Mulong Wang, Min‐Ming Wen and Charles C. Yang
The paper aims to examine theoretically valuation of weather derivatives and their hedging roles in corporate risk management.
Abstract
Purpose
The paper aims to examine theoretically valuation of weather derivatives and their hedging roles in corporate risk management.
Design/methodology/approach
The paper introduces an extended financial market model in which the weather risk is included as an independent random process and examines the effectiveness of weather derivatives and traditional price forwards in a unified theoretical framework. It also provides a no‐arbitrage approach to price weather derivatives, which theoretically combines the actuarial and financial paradigms.
Findings
The results document that corporate leverage level is an essential factor determining the choice between price forwards and weather derivatives. In some cases; weather derivatives outperform price forwards, while in some other cases; a joint use of both instruments is optimal, depending on the firm's risky leverage level. Interestingly, the paper identifies the case when the leverage level is very high, the positive roles of both instruments diminish and the firm is unhedgeable.
Originality/value
The paper provides important insights to investors and hedgers and extends the literature on corporate risk management.
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Charles C. Yang, Patrick L. Brockett and Min‐Ming Wen
The purpose of this paper is to examine empirically the basis risk and hedging efficiency of temperature‐indexed standardized weather derivatives in hedging weather risks in the…
Abstract
Purpose
The purpose of this paper is to examine empirically the basis risk and hedging efficiency of temperature‐indexed standardized weather derivatives in hedging weather risks in the US energy industry.
Design/methodology/approach
Within the risk minimization framework, using power load and temperature data, this research analyzes both linear and nonlinear hedging strategies using the two most popular types of standardized indexes – city indexes and regional indexes.
Findings
The results indicate that the city indexes and regional indexes are not consistently superior to each other and the regional indexes should be a good complement to the current exchange‐listed indexes. The results also document that the basis risk is sufficiently low for the diversified power producers serving the US Northeast or Mid‐Atlantic regions in both the summer and winter seasons and California in the summer season. However, the basis risk is very high for the diversified power producers serving California in hedging the weather risk in the winter season. More discrepancies are observed in the hedging efficiency among the power producers serving the Texas region.
Originality/value
This research provides important implications about the survivability and superiority of current and proposed standardized weather contracts and the design of effective standardized weather derivatives for the extant and potential weather markets.
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Charles C. Yang, Mulong Wang and Xiaoying Chen
Conventional wisdom states that catastrophe risk securities show no or little correlation with stock and bond markets, and offer significant attractions to investors providing a…
Abstract
Purpose
Conventional wisdom states that catastrophe risk securities show no or little correlation with stock and bond markets, and offer significant attractions to investors providing a good diversification of risks. This study examines the correlation between catastrophe risk securities and portfolios of other equities by analyzing catastrophe effects on the Japanese stock market.
Design/methodology/approach
Using catastrophe data from SwissRe Sigma publications and stock returns from the Pacific‐Basin Capital Markets database, this paper analyzes stock and abnormal returns in the Japanese stock market using event study methodology.
Findings
For the Japanese stock market as a whole, there is no significant catastrophe effect. The results indicate a significant negative correlation between catastrophe loss amount and the insurance industry's equity returns and abnormal returns, a significant positive correlation with the construction industry, but no significant correlation with the real estate industry. This paper also analyzes the impact of catastrophe causalities. The results show little evidence on the significance of these variables.
Originality/value
This study provides important insights to the insurance/reinsurance industry in the Japanese risk market for catastrophe property and mortality risk securitization and to investors who are interested in further improvement of their portfolio risk/return profile by including catastrophe risk securities.
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Examines the fourteenth published year of the ITCRR. Runs the whole gamut of textile innovation, research and testing, some of which investigates hitherto untouched aspects…
Abstract
Examines the fourteenth published year of the ITCRR. Runs the whole gamut of textile innovation, research and testing, some of which investigates hitherto untouched aspects. Subjects discussed include cotton fabric processing, asbestos substitutes, textile adjuncts to cardiovascular surgery, wet textile processes, hand evaluation, nanotechnology, thermoplastic composites, robotic ironing, protective clothing (agricultural and industrial), ecological aspects of fibre properties – to name but a few! There would appear to be no limit to the future potential for textile applications.
