bluuebunny/crossref_metadata_2025 huggingface dataset:
AFLAP: Assembly-Free Linkage Analysis Pipeline usingk-mers from whole genome sequencing data
Authors: Fletcher Kyle , Zhang Lin , Gil Juliana , Han Rongkui , Cavanaugh Keri , Michelmore Richard
Published: September 2020

Background

Genetic maps are an important resource for validation of genome assemblies, trait discovery, and breeding. Next generation sequencing has enabled production of high-density genetic maps constructed with 10,000s of markers. Most current approaches require a genome assembly to identify markers. Our Assembly Free Linkage Analysis Pipeline (AFLAP) removes this requirement by using uniquely segregatingk-mers as markers to rapidly construct a genotype table and perform subsequent linkage analysis. This avoids potential biases including preferential read alignment and variant calling.

Results

The performance of AFLAP was determined in simulations and contrasted to a conventional workflow. We tested AFLAP using 100 F2individuals ofArabidopsis thaliana, sequenced to low coverage. Genetic maps generated usingk-mers contained over 130,000 markers that were concordant with the genomic assembly. The utility of AFLAP was then demonstrated by generating an accurate genetic map using genotyping-by-sequencing data of 235 recombinant inbred lines ofLactucaspp. AFLAP was then applied to 83 F1individuals of the oomyceteBremia lactucae, sequenced to >5x coverage. The genetic map contained over 90,000 markers ordered in 19 large linkage groups. This genetic map was used to fragment, order, orient, and scaffold the genome, resulting in a much-improved reference assembly.

Conclusions

AFLAP can be used to generate high density linkage maps and improve genome assemblies of any organism when a mapping population is available using whole genome sequencing or genotyping-by-sequencing data. Genetic maps produced forB. lactucaewere accurately aligned to the genome and guided significant improvements of the reference assembly.
ZnJ6 is a DnaJ-like Chaperone with Oxidizing Activity in the Thylakoid Membrane inChlamydomonas reinhardtii
Authors: Amiya Richa , Shapira Michal
Published: September 2020

Assembly of photosynthetic complexes is sensitive to changes in light intensities, drought, and pathogens that induce a redox imbalance, and require a variety of substrate-specific chaperones to overcome the stress. Proteins with cysteine (C) residues and disulfide bridges are more responsive to the redox changes. This study reports on a thylakoid membrane-associated DnaJ-like protein, ZnJ6 (ZnJ6.g251716.t1.2) inChlamydomonas reinhardtii. The protein has four CXXCX(G)X(G) motifs that form a functional zinc-binding domain. Site-directed mutagenesis (Cys to Ser) in all the CXXCX(G)X(G) motifs eliminates its zinc-binding ability. In vitro chaperone assays using recombinant ZnJ6 confirm that it is a chaperone that possesses both holding and oxidative refolding activities. Although mutations (Cys to Ser) do not affect the holding activity of ZnJ6, they impair its ability to promote redox-controlled reactivation of reduced and denatured RNaseA, a common substrate protein. The presence of an intact zinc-binding domain is also required for protein stability at elevated temperatures, as suggested by a single spectrum melting curve. Pull-down assays with recombinant ZnJ6 revealed that it interacts with oxidoreductases, photosynthetic proteins (mainly PSI), and proteases. Ourin vivoexperiments withChlamydomonas reinhardtiiinsertional mutants (ΔZnJ6) expressing a low level of ZnJ6, suggested that the mutant is more tolerant to oxidative stress. In contrast, the wild type has better protection at elevated temperature and DTT induced stress. We propose that DnaJ-like chaperone ZnJ6 assists in the prevention of protein aggregation, stress endurance, and maintenance of redox balance.

