• The Journal of Asian Finance, Economics and Business
• /
• v.9 no.1
• /
• pp.143-152
• /
• 2022

This paper examines the relationship between investor sentiment and the risk of a stock price crash at the firm level. Our dataset includes 131 firms listed on the Saudi stock exchange (Tadawul) from 2011 to 2019, as well as 953 firm-year observations. To evaluate crash risk, we employ two distinct proxies and propose an index for measuring firm-level sentiment which we use for the first time in our study. The average turnover rate, price-earnings ratio, and overnight return are the three sentiment proxies we utilize in our index. Our findings show that high levels of investor emotion increase managers' proclivity to withhold unfavorable news from investors, which aggravates the risk of a stock price crash. We undertake cross-sectional regressions by sector to ensure the robustness of our findings, and our findings are confirmed. After accounting for any endogeneity issues with the GMM technique, the results remain the same. Furthermore, we analyze the liquidity effect by dividing our sample into subsamples with better and worse liquidity and find that firms with worse liquidity have a considerably greater positive impact of investor mood. Overall, our findings help investors and regulators recognize the significance of this downside risk and how to manage it in the stock market.

• Korean Management Science Review
• /
• v.27 no.3
• /
• pp.33-41
• /
• 2010

A lot of researches find negative volatility risk premium in options market. We can make a trading profit by exploiting the negative volatility premium. This study proposes negative volatility risk premium hypotheses in the KOSPI 200 stock price index options market and empirically test the proposed hypotheses with intra-day short straddle strategy. This strategy sells both at-the-money call option and at-the-money put option at market open and exits the position at market close. Using MySQL 5.1, we create our database with 1 minute option price data of the KOSPI 200 index options from 2004 to 2009. Empirical results show that negative volatility risk premium exists in the KOSPI 200 stock price index options market. Furthermore, intra-day short straddle strategy consistently produces annual profits except one year.

• East Asian Journal of Business Economics (EAJBE)
• /
• v.6 no.3
• /
• pp.37-47
• /
• 2018

Purpose - This paper investigates the major determinants of consumer decision making for smartphone's consumers in a developing country in Africa especially in Gabon. Analysis of Perceived Quality, Perceived Price, Perceived Risk, Brand Image, Perceived Value, and Purchase Intention Research design and methodology - In order to proceed the empirical research, online survey was done via email and social media network and data was collected from 289 random respondents. Therefore, to assess the reliability, the validity and test hypothesis Statistical Package for Social Sciences (SPSS) version 21 was used. Results - After data collection and analysis, results have proved that brand image, perceived price does influence perceived quality, and perceived quality negatively influence perceived risk. The results also show perceived risk along with brand image, perceived price and quality could not influence perceived value. The findings also indicate that perceived value slightly influence purchase intentions. Conclusions - The results of the study show that it is essential to develop an understanding of value in the purchasing process. This study should also provide a glimpse to both marketers and manufacturers about consumers' perceptions towards smartphones.

• The Journal of Industrial Distribution & Business
• /
• v.8 no.6
• /
• pp.41-49
• /
• 2017

Purpose - The purpose of this research is to examine the differences and interaction effects of perceived risk and product attitudes between Korea and Thailand consumers in accordance with price discount and product types. Research design, data, and methodology - A questionnaire survey was conducted in Korea and Thailand. There were a total of 327questionnaires received, and 322 of them were valid. Respondents consisted of 163 Koreans and 159 Thai consumers. Each question is measured in a Likert-type five-point scale. To verify the difference and interaction effects of perceived risk and product attitudes, ANOVA analysis was carried out. Results - This research found that the perceived risk of Thailand consumers in accordance with price discount and product types is confirmed to be larger than Korean consumers. The difference of product attitudes of Thailand consumers is higher than those of Korean consumers. Thus, product attitudes in accordance with country type and price discount types are verified with the interaction effect. The difference of product attitudes in accordance with price discount type and product types are not founded. The main effect was not verified. Conclusions - The finding of this study can be used as useful information to Korean and Thai retailers looking to enter the global market.

• Proceedings of the Korean Operations and Management Science Society Conference
• /
• 1992.04b
• /
• pp.403-412
• /
• 1992

This note examines a situation where a risk-neutral insurer and a risk-averse individual (prospective insured) negotiate to reach an arbitration point of the price of insurance over the terms of an insurance contract in order to maximize their respective self-interests. The situation is modeled as a Nash bargaining problem. We analyze the dependence of the price of insurance, which is determined by the Nash solution, on the parameters such as the size of insured loss, the probability of a loss, the degree of risk-aversion of the insured, and the riskiness of loss distribution.

• The Journal of Industrial Distribution & Business
• /
• v.9 no.6
• /
• pp.49-55
• /
• 2018

