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The variance risk premium defined as the difference between risk neutral variance and physical variance is one of the most crucial information recovered from option prices. It does not, however, reflect the asymmetry in upside and downside movements of underlying asset returns, and also has limitation in reflecting asymmetric preference of investors over gains and losses. In this sense, this paper decomposes variance risk premium into downside - and upside-variance risk premium, and then derives the skewness risk premium and examines its effectiveness in predicting future underlying asset returns. Using KOSPI200 option prices, we obtained the following results. First, we found out that the estimated skewness risk premium has meaningful forecasting power for future stock returns, while the estimated variance risk premium has little forecasting power. Second, by utilizing our results of skewness risk premium, we developed a profitable investment strategy, which verifies the effectiveness of skewness risk premium in predicting future stock returns. In conclusion, the empirical results of this paper can contribute to the literature in that it helps us understand why variance risk premium, in most global markets except the US market, has not been successful in forecasting future stock returns. In addition, our results showing the profitability of investment strategies based on skewness risk premium can also give important implications to practitioners.

This study examines whether the variance risk is a priced risk factor in Korea using the over-the-counter variance swap quotes and realized variance data. We also study the term structure of variance risk premium. The empirical results show that the model with 2 stochastic variance risk factors with jumps in return is required to fit the variance swap and realized variance data. The analyses with the estimated models suggest that the variance risk premium in Korea are highly negative and the size of the premium increase with the maturities, meaning that risk averse investors in Korea are willing to pay a premium to hedge variance risk.

This study aims to examine the return predictability of variance risk premium, which is defined as the difference between risk-neutral variance and expected realized variance, on KOSPI 200 index returns. Although extant literature shows that variance risk premium estimated from U.S. index options has a predictive power on underlying returns, little study has been conducted in KOSPI 200 index returns. In addition, there is no conclusion for the predictive power of variance risk premium in other financial markets. In this paper, we can find the predictive power of S&P500 variance risk premium on KOSPI200 index returns as well as on S&P500 index returns, but cannot find the predictive power of KOSPI200 variance risk premium on both indices. These results are consistent to Londono (2012) and Bollerslev et al. (2013). The poor performance of KOSPI200 variance risk premium is explained by the assumption that U.S. economy is a leader economy, while Korea economy is a follower economy. To support this conclusion, we conduct Vector Auto-Regression (VAR) using two variance risk premiums. Two premiums have bi-directional lead-lag relationship but S&P500 variance risk premium is informationally superior to KOSPI200 variance risk premium regarding return predictions.

This paper aims to empirically indicate the factors influencing stock liquidity premium (i.e. the relationship between liquidity and stock returns) in one of the leading European emerging markets, namely, the Polish one.

Various firms’ characteristics and market states are analysed as potentially affecting liquidity premiums in the Polish stock market. Stock returns are regressed on liquidity measures and panel models are used. Liquidity premium has been estimated in various subsamples.

The findings vividly contradict the common sense that liquidity premium raises during the periods of stress. Liquidity premium does not increase during bear markets, as investors lengthen the investment horizon when market liquidity decreases. Liquidity premium varies with the firm’s size, book-to-market value and stock risk, but these patterns seem to vanish during a bear market.

This is one of the first empirical papers considering conditional stock liquidity premium in an emerging market. Using a unique methodological design it is presented that liquidity premium in emerging markets behaves differently than in developed markets.

This study aims to examine the effect of social influence, environmental concerns and altruism on consumer purchase intention of eco-fashion (PIEF). In addition, this study, exploring the essential behavioral outcomes influenced in marketing, seeks to deepen the existing insight in this area.

To obtain the required data, the authors surveyed a group of people with previous experience in the purchase of eco-friendly apparel. The research hypotheses were tested using the structural equation modeling technique.

According to the results, social influence had the most significant impact on PIEF. Also, environmental concerns and altruism had a significant effect on PIEF. The results further indicated that eco-fashion purchase intention, in turn, influenced consumer willingness to engage in eWOM and pay a price premium.

The results of the present study guide marketing practitioners for the segmentation of target consumers, as the information on consumers’ natural needs and desires in a socio-cultural context is of significant use to fashion managers to understand their customers deeply. This information also helps them discover better ways of designing their marketing campaigns.

This paper contributes to research by advancing an understanding of how consumers make eco-fashion consumption decisions in purchasing apparel and provides businesses with managerial insights into devising marketing strategies to promote eco-fashion consumption, which facilitates fashion companies’ development of a sustainable fashion supply chain.

Este estudio examina el efecto de los factores influencia social, preocupación medioambiental y altruismo en la intención de compra de moda ecológica (PIEF) por parte de los consumidores. Además, este estudio, que explora los importantes resultados conductuales influenciados en el área del marketing, pretende profundizar en los conocimientos existentes en esta área.