One-sentence summary

ZnJ6 is a redox-regulated DnaJ-like chaperone associated with the thylakoid membrane and involved in the prevention of protein aggregation and stress endurance.
Resiniferatoxin (RTX) ameliorates acute respiratory distress syndrome (ARDS) in a rodent model of lung injury
Authors: Hahka Taija M. , Xia Zhiqiu , Hong Juan , Kitzerow Oliver , Nahama Alexis , Zucker Irving H. , Wang Hanjun
Published: September 2020

Acute lung injury (ALI) is associated with cytokine release, pulmonary edema and in the longer term, fibrosis. A severe cytokine storm and pulmonary pathology can cause respiratory failure due to acute respiratory distress syndrome (ARDS), which is one of the major causes of mortality associated with ALI. In this study, we aimed to determine a novel neural component through cardiopulmonary spinal afferents that mediates lung pathology during ALI/ARDS. We ablated cardiopulmonary spinal afferents through either epidural T1-T4 dorsal root ganglia (DRG) application or intra-stellate ganglia delivery of a selective afferent neurotoxin, resiniferatoxin (RTX) in rats 3 days post bleomycin-induced lung injury. Our data showed that both epidural and intra-stellate ganglia injection of RTX significantly reduced plasma extravasation and reduced the level of lung pro-inflammatory cytokines providing proof of principle that cardiopulmonary spinal afferents are involved in lung pathology post ALI. Considering the translational potential of stellate ganglia delivery of RTX, we further examined the effects of stellate RTX on blood gas exchange and lung edema in the ALI rat model. Our data suggest that intra-stellate ganglia injection of RTX improved pO2and blood acidosis 7 days post ALI. It also reduced wet lung weight in bleomycin treated rats, indicating a reduction in lung edema. Taken together, this study suggests that cardiopulmonary spinal afferents play a critical role in lung inflammation and edema post ALI. This study shows the translational potential for ganglionic administration of RTX in ARDS.
A chemiluminescent protease probe for rapid, sensitive, and inexpensive detection of liveMycobacterium tuberculosis
Authors: Babin Brett M. , Fernandez-Cuervo Gabriela , Sheng Jessica , Green Ori , Ordonez Alvaro A. , Turner Mitchell L. , Keller Laura J. , Jain Sanjay K. , Shabat Doron , Bogyo Matthew
Published: September 2020

Tuberculosis (TB) is a top-ten cause of death worldwide. Successful treatment is often limited by insufficient diagnostic capabilities, especially at the point of care in low-resource settings. The ideal diagnostic must be fast, cheap, and require minimal clinical resources while providing high sensitivity, selectivity, and the ability to differentiate live from dead bacteria. We describe here the development of a Fast, Luminescent, and Affordable Sensor of Hip1 (FLASH) for the diagnosis and monitoring of drug sensitivity ofMycobacterium tuberculosis(Mtb). FLASH is a selective chemiluminescent substrate for theMtbprotease Hip1 that when processed, produces visible light that can be measured with a high signal to noise ratio using inexpensive sensors. FLASH is sensitive to fmol of recombinant Hip1 enzymein vitroand can detect as few as thousands ofMtbcells in culture or in human sputum samples within minutes. The probe is highly selective forMtbcompared to other non-tuberculous mycobacteria and can distinguish live from dead cells. Importantly, FLASH can be used to measure antibiotic killing ofMtbin culture with greatly accelerated timelines compared to traditional protocols. Overall, FLASH has the potential to enhance both TB diagnostics and drug resistance monitoring in resource-limited settings.

One Sentence Summary

A luminescent probe enables sensitive detection ofMycobacterium tuberculosisfor diagnostics, treatment monitoring, and drug susceptibility testing.
Functional Brain Networks and Alcohol Consumption: From the Naïve State to Chronic Heavy Drinking
Authors: Rowland Jared A. , Stapleton-Kotloski Jennifer R. , Alberto Greg E. , Davenport April T. , Epperly Phillip M. , Godwin Dwayne W. , Daunais James B.
Published: September 2020