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Examines the sixteenth published year of the ITCRR. Runs the whole gamut of textile innovation, research and testing, some of which investigates hitherto untouched aspects…
Abstract
Examines the sixteenth published year of the ITCRR. Runs the whole gamut of textile innovation, research and testing, some of which investigates hitherto untouched aspects. Subjects discussed include cotton fabric processing, asbestos substitutes, textile adjuncts to cardiovascular surgery, wet textile processes, hand evaluation, nanotechnology, thermoplastic composites, robotic ironing, protective clothing (agricultural and industrial), ecological aspects of fibre properties – to name but a few! There would appear to be no limit to the future potential for textile applications.
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Examines the thirteenth published year of the ITCRR. Runs the whole gamut of textile innovation, research and testing, some of which investigates hitherto untouched aspects…
Abstract
Examines the thirteenth published year of the ITCRR. Runs the whole gamut of textile innovation, research and testing, some of which investigates hitherto untouched aspects. Subjects discussed include cotton fabric processing, asbestos substitutes, textile adjuncts to cardiovascular surgery, wet textile processes, hand evaluation, nanotechnology, thermoplastic composites, robotic ironing, protective clothing (agricultural and industrial), ecological aspects of fibre properties – to name but a few! There would appear to be no limit to the future potential for textile applications.
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Adhi Alfian, Hamzah Ritchi and Zaldy Adrianto
Increased fraudulent practices have heightened the need for innovation in anti-fraud programs, necessitating the development of analytics techniques for detecting and preventing…
Abstract
Purpose
Increased fraudulent practices have heightened the need for innovation in anti-fraud programs, necessitating the development of analytics techniques for detecting and preventing fraud. The subject of fraud analytics will continue to expand in the future for public-sector organizations; therefore, this research examined the progress of fraud analytics in public-sector transactions and offers suggestions for its future development.
Design/methodology/approach
This study systematically reviewed research on fraud analytics development in public-sector transactions. The review was conducted from June 2021 to June 2023 by identifying research objectives and questions, performing literature quality assessment and extraction, data synthesis and research reporting. The research mainly identified 43 relevant articles that were used as references.
Findings
This research examined fraud analytics development related to public-sector financial transactions. The results revealed that fraud analytics expansion has not spread equally, as most programs have been implemented by governments and healthcare organizations in developed countries. This research also exposed that the analytics optimization in fraud prevention is higher than for fraud detection. Such analytics help organizations detect fraud, improve business effectiveness and efficiency, and refine administrative systems and work standards.
Research limitations/implications
This research offers comprehensive insights for researchers and public-sector professionals regarding current fraud analytics development in public-sector financial transactions and future trends.
Originality/value
This study presents the first systematic literature review to investigate the development of fraud analytics in public-sector transactions. The findings can aid scholars' and practitioners' future fraud analytics development.
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Alexandra L. Ferrentino, Meghan L. Maliga, Richard A. Bernardi and Susan M. Bosco
This research provides accounting-ethics authors and administrators with a benchmark for accounting-ethics research. While Bernardi and Bean (2010) considered publications in…
Abstract
This research provides accounting-ethics authors and administrators with a benchmark for accounting-ethics research. While Bernardi and Bean (2010) considered publications in business-ethics and accounting’s top-40 journals this study considers research in eight accounting-ethics and public-interest journals, as well as, 34 business-ethics journals. We analyzed the contents of our 42 journals for the 25-year period between 1991 through 2015. This research documents the continued growth (Bernardi & Bean, 2007) of accounting-ethics research in both accounting-ethics and business-ethics journals. We provide data on the top-10 ethics authors in each doctoral year group, the top-50 ethics authors over the most recent 10, 20, and 25 years, and a distribution among ethics scholars for these periods. For the 25-year timeframe, our data indicate that only 665 (274) of the 5,125 accounting PhDs/DBAs (13.0% and 5.4% respectively) in Canada and the United States had authored or co-authored one (more than one) ethics article.