Purpose - This paper examines the effect of related party transactions on crash firm-specific stock price crash risk. Ownership of a typical Korean conglomerate is concentrated in a single family. In those entities, management and board positions are often filled by family members. Therefore, a dominant shareholder can benefit from related party transactions. In Korea, firms have to report related party transactions in financial statement footnotes. However, those are not disclosed in detail. The more related party transactions are the greater information risk. Thus, companies with related party transactions are likely to experience stock price crashes. Research design, data, and methodology - 2,598 firm-year observations are used for the main analysis. Those samples are from TS2000 database from 2009 to 2013, and the database covers KOSPI-listed firms in Korea. The proxy for related party transactions (RTP) is calculated by dividing total transactions to the related-party by total sales. A dummy variable is used as a dependent variable (CRASH) in the regression model. Logistic regression is used to explain the relationship between related party transactions and crash risk. Then, the sample was separated into two groups; tunneling firms and propping firms. The relation between related party transactions and crash risk variances with features of the transaction were investigated. Results - Using a sample of KOSPI-listed firms in TS2000 database for the period of 2009-2013, I find that stock price crash risk increases as the trade volume of related-party transactions increases. Specifically, I find that the coefficient of RPT is significantly positive, supporting the prediction. In addition, this relationship is strong and robust in tunneling firms. Conclusions - The results report that firms with related party transactions are more likely to experience stock price crashes. The results mean that related party transactions increase the possibility of future stock price crashes by enlarging information asymmetry between controlling shareholders and minority shareholders. In case of tunneling, it could be seen that related party transactions are positively associated with stock crash risk. The result implies that the characteristic of the transaction influences crash risk. This study is related to a literature that investigates the effect of related party transactions on the stock market.

• Culinary science and hospitality research
• /
• v.22 no.4
• /
• pp.114-127
• /
• 2016

The study, focused on social commerce food service consumers, attempted to test the relationship between perceived risk and price consciousness, and suggested that perceived risk and price consciousness, the the degree to which price is considered when purchasing goods, affect reuse intention. Through such test results, the study aimed to provide useful practical implications for establishing marketing strategies of companies related to food service social commerce, and those looking into behavioral intentions of social commerce using food service consumers. The subjects of the study were male and female residents of Korea over 2-years of age who have had some experience purchasing a dining out item through social commerce. The social commerce company selected for sampling was Coupang, which was the number 1 shopping App in 2014 based on the number of yearly visitors. A questionnaire-based survey was conducted on respondents who had indicated that they had experience purchasing foodservice goods through Coupang. The results revealed that source risk, privacy risk, psychological risk, and time-loss risk had negative influences on reuse intention. However, social risk and financial risk did not exhibit any influences. Price consciousness had positive influences on reuse intention. The study explored perceived risk and price consciousness as elements to affect continuous use of social commerce of foodservice consumers.

• Journal of the Korean Operations Research and Management Science Society
• /
• v.38 no.2
• /
• pp.95-115
• /
• 2013

In traditional inventory models, purchase prices of raw materials are assumed to be fixed and have no effect on the optimal choice of inventory policies. However, when purchase prices fluctuate continuously over time, inventory costs are heavily affected by purchasing prices. Risk-averse inventory model decides order quantity and ordering time by considering not just purchase prices but also the risk from the discrepancy between estimated prices and realized prices. In this paper, we propose a myopic inventory policy which incorporates price risk into deciding ordering time and quantities. While the existing risk-averse model has no mechanism to reallocate inventories already purchased for a specific future period, the revised one reallocates initial inventories of each period to other future periods so that it can avoid purchasing raw materials at high prices. Experimental results demonstrate that the revised model outperforms the existing one in respect of total cost and variability.

• Journal of Korea Port Economic Association
• /
• v.34 no.1
• /
• pp.99-110
• /
• 2018

This study empirically examines simple methodology to quantify the risk resulted from the uncertainty of bunker price and foreign exchange rate, which cause main resources of the cost in shipping industry during the periods between $1^{st}$ of January 2010 and $31^{st}$ of January 2018. To shed light on the risk measurement in cash flows we tested GBM(Geometric Brownian Motion) frameworks such as the model with conditional heteroskedasticity and jump diffusion process. The main contribution based on empirical results are summarized as following three: first, the risk analysis, which is dependent on a single variable such as freight yield, is extended to analyze the effects of multiple factors such as bunker price and exchange rate return volatility. Second, at the individual firm level, the need for risk management in bunker price and exchange rate is presented as cash flow. Finally, based on the scale of the risk presented by the analysis results, the shipping companies are required that there is a need to consider what is appropriate as a means of risk management.

• Journal of the Korean Society of Costume
• /
• v.43
• /
• pp.125-142
• /
• 1999

This research was aimed to present a model of clothing products evaluation nd to classify the effect of extrinsic cues on clothing products evaluation. In order to accomplish following subjects were established. First it is to find the effect of extrinsic cues -price brand store - on perceived quality perceived risk perceived value and purchase intention of clothing products. Second it is to formulate a model of clothing products evaluation and find the relation among the variables such as extrinsic cues perceived quality perceived risk perceived value and purchase intention. This research was mainly divided into theoretical and empirical part. In the theoretical part previous theories and studies on clothing products cues clothing products evaluation perceived quality perceived risk and perceived value were examined to establish a research model and to present a theoretical frame for clothing products evaluation. In the empirical research a questionnaire was developed and statistical data were collected from during July 1997. The subjects were 862 women in the age of 20-35 living in Seoul and kyungki region. SAS and LISREL were used to analyze the collected data. frequency percentage factor analysis ANOVA duncan test correlation analysis regression analysis and LISREL were applied. The results of this research are as follows: First perceived quality consists of performance quality external quality and utility quality in a form of multi dimensional structural. Perceived risk is structured by social/resultant risk financial/fashionable risk and performance/management risk. Second this research proved that extrinsic cues are influenced by each individual variable and extrinsic cues interact with each other through the variable. The perceived quality is influenced most by price Among the perceived risk social/resultant risk by brand financial/fashionable risk by price and performance/management risk by store. respectively. Perceived value is inflenced by price and brand. Third in evaluating process consumer use extrinsic cues to first formulate perceived quality and perceived risk of clothing products and then formulate perceived value ot decide on purchase intention.