Min-Jik Kim and Jaeho Cho
The asymmetric volatility phenomenon (‘the phenomenon’, henceforth), documented first by Black (1976), refers to the fact that the stock return and its conditional volatility are…
Abstract
The asymmetric volatility phenomenon (‘the phenomenon’, henceforth), documented first by Black (1976), refers to the fact that the stock return and its conditional volatility are negatively correlated. To explain ‘the phenomenon’, this paper presents an asymmetric information model under ambiguity, and provides an empirical test of its result as well. We assume that in the Grossman and Stiglitz (1980), uninformed liquidity traders face ambiguity about the distribution of asset payoffs, and that their attitudes toward ambiguity vary depending on the state of the economy. In model I, their utility functions exhibit ambiguity aversion in the bad state and ambiguity neutrality in the good state. In model II, liquidity traders are still ambiguity-averse in the bad state but ambiguity-seeking in the good state. We find that ‘the phenomenon’ appears in model II when the degree of ambiguity is not large. Furthermore, we show that the possibility of ‘the phenomenon’ is higher as the proportion of liquidity traders increases. To perform an empirical analysis, we measure the degree of ambiguity by the Kolmogorov-Smirnov statistic and show that this measure has a positive relationship with the difference between the volatilities in the good and bad states. In addition, we find that the risk factor constructed by the ambiguity measure has explanatory power about returns on 25 portfolios of the Fama-French type in the Korean market.
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Johnny Chung‐Yin Tsai, Hong G. Im, Taig‐Young Kim and Jaeho Kim
The purpose of this paper is to present a three‐dimensional CFD model that simulates the pyrolysis, combustion and heat transfer phenomena in a refuse‐derived fuel (RDF) gasifier…
Abstract
Purpose
The purpose of this paper is to present a three‐dimensional CFD model that simulates the pyrolysis, combustion and heat transfer phenomena in a refuse‐derived fuel (RDF) gasifier. Correlations between different operation conditions and the waste stack morphology are also investigated. Parametric studies are conducted to optimize operating conditions to achieve an even stack surface minimal the local oxidation in the waste stack.
Design/methodology/approach
This paper proposes a Lagrangian pyrolysis submodel which can be applied to determine the local pyrolysis rate and porosity field by introducing the local characteristic diameter of the waste solid sphere. The flow field is described by a single‐phase porous flow model using the SIMPLE algorithm with momentum extrapolation. A one‐step global reaction was adapted for the chemical reactions inside the gasifier.
Findings
Computational results produced three‐dimensional distribution of the flow field, temperature, species concentration, porosity and the morphology of the waste stack under different operation conditions. Some parametric studies were conducted to assess the effects of the inlet temperature and the feeding rate on the waste stack shape. The results demonstrated that the model can properly capture the essential physical and chemical processes in the gasifier and thus can be used as a predictive simulation tool.
Research limitations/implications
Due to the lack of accurate reaction rate information, the computational results have not been directly compared against experimental data. Additional refinement and subsequent validation against prototype gasifier experiment will be reported in future work.
Originality/value
A full three‐dimensional computational model is developed for the complex two‐phase flow based on porous medium representation of the solid stack. A Lagrangian pyrolysis model based on the characteristic diameter of the solid waste material was proposed to describe the pyrolysis rate history. The developed model reproduces correct physical and chemical behavior inside gasifier with adequate computational efficiency and accuracy.
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Han Sun, JaeHo Lee, Hyoung-Goo Kang and Zengrui Fan
This study investigates the impact of ESG rating disagreements on stock performance in the Chinese A-share market, focusing on immediate and short-term market reactions and the…
Abstract
This study investigates the impact of ESG rating disagreements on stock performance in the Chinese A-share market, focusing on immediate and short-term market reactions and the risk of future stock price crashes. Using data from the Shanghai and Shenzhen stock exchanges, we analyze 17,006 firm-year observations from 2010 to 2021. Stock return data are sourced from the Wind database, while additional financial metrics are obtained from the China Stock Market and Accounting Research (CSMAR) database. Corporate governance information is drawn from the China National Research Data Service (CNRDS) database. Our findings indicate that higher levels of ESG divergence significantly increase the risk of future stock price crashes. Furthermore, the presence of independent directors moderates this relationship, reducing the likelihood of such crashes. Immediate market reactions to ESG rating disagreements are also significant, underscoring the need for transparency and alignment among rating agencies. The study highlights the importance of robust corporate governance and standardized ESG rating methodologies to mitigate associated risks. Policy recommendations include promoting transparency in ESG rating processes and enhancing the role of independent directors in corporate governance.
