by both power asymmetry and environmental uncertainty in buyer–seller relationships. The empirical findings suggest that regardless of emerging relationship marketing where buyer and seller are portrayed as parts of a team, power is still in use to control suppliers. In addition, a manufacturer facing uncertainty is less likely to form LTO toward its supplier for fear of losing flexibility in the time- and quality-based competition.     

Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction

A number of studies on the S&P 500 index options market claim that the no‐arbitrage assumption cannot be rejected for this market because either the martingale restriction defined in Longstaff (1995) cannot be rejected by the data, or, even when it is rejected, a large proportion of the violation can be explained by market friction factors. The present study singles out the effect of market inefficiency from market friction by testing the martingale restriction for the KOSPI 200 index options market, which is the most liquid and active options market in the world. Not only using the parametric methods adopted in previous studies but also using the nonparametric methods that enable us to avoid the model misspecification problem, we empirically present clear evidence of a violation of the martingale restriction. In addition, in contrast to the S&P 500 options market, regression analyses and robustness tests indicate that market friction factors can explain only a small portion of the percentage differences between option‐implied and market‐observed index prices. Overall, the results do not support the basic no‐arbitrage assumption or the market efficiency in the KOSPI 200 options market.     

Regime-Dependent Relationships Between the Implied Volatility Index and Stock Market Index

We examine regime-dependent dynamics between Korea's representative implied volatility index (VKOSPI) and stock market index (KOSPI 200) using a two-regime threshold vector error correction model (TVECM). By analyzing high-quality daily data from January 2003 to June 2013, we make the following interesting observations based on a model with regime splitting. First, regardless of regime, we observe a negative contemporaneous correlation between the VKOSPI and KOSPI 200. Second, while the KOSPI 200 generally leads the VKOSPI under normal market conditions (lower regime), this relationship is overturned when market volatility measured by the VKOSPI level is extremely high (upper regime). Third, in the TVECM framework, the effects of lagged VKOSPI on the KOSPI 200 are positive only in the upper regime, while the effects of lagged KOSPI 200 on the VKOSPI are positive only in the lower regime; this cannot be explained by the traditional framework of an asymmetric volatility phenomenon. Fourth, the KOSPI 200 exhibits greater sensitivity to implied volatility shocks in the upper regime than it does to those in the lower regime.     

Characteristics of Mortgage Terminations: an Analysis of a Loan-Level Dataset

Understanding mortgage termination behavior is crucial for valuating mortgage-backed securities. Analyzing a unique loan-level dataset, this study examines the characteristics of mortgage prepayment and default behaviors in the Korean housing and housing finance markets. We also analyze mortgage termination behaviors across regions, loan purposes, and periods. The results suggest that the prepayment rate of fixed-rate mortgages (FRMs) and the ratio of adjustable-rate mortgages to FRMs can provide meaningful signals for the Korean household economy. Although the macro-prudential policies pertaining to the loan-to-value ratio (LTV) and debt-to-income ratio (DTI) are very effective, their effects can vary depending on the region or loan purpose. Furthermore, the DTI and credit score cannot always identify the default risks of mortgages not intended for housing purchases even though such mortgages are more vulnerable to macroeconomic changes. The observed changes in default behavior indicate that the government’s policies to promote fixed-rate loans have achieved a certain degree of success.     

Equivalence results in chi-square tests

This paper shows that two versions of the chi-square test statistics are equivalent, whether it is constructed from the entire cells in a partition of the support or one less cells. This equivalence holds not only asymptotically but also for each sample realization.