Se encuesto a un grupo de personas con experiencia previa en la compra de ropa ecológica. Las hipótesis de la investigación se contrastaron con SEM.

La influencia social fue la que más influyó en el PIEF. Asimismo, la preocupación por el medio ambiente y el altruismo tuvieron un efecto significativo en el PIEF. Los resultados indicaron además que la intención de compra de moda ecológica, a su vez, influía en la disposición del consumidor a participar en el eWOM y a pagar un sobreprecio.

Los resultados del presente estudio orientan a los profesionales del marketing en la segmentación de los consumidores objetivo, ya que la información sobre las necesidades y deseos naturales de los consumidores en un contexto sociocultural es de gran utilidad para que los gestores de la moda conozcan en profundidad a sus clientes. Esta información también les ayuda a descubrir mejores formas de diseñar sus campañas de marketing.

El artículo contribuye a la investigación al avanzar en la comprensión de cómo los consumidores toman decisiones de consumo de moda ecológica en la compra de prendas de vestir y proporciona a las empresas ideas de gestión para diseñar estrategias de marketing que promuevan el consumo de moda ecológica, lo que facilita a las empresas de moda el desarrollo de una cadena de suministro de moda sostenible.

环境关注和利他主义等因素对消费者购买环保时装意向（PIEF）的影响。此外, 这项研究探讨了在营销领域有影响的重要行为结果, 试图深化这一领域的现有见解。

我们调查了一组有购买生态友好服装经验的人使用结构方程模型（SEM）方法对研究假设进行了检验。

社会影响对PIEF的影响最大。此外, 对环境的关注和利他主义对PIEF也有重大影响。结果进一步表明, 环保时装的购买意向反向影响了消费者参与eWOM和支付价格溢价的意愿。

且结果只限于环保时装消费。

本研究的结果为营销从业者提供了关于细分目标消费群体的指导。消费者在特定社会文化背景下的自然需求和欲望等信息对于时尚经理人深入了解他们的顾客来说有重要作用, 而这些信息也有助于他们探索更好地设计营销活动的方法。

为企业提供了设计促进环保时装消费的营销策略的管理建议。这促进了时尚公司发展可持续时尚供应链, 为该领域研究做出了贡献。

The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial multiplicative recombination.

This article uses the multiplicative quadrinomial tree numerical method with non-constant volatility, based on stochastic differential equations of the GARCH-diffusion type to value real options when the volatility is stochastic.

Findings showed that in the proposed method with volatility tends to zero, the multiplicative binomial traditional method is a particular case, and results are comparable between these methodologies, as well as to the exact solution offered by the Black–Scholes model.

The originality of this paper lies in try to model the implicit (conditional) market volatility to assess, based on that, a real option using a quadrinomial tree, including into this valuation the stochastic volatility of the underlying asset. The main contribution is the formal derivation of a risk-neutral valuation as well as the market risk premium associated with volatility, verifying this condition via numerical test on simulated and real data, showing that our proposal is consistent with Black and Scholes formula and multiplicative binomial trees method.

This paper examines whether the successful bid rate of the OnBid public auction, published by Korea Asset Management Corporation, can identify and forecast the Korea business-cycle expansion and contraction regimes characterized by the OECD reference turning points. We use logistic regression and support vector machine in performing the OECD regime classification and predicting three-month-ahead regime. We find that the OnBid auction rate conveys important information for detecting the coincident and future regimes because this information might be closely related to deleveraging regarding default on debt obligations. This finding suggests that corporate managers and investors could use the auction information to gauge the regime position in their decision-making. This research has an academic significance that reveals the relationship between the auction market and the business-cycle regimes.

This paper aims to explore the design of management teams when the critical task facing individual managers is monitoring the performance of worker teams and producing performance measures under uncertain information environments.

The authors use a multi-agent LEN framework – linear contract, exponential utility and normal density – to model the incentive provision and organizational design.

The main lesson is that the use of performance measures under uncertainty is greatly affected by the potential for free-riding in the very monitoring activities which generate the measures to begin with. Accordingly, the value of having a management team, that is the incremental benefit of having a second manager, depends on the monitoring technology. Of particular importance are the potential free-riding in monitoring effort among multiple managers and synergies gained from having more than one manager, such as correlation among the performance measures produced or improvement due to splitting workers pool into separate groups for each manager to monitor separately.

The paper pushes this line of research further by explicitly modeling the endogenous process of signal generation within a rich economic environment. In this environment, number of workers being evaluated and number of managers who produce the signals are both endogenous. Furthermore, both workers and managers are subject to moral hazard problem. In particular, the managers suffer from potential free-riding problems but may benefit from synergistic forces due to team monitoring.

