• The Journal of Fisheries Business Administration
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• v.25 no.2
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• pp.89-102
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• 1994

This paper is to survey the major results of the game-theoretic models and recent research directions of the literature on auctions and competitive biddings. This paper classifies the auctions and competitive biddings into the following four major types:(i) English auction, (ii) Dutch auction, (iii) the first-price sealed-bid auction, (iv) the second-price sealed-bid auction. In order to survey the major ideas related to auctions and competitive biddings, we use two representative theoretical models developed under the game-theoretic framework : (i) the independent private value model are summarized as follows ; (1) The Dutch auction and the first-price auction are strategically equivalent, and so are the English auction and the second-price auction. (2) At the symmetric equilibria, the expected selling price is the same for all four types of auction. Meanwhile, the major results of the general model are as follows ; (1) When bidders are uncertain about their value extimate, the English and second-price auctions are not equivalent, but the dutch and the first-price auctions are still strategically equivalent. (2) The English auction generates the higher expected prices than the second-price auction. Also, when bidders are risk-neutral, the second-price auction generated higher average prices than the Dutch and the first-price auctions.

• Journal of the Korean Mathematical Society
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• v.61 no.5
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• pp.875-898
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• 2024

This study estimates the true price of an asset and finds the optimal bid/ask prices for market makers. We provide a novel state-space model based on the exponential Ornstein-Uhlenbeck volatility and the Heston models with Gaussian noise, where the traded price and volume are available, but the true price is not observable. An objective of this study is to use Bayesian filtering to estimate the posterior distribution of the true price, given the traded price and volume. Because the posterior density is intractable, we employ the guided particle filtering algorithm, with which adaptive rejection metropolis sampling is used to generate samples from the density function of an unknown distribution. Given a simulated sample path, the posterior expectation of the true price outperforms the traded price in estimating the true price in terms of both the mean absolute error and root-mean-square error metrics. Another objective is to determine the optimal bid/ask prices for a market maker. The profit-and-loss of the market maker is the difference between the true price and its bid/ask prices multiplied by the traded volume or bid/ask size of the market maker. The market maker maximizes the expected utility of the PnL under the posterior distribution. We numerically calculate the optimal bid/ask prices using the Monte Carlo method, finding that its spread widens as the market maker becomes more risk-averse, and the bid/ask size and the level of uncertainty increase.

• The Journal of Asian Finance, Economics and Business
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• v.1 no.3
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• pp.5-16
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• 2014

This study aims to examine the dynamics of price changes and trading volume of Kuala Lumpur Options and Financial Futures Exchange (KLOFFE) from 2000 to 2008. With augmented analysis, our results support two hypotheses. First, under information spillover, our findings support noise traders' hypothesis as the time span for variance of past trading volume to cause variance of current return is found to be asymmetric under bull and bear markets. Second, looking at the dynamic relation between volume and volatility of price changes, our findings support Liquidity-Driven Trade hypothesis as past trading volume and subsequent volatility of return exhibit positive correlation. In terms of investors' behavior in response to the news, we find that investors are more risk taking in bull market and more risk reverse in bear market. Our study suggests that investors should adjust their strategy in the futures market in a dynamic manner as the time span of new information arrival is not consistent. Also, uninformed investors with information asymmetry should expect noninformational trading from informed investors to establish their desired positions for better liquid position.

• Proceedings of the Korean Institute of Building Construction Conference
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• 2018.11a
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• pp.124-125
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• 2018

Recently, risk analysis studies regarding the architecture development project have been carried out by applying probabilistic method. However, it had a limit that this studies was conducted in only an apartment. Therefore, the objective of this study is to develop an optimal price estimation model that can be utilized on residential officetel project by applying Monte Carlo simulation. To achieve the objective, first, the variables are selected affecting the feasibility of an officetel based on literature review. Second, causal loop diagram is constructed by arranging the relationship between variables, then the import and expense model is suggested. Third, to carry out optimized parcel price, the range limits are set for each variables then Monte Carlo simulation is performed. In the future, the developed model is expected to help decision-makers as a tool to determine both risk and feasibility of the officetel development project.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.8
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• pp.103-115
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• 2021

This study investigates the relationship between family ownership and the stock price crash risk. It believes that this relationship would never be in direct connection. The authors design and then find that family ownership is predisposed, in the first place, to the related party transaction, then the related party transaction causes the future stock price crash. This study infers that employing the power of family ownership creates the Type I agency problem, although this is not relevant for the Type II problem. From the perspective of the hoarding theory, family ownerships produce opaque accounts by blurring financial information. The blurred information is probably hidden in the related party transactions. This study, therefore, splits these transactions into accounts receivable, other accounts receivable and other receivables. Finally, this research concludes that the family ownership affects related party transactions. These then are used as an instrument to influence the leaded related party transaction. The latest, leaded related party transactions influence the future stock price crash. This study infers that related party transactions are abusive practices, especially on the types of receivables. It implies corporate governance's revitalisation.

