Search results

This paper presents a case study on the problem of loading air containers in air express carriers motivated from DHL and Air Hong Kong. The problem is to determine the containers to be loaded and the locations of the loaded containers in an aircraft while maintaining stability of the aircraft. The objective of the problem is to maximize the revenue obtained from delivering containers. We present an integer programming model to represent and optimally solve the problem. Computational experiments done on a number of randomly generated test instances show that the integer program can be a viable tool for generating loading plans in the companies since optimal or near-optimal solutions for the test instances are obtained within a reasonable amount of computation time.

This paper investigates the effect of the short sale ban by the Korean government on the relationship between the disagreement among investors and the future stock returns. Short selling in Korean stock market was banned twice in 2008 and 2011. The short sale ban provides a natural experiment environment to study the effect of the short sale constraints on the relationship between the disagreement among investors and the future stock returns. Furthermore, it is an exogenous shock in the point of individual stocks. Thus, this paper focus on short sale ban periods to analyzes the stock return predictability of the disagreement among investors’ opinions about analysts’ earnings forecasts. Main results of this paper are as follows: First, the portfolio within the top 30% of the disagreement among investors experiences the significantly higher returns than that within the bottom 30% of the disagreement only during short sale ban periods. However, the two portfolio returns are not significantly different during the other periods excluding the short sale ban periods. These results are robust even after controlling for firm sizes, boot to market ratios, and the momentum effects. Second, a portfolio with higher the disagreement among investors presents significantly positive abnormal returns estimated by Fama-French’s three factor model during short sale ban periods. On the other hand, the abnormal returns of the portfolio with lower the disagreement among investors are not significantly different from zero. Furthermore, those returns of the portfolio with lower disagreement are not affected by the short sale ban. Finally, our findings show that individual stock returns are positively related to disagreement after controlling for the characteristics of individual stocks. Consequentially, the stocks with higher disagreement are overvalued during the short sale ban periods according to our robust empirical analyses with various control variables. According to our findings, we conclude that the short sale constraints are important factors to determine the predictability of disagreement on future stock returns. These are consistent with the results of short sale ban on the U.S. stock market from Autore, Billingsley, and Kovacs (2011).

We examine whether the suitability principles hold for the mutual fund industry in Korea, by analyzing the dynamics and the characteristics of the multi-class fund flows. For 12-years from 2002 to 2013, the volatility of fund flows associated with A-class fund, which is more appropriate for long-term investments, is larger than that associated with C-class fund. Therefore, it can be interpreted that the suitability principles do not hold. To examine the empirical observation, we mainly focus on the role of the dollar cost averaging (DCA) style funds. We show that if we adjust for the effect of DCA funds, the suitability principles does not hold only before the 2008 financial crisis. Thus, we argue that individuals' irrational decision making is caused by heavy investments on A-class fund through DCA style types before the financial crisis. This leads to the observed violation of the suitability principles before the crisis. Our findings also suggest that after the financial crisis, the mutual fund industry in Korea becomes mature.