A fundamental question for alcohol use disorder is how naïve brain networks are reorganized in response to the consumption of alcohol. The current study aimed to determine the progression of alcohol’s effect on functional brain networks during the transition from naïve, to early, to chronic consumption. Resting-state brain networks of six female monkeys were acquired using magnetoencephalography prior to alcohol exposure, after early exposure, and after free-access to alcohol using a well-established model of chronic heavy alcohol use. Functional brain network metrics were derived at each time point. Assortativity, average connection frequency, and number of gamma connections changed significantly over time. All metrics remained relatively stable from naïve to early drinking, and displayed significant changes following increased quantity of alcohol consumption. The assortativity coefficient was significantly less negative (p=.043), connection frequency increased (p=.03), and gamma connections increased (p=.034). Further, brain regions considered hubs (p=.037) and members of the Rich Club (p=.012) became less common across animals following the introduction of alcohol. The minimum degree of the Rich Club prior to alcohol exposure was significantly predictive of future free-access drinking (r=-.88,p<.001). Results suggest naïve brain network characteristics may be used to predict future alcohol consumption, and that alcohol consumption alters the topology of functional brain networks, shifting hubs and Rich Club membership away from previous regions in a non-systematic manner. Further work to refine these relationships may lead to the identification of a high-risk AUD phenotype.
Dynamic gene expression and growth underlie cell-to-cell heterogeneity inEscherichia colistress response
Authors: Sampaio Nadia M. V. , Blassick Caroline M. , Lugagne Jean-Baptiste , Dunlop Mary J.
Published: September 2020

Cell-to-cell heterogeneity in gene expression and growth can have critical functional consequences, such as determining whether individual bacteria survive or die following stress. Although phenotypic variability is well documented, the dynamics that underlie it are often unknown. This information is important because dramatically different outcomes can arise from gradual versus rapid changes in expression and growth. Using single-cell time-lapse microscopy, we measured the temporal expression of a suite of stress response reporters inEscherichia coli, while simultaneously monitoring growth rate. In conditions without stress, we found several examples of pulsatile expression. Single-cell growth rates were often anti-correlated with gene expression, with changes in growth preceding changes in expression. These expression and growth dynamics have functional consequences, which we demonstrate by measuring survival after challenging cells with the antibiotic ciprofloxacin. Our results suggest that fluctuations in gene expression and growth dynamics in stress response networks can have direct consequences for survival.
Cell-extrinsic effects in T cell acute lymphoblastic pre-leukemia stem cells mediated by EphA3
Authors: Zamora Adriana C. Pliego , Ranasinghe Hansini , Lisle Jessica E. , Huang Stephen , Wadlow Racheal , Scott Andrew M. , Boyd Andrew W. , Slape Christopher I.
Published: September 2020

Our recent study of a novel model of T-ALL pre-leukemic stem cells, the NUP98-HOXD13 (NHD13) mouse, showed that the abnormal self-renewal of these stem cells was dependent on Lyl1 yet, when Lyl1 was deleted, the T-ALL still developed. In the present study, we observe that the thymocytes in these mice also overexpress EphA3, and we characterise the thymocytes in NHD13-EphA3−/−mice. NHD13-EphA3−/−thymocytes retain their abnormal self-renewal activity demonstrated by their capacity to engraft following primary and secondary transplants. Strikingly, NHD13-EphA3−/−thymocytes fail to engraft upon the third serial transplant, whereas the NHD13 thymocytes engraft indefinitely. Seeking to explain this, we find that NHD13 DN2 thymocytes are capable of halting the normal differentiation process of incoming WT progenitor cells, and remarkably, this capacity is severely impaired in the absence of EphA3. Therefore EphA3 is not critical for engraftment, but is essential for enabling the halt in differentiation of neighbouring WT cells, which in turn allows the incumbent progenitors to remain longer in the thymus due to an absence of normal cell competition, a property that in itself has been demonstrated to be oncogenic. We suggest that pre-leukemic self-renewal in this model is a complex interplay of cell intrinsic and extrinsic factors, and that multiple redundant pathways to leukemogenesis are active in this model.
Phosphorylation of luminal region of the SUN-domain protein Mps3 promotes nuclear envelope localization during meiosis
Authors: Rao H. B. D. Prasada , Sato Takeshi , Challa Kiran , Fujita Yurika , Shinohara Miki , Shinohara Akira
Published: September 2020