• Asia-Pacific Journal of Business
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• v.13 no.3
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• pp.59-71
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• 2022

Purpose - We investigate how firms transfer financial risks to employees in a form of flexible employment contracts and layoffs. Design/methodology/approach - Based on the literature on the prevalence of shareholder value ideology and the associated 'risk shift', we examined how stock price volatility is associated with a firm's use and hiring of nonstandard employees, and the number of employees lay-offed. We test our hypotheses using a longitudinal, multi-source, dataset of Korean firms from 2003 to 2011. Findings - We found support for the relationship between stock price volatility and flexible employment contracts and layoffs after controlling for actual risks such as increased debt or decreased sales. However, we found that the relationship is moderated by the power of professional CEOs relative to that of shareholders, in that powerful CEOs are more likely to transfer the external risks, i.e. stock price volatility, to employees. Research implications or Originality - This study contributes the emerging stream of literature that explore the effect of stock market pressures and governance structures on human resource management.

• New & Renewable Energy
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• v.7 no.4
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• pp.10-17
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• 2011

Recently, electricity industry is facing high market uncertainty which has ever had and which increase risks in power market. In this study, we analyze risk factors such as discount rates, initial investment (overnight cost), plant factor, fuel cost, carbon price, etc, for the perspective of investor. For the analysis of risk factors, we used LCOE method. The results of this study show that renewable energy is more affected by plant factor and overnight cost than other risk factors. First, Renewable energy has higher proportion of overnight cost in the total investment than that of other technologies. Second, renewable energy is free of fuel cost and carbon price so plant factor is the most important factor, in other words, competitiveness of renewable energy depends on plant factor. Furthermore, we conducted economic feasibility of wind power and PV in domestic case study. The minimum requirement condition to get profitability is that plant factor 15% and overnight cost \6,000,000/kW and 26%, \2,200,000/kW for PV and Wind Power, respectively.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.22 no.1
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• pp.131-137
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• 2021

This study estimated acreage response functions for greenhouse paprika, greenhouse strawberry, open-land garlic, and open-land spinach by using Gyeongsangnamdo agricultural income data. The results show that the cultivation area for greenhouse paprika increased because the agricultural management costs decreased, and the risk of price volatility was relatively low. On the other hand, the cultivation area for greenhouse strawberries decreased due to increasing agricultural management costs and the greater risk of price volatility. In the case of open-land garlic and spinach, the cultivation area remained stagnant due to the greater risk of price volatility, despite increasing agricultural revenue. We derived several policy implications from our results. The risk of price volatility in agricultural products is greater for crops grown on land rather than crops grown in greenhouses. Therefore, the local government needs to adopt the "agricultural revenue guarantee insurance" in preference to crops grown on land rather than crops grown in greenhouses. On the other hand, in the case of greenhouse crops, agricultural management costs are very high. Thus, local government should focus on replacing old facilities and supplying smart-farm facilities that reduce agricultural management costs such as heating costs.

• Journal of the Korean Home Economics Association
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• v.26 no.1
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• pp.21-31
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• 1988

The main problem of consumer behavior is choice since the outcome of me of a choice can only be known in the future, consumers are forced to deal with the risks of und\certainty. So, perception of risk is pivotal aspect of consumer behavior. This study was designed to investigate the relationships between purchasing behavior of textile and perceived risk. Data were obtained from 276 housewives. ANOVA, x2-test were employed to analyse the data. The result were : 1. general features of textile purchase behavior are as follows. Blend wools and pure wool products are prefered. Fall is the major season in purchasing textile. Wholesalers, department stores and agent stores are prefered. Purchasing decision making process independent upon not only textile itself but the practice value of the textile. Purchasing textile, married young women depend on outward shape of the textile, middle and old aged groups depend on the economic value of the textile and the credibility of the stores. 2. Perception of risk is relatively high in the preference of store, color/design, and psycological uncertainty. But the perceived risks is relatively low in brand, price and social credibility. 3. There is significant relationship between the recognition rate of risk and the sensitiveness of the consumer. In addition, there are strong relationship between the risk rate and the preference of shop, brand, and price. On the other hand, there are no significant relationship between the color, design, and sociopsyco-logical risk and demographic variables. 4. The perceived risk of consumer would be a key stone to grasp the consumer behavior. The product company needs to provide full information which could reduce the perceived risk of consumer. there attitude would help for the mutual interests. In the future research, we need to develop the precise methods for finding variables on the perceived risk during the process of making purchase intention.

• Journal of Distribution Science
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• v.17 no.1
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• pp.11-19
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• 2019

Purpose - We document the impact of economic policy uncertainty (EPU) in the US and China on the dynamic spillover effect of macroeconomics such as stock price, housing price in Korea. Research design, data, and methodology - We use the nine variables to analyze the effect which produces a result among the EPU indexes of the US and China on economic variables which is the consumer price index (CPI), housing purchase price composite index, housing lease price, the stock price index in banking industry, construction industry and distribution industry, and composite leading indicator from January 1995 to December 2016 with the Vector Error Correction Model. Result - The US EPU index has significantly a negative relation on the CPI, housing purchase price index, housing lease price index, the stock price index in banking industry, construction industry, and distribution industry in Korea. Conclusions - We find the dynamic effect of the EPU indexes in the US and China on the macroeconomics returns in Korea. This study has an empirical evidence that the economy market in Korea is influenced by the EPU index of the US rather than it of China. The higher EPU, the more risky the economy of in Korea.