A stylized fact in finance literature is the belief in positive relationship between ex ante return and risk. Hence, a rational investor, by utility preference axiom can only consider committing fund in asset which promises commensurate higher return for higher risk. Questions have been asked as to whether this holds true across securities, sectors and markets. Empirical evidence appears less convincing, especially in developing markets. Accordingly, the author investigates the nature of reward for taking risk in the Nigerian Capital Market within the context of individual assets and markets.

The author employed ex post design to collect weekly stock prices of firms listed on the Premium Board of Nigerian Stock Exchange for period 2014–2022 to attempt to answer research questions. Data were analyzed using a unique M Vec TGarch-in-Mean model considered to be robust in handling many assets, and hence portfolio management.

The study found that idea of risk-expected return trade-off is perhaps more general than as depicted by traditional finance literature. The regression revealed that conditional variance and covariance risks reveal minimal or no differences in sign and sizes of coefficients. However, standard errors were also found to be large suggesting somewhat inconclusive evidence of existence of defined incentive structure for taking additional risk in the market.

In terms of choice of methodology and outcomes, this research adds substantial value to body of knowledge. The adapted multivariate model used in this paper is a rare approach especially for management of portfolios in developing markets. Remarkably, the research found empirical evidence that positive risk-expected return trade-off, as known in mainstream literature, is not supported especially using a typical developing country data.

This paper aims to test the effects of brand experience and brand love on brand loyalty and willingness to pay a premium price in streaming television services.

Structural equation modelling was used to assess the proposed theoretical model drawing on data from 220 subscribers of a well-known TV streaming brand services (Netflix).

The results revealed that brand experience and brand love have a significant direct impact on brand loyalty and willingness to pay a premium price in streaming TV services. Also, the impact brand experience has on brand loyalty and on willingness to pay a premium price is partially mediated by brand love.

In the streaming television industry, brand managers can create more meaningful experiences that create strong and emotional bonds with users, thereby increasing loyalty levels and intention to pay a premium price. Also, brand managers should consider focusing their efforts to young consumers, as they have a stronger attachment to technology than older generational groups.

This paper enriches the existing literature on brand experience in the entertainment television industry and provides evidence of the role of experience and brand love on brand loyalty and willingness to pay a premium price in services.

Este estudio prueba el efecto que tiene la experiencia de marca y el amor a la marca en la lealtad a la marca y la disposición a pagar un precio más elevado en las plataformas de servicios de streaming.

Un modelo de ecuaciones estructurales (SEM) ha sido utilizado para contrastar el modelo teórico propuesto basándose en datos de 220 suscriptores de una conocida marca de servicios de streaming (Netflix).

Los resultados revelan que la experiencia de marca y el amor a la marca tienen un impacto significativo y directo en la lealtad a la marca y la disposición a pagar un precio más elevado en el contexto de televisión por streaming. También, el impacto que tiene la experiencia de marca en la lealtad a la marca y en la disposición para pagar un precio más elevado es parcialmente mediado por el amor a la marca.

En el contexto de la industria de entretenimiento (televisión por streaming), los gerentes de marca pueden diseñar significativas experiencias que sean capaces de crear fuertes lazos emocionales con sus usuarios, incrementando sus niveles de lealtad y disposición a pagar más. Además, los gerentes de marca deben considerar enfocarse al segmento de consumidores jóvenes, pues ellos tienen más apego a la tecnología que las personas mayores.

Este estudio enriquece la literatura existente sobre experiencia de marca en el sector del entretenimiento televisivo aportando evidencia del rol de la experiencia y del amor hacia la marca en la lealtad y la disposición a pagar un precio elevado.

本研究检验了品牌体验和品牌喜爱对流媒体电视服务的品牌忠诚度和高价支付意愿的影响。

结构方程模型（SEM）被用来评估本文所提出的理论模型, 该模型的数据来自于一个知名电视流媒体品牌服务方（Netflix）的220名订阅用户。

本文的结果显示, 品牌体验和品牌喜爱对流媒体电视服务的品牌忠诚度和高价支付意愿有显著的直接影响。同时, 部分品牌体验对品牌忠诚度和高价支付意愿的影响会被品牌喜爱所调节。

在流媒体电视行业中, 品牌经理可以创造更多有意义的体验, 与用户建立强大的情感联系, 从而提高忠诚度和高价支付意愿。同时, 品牌经理应该考虑将他们的工作重点放在年轻消费者身上, 因为他们比老一辈群体对科技有更强的依恋。

本文丰富了关于娱乐电视行业品牌体验的现有文献, 并提供证据证明了体验和品牌喜爱对品牌忠诚度和高价支付意愿的作用。