During meiosis, protein ensembles in the nuclear envelope (NE) containing SUN- and KASH-domain proteins, called linker nucleocytoskeleton and cytoskeleton (LINC) complex, promote the chromosome motion. Yeast SUN-domain protein, Mps3, forms multiple meiosis-specific ensembles on NE, which show dynamic localisation for chromosome motion; however, the mechanism by which these Mps3 ensembles are formed during meiosis remains largely unknown. Here, we showed that the cyclin-dependent protein kinase (CDK) and Dbf4-dependent Cdc7 protein kinase (DDK) regulate meiosis-specific dynamics of Mps3 on NE, particularly by mediating the resolution of Mps3 clusters and telomere clustering. We also found that the luminal region of Mps3 juxtaposed to the inner nuclear membrane is required for meiosis-specific localisation of Mps3 on NE. Negative charges introduced by meiosis-specific phosphorylation in the luminal region of Mps3 alter its interaction with negatively charged lipids by electric repulsion in reconstituted liposomes. Phospho-mimetic substitution in the luminal region suppresses the localisation of Mps3 via the inactivation of CDK or DDK. Our study revealed multi-layered phosphorylation-dependent regulation of the localisation of Mps3 on NE for meiotic chromosome motion and NE remodelling.
The coiled-coil domain of glycosomal membrane-associatedLeishmania donovaniPEX14: cloning, overexpression, purification and preliminary crystallographic analysis
Authors: Shakya Anil Kumar , Pratap J. Venkatesh
Published: September 2020

The glycosomal membrane-associatedLeishmania donovaniprotein PEX14, which plays a crucial role in protein import from the cytosol to the glycosomal matrix, consists of three domains: an N-terminal domain where the signalling molecule binds, a transmembrane domain and an 84-residue coiled-coil domain (CC) that is responsible for oligomerization. CCs are versatile domains that participate in a variety of functions including supramolecular assembly, cellular signalling and transport. Recombinant PEX14 CC was cloned, overexpressed, affinity-purified with in-column thrombin cleavage and further purified by size-exclusion chromatography. Crystals that diffracted to 1.98 Å resolution were obtained from a condition consisting of 1.4 Msodium citrate tribasic dihydrate, 0.1 MHEPES buffer pH 7.5. The crystals belonged to the monoclinic space groupC2, with unit-cell parametersa = 143.98,b= 32.62,c= 95.62 Å, β = 94.68°. Structure determination and characterization are in progress.
Converging and diverging business model innovation in regional intersectoral cooperation–exploring wine industry 4.0
Authors: Dressler Marc , Paunovic Ivan
Published: September 2020

Purpose

Industry 4.0, the integrated digital process world in production, is an under researched area. Especially for the wine industry, 4.0 theoretical base up to date is weak, impeding further digital transformation of the wine industry. Some basic-level digital capabilities exist in most of the researched business models, which is why further digital transformation requires strategic redefining of business models in order to further transform the whole industry.

Design/methodology/approach

A qualitative research approach based on the concept of business model innovation (BMI) has been deployed in order to identify business models and consensus building between industry´s stakeholders. Semistructured interviews delivered primary data.

Findings

The diversity of existing business models in the wine industry as well regarding BMI is confirmed, where each one occupies a specific place in the innovation ecosystem for Industry 4.0.

Research limitations/implications

This qualitative research is exploratory and directed toward theory building. The findings confirm the importance of environmental scanning and market sensing for convergent technologies as well as the need to develop core value proposition.

