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This paper extracts the factors determining the implied volatility skew movements of KOSPI200 index options by applying PCA (Principal Component Analysis). In particular, we analyze the movement of skew depending on the changes of the underlying asset price. As a result, it turned out that two factors can explain 94.6%~99.8% of the whole movement of implied volatility. The factor1 could be interpreted as ‘parallel shift’, and factor2 as the movement of ‘tilt or slope’. We also find some significant structural changes in the movement of skew after the Financial Crisis. The explanatory power of factor1 becomes more important on the movement of skew in both call and put options after the financial crisis. On the other hand, the influences of the factor2 is less. In general, after financial crisis, the volatility skew has the strong tendency to move in parallel. This implies that the changes in the option price or implied volatility due to the some shocks becomes more independent of the strike prices.

In this paper, we analyze the trading patterns of investors around the bubble events selected for stocks traded in Korean Stock Market from 1999 to 2013, whose holding period returns exceed 200% for 250 trading days prior to the event and then drop subsequently below -50% thereafter for the next 250 trading days. We examine whether individual investors, commonly known as noise traders, drive the bubbles, and whether institutional investors and foreign investors, known as informed traders, take an arbitrage position to shrink the pricing errors or ride the bubbles to maximize their profits. We also examine whether individual investors suffer losses due to their disposition effect even after the bubble bursts.

Major findings of this paper are as follows : First, we find that individual investors are actually shown to drive the bubbles in our full sample, whereas the burst of the bubbles are largely driven by institutional investors and foreign investors. In particular, it is shown for large-cap stocks that foreign investors take the lead in raising the price at an early stage of the bubbles and then institutional investors follow them until the bubble peak point. Second, for mid-cap and large-cap stocks, institutional investors are found to ride the bubbles from about 75 days prior to the bubble peak point, when foreign investors reverse their trades and start selling to realize profits. Such bubble riding behavior of institutional investors is consistent with the synchronization risk model of Abreu and Brunnermeier (2002, 2003), where it is optimal for informed traders to ride the bubbles until all of informed traders start selling at the bubble peak point. Third, individual investors are found to suffer losses as they keep buying the bubble stocks even after the bubble bursts due to their disposition effect.

We analyze trading performance of domestic and foreign investors in the KOSPI200 index futures markets in Korea over various holding periods from each transaction time to 20 trading days. We find that foreign non-brokerage firms (including investment trust, pension fund, bank and insurance) trade at a disadvantageous price compared to domestic investors, i.e., buying at a higher price by about 5bp and selling at a lower price by about 6bp during the sample period (May 1996∼Dec. 1999). The magnitude of the disadvantageous price is close to the opportunity loss attributable to their intraday momentum strategy. In contrast, foreign brokerage firms trade at a somewhat advantageous price relative to domestic investors, but not always do so. By extending holding periods up to 20 trading days after each trade, we find that foreign investors and domestic brokerage firms who made large buy or sell trades show significantly higher holding period returns, indicating that they possess superior ability to predict future price movements.

The option pricing model of Black and Scholes (1973) shows that an option contract is redundant in a complete market as it can be completely replicated by its underlying assets and risk free assets. However, in a real world of incomplete markets, many studies have shown that option contracts are not redundant and can affect prices and trade volume of underlying assets as they contribute to the market completeness. Thus, this paper examines whether this holds for ELWs (Equity-Linked Warrants) in Korean stock market, which are well known to have the same function as option contracts. To do this, we analyze the effects of ELW listings on underlying stocks’ prices, trade volume, and volatilities, and test whether ELWs contribute to market completeness. Using the daily trading data of 5,799 ELWs on individual stocks from December 2005 to September 2011, we find that underlying stocks show significantly positive cumulative abnormal returns (CAARs) and abnormal trade volume after ELW listing dates, implying that the ELW listing affects significantly positive effects on prices and trade volume of underlying stocks. The volatility of underlying stocks is significantly decreasing after the ELW listing. The systematic risk measured as beta, however, does not change over the event window. This result indicates that the decrease in volatility of underlying stocks comes from the decrease of unsystematic risks, and the correlations between returns of market index and underlying stocks are increasing after the ELW listing. The result that ELW listing can have significant effects on the underlying market implies that current stock market is incomplete, and thus, it is natural to ask whether ELWs can contribute to market completeness. Using the method suggested by Buraschi and Jackwerth (2001), we examine whether ELWs are necessary to replicate the pricing kernel used in asset pricing. We select risk-free asset, underlying stock and ELW as reference assets to replicate the pricing kernel, and find that the pricing kernel cannot be replicated completely without ELWs. This result implies that ELWs are not redundant financial assets and are necessary to increase the market completeness in Korean stock market.

At a time when governmental corruption seems rife and administrations grow ever more secretive, the whistleblower is a crucial resource in journalism’s attempts to make accountable those who wield power. Yet despite legislation that is meant to protect employees and officials who expose wrongdoing, a governmental “war on whistleblowers” has made the hazards faced by many whistleblowers increasingly grim. This chapter explores the role of the journalist/whistleblower collaboration in disclosing important, but sensitive, information involving national security. In discussing case studies of those who have braved the government’s anger, we examine not only the circumstances of these breaches, but also their political and legal repercussions.