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Razib Chandra Chanda, Ali Vafaei-Zadeh, Haniruzila Hanifah and T. Ramayah
This research aims to explore the factors influencing the adoption intention of eco-friendly smart home appliances among residents in densely populated urban areas of a developing…
Abstract
Purpose
This research aims to explore the factors influencing the adoption intention of eco-friendly smart home appliances among residents in densely populated urban areas of a developing country.
Design/methodology/approach
A quantitative research approach was employed to gather data from 348 respondents through purposive sampling. A comparative analysis strategy was then utilized to investigate the adoption of eco-friendly smart home appliances, combining both linear (PLS-SEM) and non-linear (fsQCA) approaches.
Findings
The results obtained from PLS-SEM highlight that performance expectancy, facilitating conditions, hedonic motivation, price value, and environmental knowledge significantly influence the adoption intention of eco-friendly smart home appliances. However, the findings suggest that effort expectancy, social influence, and habit are not significantly associated with customers' intention to adopt eco-friendly smart home appliances. On the other hand, the fsQCA results identified eight configurations of antecedents, offering valuable insights into interpreting the complex combined causal relationships among these factors that can generate (each combination) the adoption intention of eco-friendly smart home appliances among densely populated city dwellers.
Research limitations/implications
This study offers crucial marketing insights for various stakeholders, including homeowners, technology developers and manufacturers, smart home service providers, real estate developers, and government entities. The findings provide guidance on how these stakeholders can effectively encourage customers to adopt eco-friendly smart home appliances, aligning with future environmental sustainability demands. The research implications underscore the significance of exploring the antecedents that influence customers' adoption intention of eco-friendly technologies, contributing to the attainment of future sustainability goals.
Originality/value
The environmental sustainability of smart homes, particularly in densely populated city settings in developing countries, has received limited attention in previous studies. Therefore, this study aims to address the pressing issue of global warming and make a meaningful contribution to future sustainability goals related to smart housing technologies. Therefore, this study employs a comprehensive approach, combining both PLS-SEM (linear) and fsQCA (non-linear) techniques to provide a more thorough examination of the factors influencing the adoption of environmentally sustainable smart home appliances.
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The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets, in particular the foreign exchange markets as the first underlying…
Abstract
Purpose
The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets, in particular the foreign exchange markets as the first underlying applications.
Design/methodology/approach
The volatility of the financial market price is usually defined with the standard deviation or variance of the price or price returns. This standard definition of volatility is split into the upper part and the lower one, which are termed here as Yang volatility and Yin volatility. However, the definition of yin‐yang volatility depends on the scale of the time, thus the notion of scale space of price‐time is also introduced.
Findings
It turns out that the duality of yin‐yang volatility expresses not only the asymmetry of price volatility, but also the information about the trend. The yin‐yang volatilities in the scale space of price‐time provide a complete representation of the information about the multi‐level trends and asymmetric volatilities. Such a representation is useful for designing strategies in market risk management and technical trading. A trading robot (a complete automated trading system) was developed using yin‐yang volatility, its performance is shown to be non‐trivial. The notion and model of yin‐yang volatility has opened up new possibilities to rewrite the option pricing formulas, the GARCH models, as well as to develop new comprehensive models for foreign exchange markets.
Research limitations/implications
The asymmetry of price volatility and the magnitude of volatility in the scale space of price‐time has yet to be united in a more coherent model.
Practical implications
The new model of yin‐yang volatility and scale space of price‐time provides a new theoretical structure for financial market risk. It is likely to enable a new generation of core technologies for market risk management and technical trading strategies.
Originality/value
This work is original. The new notion and model of yin‐yang volatility in scale space of price‐time has cracked up the core structure of the financial market risk. It is likely to open up new possibilities such as: a new portfolio theory with a new objective function to minimize the sum of the absolute yin‐volatilities of the asset returns, a new option pricing theory using yin‐yang volatility to replace the symmetric volatility, a new GARCH model aiming to model the dynamics of yin‐yang volatility instead of the symmetric volatility, new technical trading strategies as are shown in the paper.