Practical implications

This study has important implications for companies and their capabilities inside wine industry 4.0, while its main practical value being a systematical organization of weak signals to support small entrepreneurs’ transition to digitalization and Industry 4.0

Originality/value

The paper nourishes the theory on innovation trajectories for Industry 4.0 by including previously unidentified BMIs and a convergence–divergence continuum on the example of wine Industry 4.0.
Empirical Analysis on the Effectiveness of Complex hedging: The Case of Bituminous Coal Trading
Authors: Yun Won Cheol
Published: September 2020

This study suggests a complex hedge model for coal traders that simultaneously consider the risk factors of coal price. ocean freight rate and foreign exchange rate. In addition. it Quantitatively analyses the superiority of the complex hedge model compared to the conventional one in terms of return flow stabilization. According to the ex-post and the ex-ante empirical results, a separate hedge could stabilize the return flow‘ but this might not be the best solution. That is. a complex hedge would give a better result in terms of hedging effectiveness. Thus‘ one could improve hedging effects by fully considering the inherent variance-covariance relationship among multiple risk factors.
The Derivation of Invariance Principle and its Application to Financial Economics
Authors: Han Sang Il
Published: September 2020

The invariance principle known as the functional central limit theorem is the fundamental knowledge for understanding the convergence of a Markov chain to a diffusion process and has been applied to many areas of financial economics. The derivation of that principle from the properties of stochastic process is nasty (Billingsley, 1999). Following the approach of Gikhman and Skorokhod (2000) this study uses the properties of probability measures to simplify the proof of the principle. If the sequences of finite distributions on weakly converge then they are tight. Using this properties, the invariance principle was directly proved. As applications of this principle, I derived the statistic of unit root process and the convergence of the Cox et al. (1979) binomial option pricing model to the continuous time Black Scholes (1972) option pricing model.
A Study on the Efficiency in Korea Foreign Exchange Market
Authors: Kang Seok Kyu
Published: September 2020

This study is to examine the three theme of the eπiciency of Korea foreign exchange market including the unbiasedness testing, the relative efficiency estimates, and the information spillover efficiency. Data using the analysis 81’e won-dollar spot and futures in domestic and won-dollar forward in offshore. i.e.. New York and Singapore NDF (non-delivery forward).

The empirical results are summarized as follows: First. the efficient market or unbiasedness expectations hypothesis is not rejected in the won-dollar currency futures market apart from offshore New York and Singapore NDF markets. This indicates that the won-dollar futures price is likely to be an accurate indicator of future won-dollar spot prices without the trader having to pay a risk premium for the privilege of trading the contract. Second. the findings suggest the domestic won-dollar futures market is 13.58% efficient. the Singapore offshore won-dollar NDF market is 11.38% efficient. and the New York offshore won-dollar NDF market is 2.68% efficient. This indicates that the domestic won-dollar futures market is more efficient than the offshore won-dollar NDF market. It is therefore possible to conclude that the domestic currency futures price is a relatively successful predictor of the future spot price. Third. the findings suggest the information spillover exists between domestic won-dollar spot/futures market and offshore won-dollar New York NDF market in both direction. This indicates that the two markets are efficiently linked.
Futures and Option Prices After the Stock Market Close: Evidence from the Korean Markets
Authors: Lee Jae Ha , Kwon Sang Soo
Published: September 2020

In the KOSPI2oo futures and option markets. additional fifteen minutes (15 : 00∼15 개5) after the underlying stock market close are given tor the adjustments of the futures and option positions. During the first five minutes. 15: 00∼15 : 05. a continuous auction trading is made. while the trading at a single clearing price is made for the remaining ten minutes. 15: 05∼15: 15.

Previous studies focused on the synchronous trading in terms of transaction time in the analysis of the lead-lag relationship. truncating the futures and option data during 15 : 00∼15 : 15. In this article. we explore how the KOSPI2oo futures and option returns for the extra fifteen minutes impact the next day's KOSPI200 cash returns, We also examine the lead-lag relationship during the reggular trading hours (9 : 00∼15 : 00) and the impact of the cash returns during 14 : 20∼15 : 00 on futures and option returns during 15 : 00∼15: 15. Our main findings are summarized as follows.

