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Chaang-Iuan Ho,Ying-Hsiao Lai,Li Wei Liu 글로벌지식마케팅경영학회 2018 Global Marketing Conference Vol.2018 No.07
This study proposed an alternative model specification to increase accuracy of conceptualization of the definition of customer engagement and provided theoretical justification for the model in specific social media contexts. The proposed model is a formative construct based on theoretical contexts and observational data. The construct comprises six formative first-order dimensions, namely “influencing behaviors,” “participation in activities,” “customer knowledge sharing,” “feedbacks,” “helping other customers,” and “customer-to-customer interaction.” The study findings offer a basis for identifying indicators of distinct dimensions in the proposed construct. Three models with different conceptualization specifications were estimated and subsequently compared using survey data.
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Chuang-Chang Chang,Hsiao-Wei Ho,Tzu-Hsiang Liao,Yaw-Huei Wang 한국재무학회 2011 한국재무학회 학술대회 Vol.2011 No.09
In this paper we consider the pricing of quanto derivatives with the bivariate GARCH-Jump model, in which jumps take place in the price kernel, and consequently in foreign asset returns and in exchange rates. In the empirical investigation, we use Dow Jones, NASDAQ and NIKKEI 225 indexes, exchange rates and corresponding index warrants data to examine the effects of jump on derivative pricing. The empirical results suggest that the unrestricted bivariate NGARCH-Jump model outperforms the other four models considered in this study. The evidence also reveals that the average pricing error is the smallest for the unrestricted bivariate NGARCH-Jump model. Hence, the nonlinear asymmetric model with jumps captures the dynamics of index return and exchange rate well.
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Credit Rating Anomaly in Taiwan Stock Market
Kuan-Cheng Ko,Shinn-Juh Lin,Hsiang-Hui Chu,Hsiao-Wei Ho 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.09
Rational asset-pricing theory asserts that higher risk should be accompanied by higher expected return. The credit-risk puzzle, however, states a negative cross- sectional relationship between credit risk and future stock returns (Dichev, 1998; Grin and Lemmon, 2002; Campbell et al., 2008; Avramov et al., 2009). This pa- per examines the credit-risk puzzle using an independent dataset from Taiwan's stock market. We document the existence of the credit-risk premium in both portfolios and individual stocks, and demonstrate that it can not be explained by well-known asset-pricing models which include the CAPM, Fama and French's (1993) three-factor model, and Liu's (2006) liquidity-augmented CAPM. Unlike the evidence in the U.S. market, rating downgrades only have limited impact on stock returns in Taiwan. Further analysis indicates that credit rating serves as a better proxy for distress risk, and is thus priced in Taiwan's stock market.
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Credit Rating Anomaly in the Taiwan Stock Market
Kuan-Cheng Ko,Hsiang-Hui Chu,Shinn-Juh Lin,Hsiao-Wei Ho 한국증권학회 2013 Asia-Pacific Journal of Financial Studies Vol.42 No.3
Rational asset-pricing theory asserts that higher risk should be accompanied by higher expected return. The credit risk puzzle, however, states a negative cross-sectional relationship between credit risk and future stock returns (Journal of Finance, 53, 1998, 1131; Journal of Finance, 57, 2002, 2317; Journal of Finance, 63, 2008, 2899; Journal of Financial Markets, 12, 2009, 469). This paper examines the credit risk puzzle using an independent dataset from Taiwan’s stock market. We document a significantly positive premium between highest- and lowest-rated stocks in both portfolios and individual stocks, and demonstrate that it cannot be explained by well-known asset-pricing models, including the CAPM, Journal of Financial Economics, 33, 1993, 3 three-factor model, and Journal of Financial Economics 82, 2006, 631 liquidity-augmented CAPM. Unlike the evidence collected from the US market, rating downgrades only have limited impact on the cross-sectional variation of stock returns in Taiwan. Further analysis indicates that credit rating serves as a better proxy for distress risk, and is thus priced in Taiwan’s stock market.
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