A logistic regression point of view toward loss given default distribution estimation

We propose a new procedure to estimate the loss given default (LGD) distribution. Owing to the complicated shape of the LGD distribution, using a smooth density function as a driver to estimate it may result in a decline in model fit. To overcome this problem, we first apply the logistic regression to estimate the LGD cumulative distribution function. Then, we convert the result into the LGD distribution estimate. To implement the newly proposed estimation procedure, we collect a sample of 5269 defaulted debts from Moody’s Default and Recovery Database. A performance study is performed using 2000 pairs of in-sample and out-of-sample data-sets with different sizes that are randomly selected from the entire sample. Our results show that the newly proposed procedure has better and more robust performance than its alternatives, in the sense of yielding more accurate in-sample and out-of-sample LGD distribution estimates. Thus, it is useful for studying the LGD distribution.     

Competitive Effects of Disclosure in a Strategic Entry Model

We investigate the welfare consequences of incumbent firms' mutual disclosure of cost information when there is a threat of entry from a firm not required to disclose its private cost information. New effects of disclosure are observed relative to no-entry models, with the result that incumbents' expected output is a decreasing function of the disclosure level. However, further analysis shows that increased disclosure usually increases incumbent expected profits and decreases expected consumer surplus, despite the additional entry effect of disclosure. Such analytical derivations provide objective input to the FASB as they attempt to predict the competitive effects of changing mandated disclosure requirements.     

Key institutions in business and management education research

The authors investigate institutional productivity in business and management education (BME) research based on the analysis of 4,464 articles published by 7,210 authors across 17 BME journals over a 10-year period, involving approximately 1,900 schools worldwide. Departing from traditional disciplinary silos, they examine the BME research field as a whole by including all traditional business disciplinary areas and producing two top 100 rankings, one based on raw number of author publications and the other based on weighted scores reflecting journal quality and coauthorship.     

How to manage the intensity of comparison in comparative advertising over time

Despite the popularity of comparative advertising (CA) over the past three decades, few studies have explored how to develop this strategy outside the USA. This study reports the results of experiments conducted in South Korea, a country where CA has rarely been used. Two hundred Korean college students were exposed to fictitious advertisements in which the independent variable of comparison intensity (non-comparative/low/medium/high/increasing) and exposure sequence (first/second/third) were manipulated. The dependent variables of attitude towards the brand and purchase interest assessed advertising effectiveness. Results suggest that the effectiveness of comparative advertising in Korea is improved by increasing the intensity of comparison gradually from indirect (low) to direct (high) over time.     

Factors affecting successful innovation by content-layer firms in Korea

Technological convergence is changing the division of industries from vertical to horizontal; it has also made user participation easier in information and communication technology industries. To understand this situation, it is necessary to identify the causes of successful innovation. In this research, factors affecting successful innovation by mobile and Internet contents firms were tested from the viewpoint of user-involved innovation. The results show that active user participation in the innovation development process is very important. In addition to being useful to firms, this study points out the need for policies that support users to policy makers.     

Effects of Country-of-Manufacture and Brand Image on Korean Consumers' Purchase Intention

ABSTRACT

In this study, a theoretical framework is developed to explain the differential effects of country-of-manufacture (COM) and brand image on the cognitive, affective, and behavioral components of Koreans' consumer decision making. Although effects are product specific, findings, overall, indicate that brand image has a stronger effect than COM on Koreans' perceptions of hybrid global products. Moving the production of an electronic product (TV) to a developing country, however, negatively affected Koreans' evaluation of product performance, prestige (brand and technical), and purchase attitudes. The findings have interesting marketing implications for hybrid global brands and contribute to building a theory of COM.     

Heterogeneity and netting efficiency under central clearing: A stochastic network analysis

This paper examines the effect of heterogeneity in clearing members’ exposure management practices under central clearing. Our network model specifies the dynamics of prenetted interbank exposures to shape interdependent exposure distributions beyond normality. Employing over-the-counter derivatives market data from the U.S. Office of the Comptroller of the Currency, our simulation results indicate that heterogeneity in bank-to-bank exposure dynamics is systemically desirable, while the entire system benefits more from the central clearing in more homogeneous environments. Policymakers should incentivize individual clearing members to enhance resiliency and stability in counterparty exposure management to maximize netting efficiency under central clearing.