First. the KOSPI200 futures and option returns during 15 : 00∼15 : 15 lead the close-to-open KOSPI200 cash return, even though the trading volume and return volatility during 15: 00∼15: 15 are lower relative to the regular stock market session (9 : 00∼15: 00). The impact of the futures and option returns on the cash return lasts hlK) minutes and one minute‘ repectively. after the next day open. Second. the option return during the continuous auction trading session (15 : 00∼ 15 : 05) leads the close-to-open cash return. while the futures return of trading at a single clearing price during 15 : 05∼15 : 10 impacts the close-to-open cash return. Third, we found that the lead-lag relationships among the KOSPI200 futures, option, and cash returns are not constant during the reg비ar stock market session‘ In partieular. the impact of the KOSPI200 cash ret un during 14 : 40∼15 : 00 on the futures and option retuns for the 15 : 00∼15: 15 Interval is much stronger. compared with other time zones.

Finally. the KOSPI200 cash return during the last ten minutes of trading at a Single clearing price (14 : 50∼15 : 00). significantly impacts the option return during 15: 00∼15: 05. while there is no impact on the futures return (15 : 00∼15: 15).
Information Content of Implied Volatilities in KRW/USD Currency Option Markets
Authors: Kang Byung Jin
Published: September 2020

This paper investigate the information content of implied volatilities derived from KRW/USD OTC currency options. First, we examined the explanatory power of implied volatilities in forecasting future realized volatilities of the spot exchange rates. Next, we examined the dynamic properties of volatility spreads, the difference between implied volatilities and realized volatilities, observed in KRW/USD currency option markets. Using the sample data from January 2006 through March 2010, we first find that even though the implied volatilities have a little explanatory power in forecasting future realized volatilities, they don't improve the information content of simple historical volatilities at all. Second, this paper finds that during the period before global financial crisis in 2008, the implied volatilities are consistently lower than the realized volatilities. This suggests that we cannot exclude the possibility of risk seeking behavior of the investors in KRW/USD OTC currency option markets at that time. Finally, from the comparative analysis with KOSPI 200 index options for the same sample period, we confirmed that our empirical results are uniquely observed only in KRW/USD OTC currency option markets.
The Response of Korean Stock Market and Market Participants to the Sub-Prime Mortgage Crisis
Authors: Chung Jay M.
Published: September 2020

We investigate how Korean stock market and its participants react to the sub-prime mortgage crisis. Using data for the ABX sub-prime index, we find strong evidence of information transmission from ABX to KOSPI and VKOSPI during 2007 sub-prime mortgage crisis period. Responding to the drop of ABX, domestic institutional investors buy, whereas foreign investors sell. Furthermore, we find KOSPI reacts to ABX less than the response implied by KOSPI response to S&P 500 and S&P 500 response to ABX, which are considered as an efficient channel of information transmission. This phenomenon occurs because domestic investors buy stocks as ABX drops, thus keeping KOSPI from responding fully to information on ABX. On the contrary, foreign investors sell stocks as ABX drops, which show that foreign investors play as a channel for sub‐prime mortgage information transmission. This evidence supports the hypothesis of Kho (2011) that foreign investors have an informational advantage over domestic investors on overseas information.
Does CDS Slope Predict Future Stock Returns? Evidence from the Korean Market
Authors: Kim Jungmu , Park Yuen Jung
Published: September 2020

We provide evidence that current CDS slope negatively predicts future stock returns over several months in the Korean market. The entire sample period covers January 2003 through June 2009. The empirical results are as follows. First, when constructing quartile portfolios based on the slope of CDS spreads, we find that predictive power of CDS slope lasts for seven months. In addition, the lower the CDS slope is, the higher average stock return is. Specifically, a slope-based strategy of buying the lowest slope and selling the highest slope makes profits over 2% each month. The profitability is statistically and economically significant even after controlling for some risk factors. We also find that the results are robust to various sub-samples, portfolio-weighting schemes, as well as the number of sorted portfolios. This abnormal return cannot be explained by standard risk factors, default risk, and expectation hypothesis.
An Analysis on the Stochastic Process underlying KOSPI200 Index Oprions Focused on Jumps Process
Authors: Eom Young Ho , Jang Woon Wook
Published: September 2020