This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications, citations, impact factors, and centrality indices grew up in early 2010s, and diminished in 2020. Keyword network analysis reveals the JDQS's main keywords including behavioral finance, implied volatility, information asymmetry, price discovery, KOSPI200 futures, volatility, and KOSPI200 options. Citations of JDQS articles are mainly driven by article age, demeaned age squared, conference, nonacademic authors and language. In comparison between number of views and downloads for JDQS articles, we find that recent changes in publisher and editorial and publishing policies have increased visibility of JDQS.

Although there have been a lot of studies on mobile business, it is hard to find ones in which an integrated perspective of mobile business based on both customers’ and companies’ needs is suggested. This research develops a mobile business model classification scheme and applies it to analysis of current status in mobile business. In the first case study on 65 firms in Korea, mobile solutions are categorized based on the classification scheme in order to analyze an overall market environment of mobile business. In the second case study on mobile service trend analysis, a set of evaluation indices including four general indices, ten effectiveness indices and 13 measurement indices were developed to analyze mobile service environment in the perspective of B2C (business to customer). For the second case study, 200 mobile heavy users were questioned on the mobile service‐related issues.

Merely being known as a highly ethical or strong performer cannot shield a company from every kind of crisis. From product failures to environmental and social issues, a brand’s ability to manage crises and rapidly regain consumer trust is essential. This study aims to explore whether consumer perceptions of a brands’ prior commitments to two different areas of corporate responsibility (social and product responsibility) alleviate the postcrisis attribution of accountability and further build brand resilience, examining differences between two types of crisis situations – values versus performance crises.

A scenario-based online survey on product versus ethical labor issues was conducted. The data were collected from a highly valid, nationwide sample set of more than a thousand US consumers. Multigroup structural equation modeling was used as the primary data analysis method.

A brand’s precrisis commitment to social responsibility was found to decrease attribution of accountability across both types of crises. It also strengthened brand resilience, but this effect was more prevalent in a performance than a values crisis. The effects of precrisis commitment to product responsibility on brand resilience were minimal or insignificant across crisis types.

Previous research underexplores which types of corporate responsibility commitments provide a firm with a better protection against crises. This study significantly advances the knowledge regarding the type of commitments that can substantially increase brand resilience, which supports the rationale of making stronger commitments to social responsibility than to product responsibility. Practical insights are provided into how investments in corporate social responsibility help alleviate consumers’ negative perceptions during the outbreak of a brand crisis and build more brand muscle that enables resilience against future crises.

Effective use of post-occupancy evaluation (POE) data – quantitative physical measurements and qualitative occupants’ perceptions are limited due to practical challenges and research gaps. Although building information modelling (BIM) has enabled a paradigm shift in the architecture, engineering and construction (AEC) industries, its use in facility management (FM) is still infancy. Limited research has used building performance data to enable changes to BIM models for the benefit of FM. This paper aims to propose the innovative process to collect and contextualize two fragmented types of POE data sets by filling methodological gap in POE research. Moreover, it presents innovative modelling techniques to facilitate BIM as a more effective platform to visualize such currently fragmented data sets in real-time while enabling a decision-making model to benefit facility managers.

The paper presents a process of capturing cloud-based POE data, both wireless sensor network-based physical measurement data and mobile app-based occupant perception data. Real-time capture and visualization of such building performance data was demonstrated through a pilot data collection. Subsequently, the innovative visualization of the cloud connected data is supported by a prototype game engine-based BIM model.

Cloud-based POE data, both quantitative physical measurements and qualitative occupants’ reported perceptions, can be effectively used in FM practice with the use of innovative data capture and visualization techniques in a beneficial manner for facility operation and management decisions. This paper also demonstrates the ability of BIM to serve as a “single source of truth” to support post-construction building performance data.

While addressing a number of research gaps, the paper provides a holistic approach to BIM-based performance monitoring for smart FM to achieve the ultimate vision of BIM enabled FM. The innovative system is expected to provide a powerful and practical tool for data collection, analysis and visualization for intelligent facility management decision making. This paper contributes to fill an important research and practice gap in the area of next generation smart building management practices.

This paper seeks to address issues related to the development of a knowledge‐based engineering system for estimating manufacturing cost and weight of a composite structure at the conceptual stage of a design.

The system has been developed in the CATIA V5 knowledge environment and is applied to structures made of composite materials. At the conceptual stage of the design process, a structure is often represented by simple surfaces. The system adds the details necessary to accurately estimate weight and manufacturing cost using geometry and process‐based techniques. Knowledge captured from an expert was used to construct the knowledge base in the system.

It has been found that the system can provide continuous tracking of the weight and cost as the design evolves. Structural FEA and optimisation using MSC.NASTRAN have been integrated into the design process to enables the designer to conduct “what‐if” analyses to explore different design options involving geometry parameters such as the internal configuration of the structure.

The paper demonstrates that tools embedded in CAD systems can be expected to be able to facilitate the task of estimation of weight and manufacturing cost at the conceptual stage of the design process.