Nonparametric estimation and inference on conditional quantile processes

This paper presents estimation methods and asymptotic theory for the analysis of a nonparametrically specified conditional quantile process. Two estimators based on local linear regressions are proposed. The first estimator applies simple inequality constraints while the second uses rearrangement to maintain quantile monotonicity. The bandwidth parameter is allowed to vary across quantiles to adapt to data sparsity. For inference, the paper first establishes a uniform Bahadur representation and then shows that the two estimators converge weakly to the same limiting Gaussian process. As an empirical illustration, the paper considers a dataset from Project STAR and delivers two new findings.     

LIABILITY AND ANTIFRAUD INVESTMENT IN FINTECH RETAIL PAYMENT SERVICES

Motivated by recently introduced retail payment schemes using information technology, often called “FinTech,” we examine the effect of fraud liability regime on antifraud investment in a FinTech payment scheme, where the front‐end and back‐end services are vertically separated. In an environment where a FinTech payment service provider (FPP) covers only the front‐end services, delegating the back‐end services to an integrated payment service provider (IPP) such as banks and credit card companies, we show that under the IPP liability regime, the IPP invests more in general, while the respective investment depends on the range of the access fee under the FPP liability regime. Specifically, given a sufficiently great loss from accident, if the access fee is in a certain range, the FPP liability regime is superior in terms of antifraud investment. When the FPP makes its indirect revenue from its user base in addition to the revenue from user fees, we can observe greater antifraud investment under both liability regimes, but the overall decrease in fraud probability is higher under the IPP liability regime. Our results suggest that it might be desirable to induce FPP liability regime, which might necessitate regulating the access fee to achieve such an outcome. (JEL G23, G28, D43, L22)     

Occupational Composition Within Multinational Firms: Evidence From Korean Employer-Employee Matched Data

Using Korean employer-employee matched data, we investigate the difference in occupational structure between domestic and multinational firms in manufacturing sectors. The main result shows that the occupational composition of the multinational firms is more skewed toward high-skills and service occupations than domestic firms. Furthermore, we find the heterogeneous labour structure among multinational firms upon types and locations of foreign affiliates. The multinationals that are establishing production plants or locating their affiliates in emerging countries tend to be composed of relatively smaller share of high-skills and service occupations than those with foreign R&D centres or business branch or with affiliates located in advanced countries.     

Public Disclosures in the Presence of Suppliers and Competitors

Firms’ reluctance at times to publicly disclose financial information is often attributed to concern that the information may be used against them by self‐interested outside parties. These outside parties may interact with the firm in the horizontal realm (e.g., retail competitors) or in the vertical arena (e.g., wholesale suppliers). This article is built on the premise that fully understanding the strategic consequences of disclosure requires joint consideration of horizontal and vertical relationships. When both rivals and suppliers are accounted for, we demonstrate that (i) lower intra‐industry correlation in product demand favors disclosure, with the precise correlation‐cutoff dependent on the firm's use of input suppliers; and (ii) the more a firm relies on input suppliers with pricing power, the less attractive is disclosure.     

How Much are Health Websites Influenced by Culture? Content Analysis of Online Diet Programs in the United States,the United Kingdom,and Korea

This study investigates the content of diet websites in the United States (US), United Kingdom (UK), and Korea from a cross-cultural perspective using two cultural typologies: Hofstede's individualism-collectivism and Hall's low-high context. The results show a balance of the universal features and culture specific characteristics in the websites. Interestingly, the UK was in the middle between the US and Korea in several features even though the UK and the US typically had been generally included in the same cultural group in advertising studies. It was also determined that neither Hofstede's typology nor Hall's high-low context is enough to explain the cultural representations found on the websites. The need for new typologies for explaining or categorizing the cultural characteristics in advertising is suggested.     

Terrorism and crisis management: The Rangoon bombing incident of 1983

The Rangoon bombing incident represents one of the major crisis events for examination if one is to understand the process of crisis management of Chun Doo Hwan's government within the context of the ROK‐U.S. Combined Forces Command. Moreover, the Rangoon bombing was the first grave terrorist act on the international scene, and North Korea's involvement was not immediately revealed. This case clearly illustrated how South Korea's resolve in restraining punitive military action against North Korea could resolve a crisis without escalating it, and facilitate a favourable outcome. Indeed, in order to protect or to minimize the damage to its interests and without triggering an unwanted escalation of crisis, South Korea made vigorous efforts to pressure North Korea into softening its belligerent stance through the use of diplomatic sanctions.     

A Note on Some Properties of STUR Processes*

This note presents some properties of the stochastic unit‐root processes developed in Granger and Swanson [Journal of Econometrics (1997) Vol. 80, pp. 35–62] and Leybourne, McCabe and Tremayne [Journal of Business & Economic Statistics (1996) Vol. 14, pp. 435–446] that have not been or only implicitly discussed in the literature.     

Is volatility risk priced in the KOSPI 200 index options market?

The negative volatility risk premium is understood as a result for a hedging demand against market declines. Although this negative volatility risk premium is observed in most index options markets, there are some doubts about its presence in the KOSPI 200 index options market. The majority of KOSPI 200 index option holders do not possess any position in the underlying market; the composition of trading groups of the KOSPI 200 index options significantly differs from that of its underlying index; in this circumstance, the presence of a hedging demand is questionable. This study shows that volatility risk does not require a premium in the KOSPI 200 index options market. Rather, jump fears influence KOSPI 200 options. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:797–825, 2009     

Towards a Real Estate Land use Modeling Paradigm

This article develops a conceptual research-oriented framework for understanding how land uses are allocated in the marketplace. The analyses highlight the crucial roles that market information and transaction costs play in determining the outcomes of transactions between real estate users and suppliers and the dynamics of real estate land uses and prices.