This paper investigates empirically the modelling issues for the stochastic processes underlying KOSPI200 index options. Empirical results show that we need to incorporate two factor stochastic volatility processes to have a good option pricing performance. However, the number of the leverage channel is not an important issue for the modelling of the KOSPI200 index options. Our results also show that the models with finite activity large jumps outperform that with infinite activity small jumps for the financial crisis period. On the while, for the pre-crisis period, there is no clear superiority or inferiority between both jumps models.
Bank Loans and Maturity of Corporate Bond Issues
Authors: Song Hyungsang , Kim Bum J.
Published: September 2020

This paper studies the impact of bank monitoring on the maturity structure of corporate debt issues using Korean firms listed on Korea Exchange from 2005 to 2011. We show that a higher proportion of bank debt in the small and medium enterprises results in corporate debt of longer maturity. The close relationship between banks and SMEs creates information and alleviates information asymmetry problem of borrowing firms. However, banks less perform monitoring and screening as information creator in the relationship with big firms. Because big firms have information asymmetry less than SMEs, and they suffer less problems from information asymmetry when contracting debt. The Probit regression shows that the Bank-Firm relationship increases possibility of issuing corporate debt of longer maturity in SMEs, and it supports the results of regressions above.
Evidences for Price Discovery between On- and Off-shore Won/Dollar Spot, Forward and NDF FX Rate
Authors: Binh Ki Beom , Lee Sang-min , Lee Won Seop
Published: September 2020

Using Hasbrouck’s (1995, 2002) information share method, we examine the mutual price discovery dynamics among Won/Dollar spot, forward, and NDF exchange rates in on- and off-shore FX markets. Our findings include : (i) During the entire period, the mutual price discovery between on-shore FX market and off-shore NDF market are significantly led by on-shore Won-Dollar spot and forward exchange rates. (ii) Within the period around the global crisis, NDF exchange rates have mutual influence on the price discovery, which is expecially greater than the any other period. The results show Won-Dollar spot exchange rate fluctuations during the global crisis are greatly affected by external factors of the international financial markets. Not only that, but off-shore NDF trading promptly reflects the price information of KRW on the factors.
Mutual Fund Voting and Pension Ties : Evidence from Proxy Voting
Authors: Park Heejin
Published: September 2020

Because mutual funds are the largest equity holders and because the retirement assets that are managed by mutual funds have been growing, mutual fund managers may have more incentives to support management in order to attract and retain pension business. I explore whether pension business ties have an impact on voting behaviors of mutual funds by examining the link pension business ties between mutual funds and the firms to actual mutual fund voting outcomes. At the fund family level, I find a positive relation between pension ties and mutual funds’ voting support for management. This relation becomes stronger when there is a voting divergence among funds within the same families. At the individual fund level, I find that individual funds are more likely to vote with management if they are included as one of the investment options of the pension plan of their portfolio firms. This suggests that the SEC should at least consider the recent petition from the AFL-CIO proposing that the SEC require mutual funds to disclose business ties with the firms in which they invest.
Analysis on the Risk Return Profile of Alternative Assets Under Reference Portfolio Concept
Authors: Lee Su Jin , Cho Jin Wan , Lee Jae Hyun
Published: September 2020

This paper provides the methodology of estimating the risk-return relationship of alternative asset investments within the mean-variance framework. While conducting strategic asset allocation, most of the institutional investors do not take into account the risk-return relationship of alternative assets, or use arbitrary policy numbers that do not properly reflect the characteristics of alternative assets. This paper borrows the concept of reference portfolio in developing the methodology of estimating the risk-return relationship of alternative investments. The reference portfolio is the benchmark portfolio used in strategic asset allocation by pension funds. This can serve as the opportunity costs of alternative investments. We use the realized IRR’s from actual investments, and estimate the risk-return characteristics of alternative investments. We find that by properly estimating the mapping relationship between the reference portfolio and alternative asset classes, we can incorporate the risk-return profile of these non-market assets within the mean-variance framework together with the other traditional asset classes.
Forecasting the Currency Spot with the Trading Volume and the Trading Volume Volatility of Currency Futures in Won/Dollar FX Market
Authors: Chang Kook-Hyun , Yoon Byung-Jo
Published: September 2020