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The purpose of this paper is to argue that comparative advantage of host country’s industry can be one of the significant determinants of the decision on mergers and acquisitions…
Abstract
Purpose
The purpose of this paper is to argue that comparative advantage of host country’s industry can be one of the significant determinants of the decision on mergers and acquisitions (M&A) or greenfield in foreign direct investment (FDI).
Design/methodology/approach
The authors extract five-related properties of an industry with comparative advantage in a host nation from Bernard et al.’s (2007) international trade model with heterogeneous firms and attempt to empirically test their roles in a multinational enterprise’s (MNE) M&A or greenfield investment decision, using the inward FDI data set in Korea from 1999 to 2006.
Findings
The theoretical framework finds that the five properties derived from an industry with comparative advantage in a host country have mixed motives for M&A or greenfield. The empirical results show that selected conventional independent variables generally affect the M&A or greenfield entry mode decision with significance individually and that their impacts become more or less prominent when the authors employ interaction terms combining them with comparative advantages in the industries.
Research limitations/implications
This implies that MNEs not only consider their own firm-specific advantages or other country-level factors for foreign market entries as the previous research generally found, but also seriously take into account industry-specific factors, especially industry-wide comparative advantages based on heterogeneous productivities of firms.
Originality/value
This paper reconciles multinationals’ strategic motives under an oligopolistic market with their efficiency gains under a monopolistic competitive market, which are considered as two main factors for cross-border M&A. Furthermore, this paper adds a new firm-level data set into entry mode research.
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An open question of behavioral pricing literature is: What are the factors which influence consumers’ judgments of acquisition value and transaction value? An important framework…
Abstract
Purpose
An open question of behavioral pricing literature is: What are the factors which influence consumers’ judgments of acquisition value and transaction value? An important framework to explain consumers’ shopping and purchase decisions is their decision-making styles. This paper aims to examine the influence of consumers’ decision-making styles, that is, perfectionistic high-quality conscious, brand conscious-price equals quality, novelty-fashion conscious, recreational-hedonistic, price conscious-value for money, impulsive-careless, habitual-brand loyal and confused by overchoice on their judgments of acquisition value and transaction value.
Design/methodology/approach
From the literature, a conceptual framework was formulated. Data was collected from a survey of 304 respondents. The measurement model was tested using exploratory factor analysis and confirmatory factor analysis. The structural model was tested using structural equation modeling.
Findings
The consumers’ judgments of acquisition value and transaction value vary with their decision-making styles. The measurement and structural models exhibited good fit, and 12 of the 16 proposed hypotheses were found to be significant.
Research limitations/implications
The respondents for this research study were urban and postgraduate students.
Practical implications
The results of this study can help managers personalize their promotional offers and market offerings targeted at consumers with different decision-making styles.
Originality/value
Behavioral pricing literature has not convincingly shown that consumers make the judgments of the two values, acquisition value and transaction value, in a purchase scenario. There is limited literature on the impact of decision-making styles on the marketing variables. The results of this study contribute to the literature by showing that consumers make the judgments of these two values, and these judgments vary with their decision-making styles. Also, this is one of only a few studies to examine the two components of the purchase value in an Indian context.
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Bohuslav Pernica, Donatas Palavenis and Jaroslav Dvorak
The study aims to assess military procurement strategy in NATO countries labelled as emerging markets (Czechia, Slovakia and Lithuania) and capitalist Norway, which vary in…
Abstract
Purpose
The study aims to assess military procurement strategy in NATO countries labelled as emerging markets (Czechia, Slovakia and Lithuania) and capitalist Norway, which vary in national culture as indicated by the Hofstede Culture Compass.
Design/methodology/approach
This comparative case study analyses the procurement of a simple, mass-produced, off-the-shelf military product (FN Herstal MINIMI gun) in four small but very economically free countries from 2008 to 2023. The study answers the research question of how the unit price of MINIMI guns varies across post-communist and historical NATO countries distinguished by the variables operationalising national culture.
Findings
The general disability of the government to control corruption deviates the strategy of military procurement in post-communist defence institutions from an effective strategy of liberal capitalism, minimising the unit price and risks (Norway), to an odd strategy maximising the unit price and risks by preferring middlemen as agent of hidden agenda (Czechia).
Research limitations/implications
Some defence institutions in post-communist countries may be burdened by legislature capture, and detailed research is needed to determine this.
Practical implications
The authors argue that national culture may contribute to significant goal displacement in the procurement strategy adopted by the government in an economically liberal state.
Social implications
Without perfecting the control of corruption in post-communist defence institutions, the NATO burden-sharing debate on 2% of GDP will remain controversial.
Originality/value
With variables characterising national culture and the government’s ability to control corruption, the study elucidates a slow pace of convergence of post-communist countries to NATÓs values and procedures.