This paper tries to empirically investigate whether the information contained in trading volume, volume volatility of Won/Dollar currency futures may be statistically useful in forecasting currency spot return. This paper uses both the jump-diffusion GARCH model and the bivariate GARCH type BEKK model to estimate the trading volume volatility of currency futures and the volatility of currency spot, sampled daily during 1/4/2000~12/30/2009 period. According to the findings of this study, previous information contained in both trading volume and the volume volatility of Won/Dollar currency futures might be useful in explaining the future return of the currency spot.
A Study on the Price Discovery and Asymmetric Volatility Spillovers between Single-Stock Futures and Spot Markets: Focused on Korea‘s 4 Financial Holding Companies
Authors: Chung-Hyo Hong
Published: September 2020

This paper investigated the price discovery and asymmetric volatility spillover effects between single stock futures and spot markets. For this purpose we employ 4 largest Korean financial holding companies's daily data covering the period from May 7, 2008 to the end of December, 2010. We introduce the Nelson (1991)'s Exponential GARCH models and the major empirical results are as follows; First, according to Johansen co-integration test, there is a long run relationship between the level variables of 4 financial holding companies' futures and cash markets. Second, based on Granger causality test, 3 financial holding companies's futures contracts among 4 have an impact on the spot returns at a significant level. Third, financial holding companies' futures and spot markets are influenced at 10% to 27% by previous price changes of each market. Fourth, there is a asymmetric volatility spillover effects in 4 financial holding companies futures markets. From this result we infer that individual futures and spot markets in banking area are more sensitive to bad news than good news. These empirical results are consistent with the those of Sakthivel and Kamaiah (2010), Chan et al.(1991), Lien and Tse (2000), Yang et al.(2001) and from these results we infer that 4 single stock futures market are more efficient than those of there spot markets.
Estimating and Forecasting a Term Structure of Interest Rates with State-Space Nelson-Siegel Model
Authors: Song Joonhyuk
Published: September 2020

This paper estimates a Nelson-Siegel model under the state-space representation in order to circumvent the shortcomings of the conventional Nelson-Siegel model and evaluates the predictive ability of the estimated model. The results indicate that the estimated Nelson-Siegel time-varying three factors have close relations to their counterparts : level, slope and curvature and the inflection of the Korean yield curve is located around the maturity of 55-month. Meanwhile, each factor is found to have unit-root but differenced-factors do not show signs of unit-roots, hence proved I (1) series. In order to assess the efficacy of the estimated model, we compare the yield prediction from our model with several natural competitors : random walk, Fama-Bliss, and Cochrane-Piazzesi. With respect to out-of-sample performance, Fama-Bliss model proves to be the worst in term structure forecasts in Korea. The predictive performance differs between the random walk and the state-space Nelson-Siegel model depending on the forecast horizon lengths. At the shorter horizon, the state-space Nelson-Siegel model outperforms the random walk, but the table is turned in the longer horizon
A Study on the Strategic Application of Abnormal Risk-Return Relationship
Authors: Choi Youngmin , Yoon Bohyun
Published: September 2020

This paper focuses on the strategic application based on the empirical results of risk-return relationship against the classical concept. Empirical analysis from domestic data, we verify that the traditional concept-‘high risk, high return’ relationship are maintained, however, we confirm the falling pattern in the highest total volatility group. Even though we implies double sorting method to control the well known systematic factor such as BM and size, we still confirm such abnormal risk-return relationship. Furthermore, we perform sub-period analysis before and after the liberalization of Korean capital market and we find such abnormal risk-return relationship is appeared after the liberalization. Based on our empirical results, we establish and verify the new benchmark that evenly allocate highest volatility portfolio to sub-volatility portfolio. Under the new benchmark, we confirm the expansion of the efficient frontier and the improvement of Sharpe ratio. We believe that our results provide an applicability research of smart beta strategy and new benchmark based on such strategy. We expect our research to be used as preliminary study to overcome the era of “new normal” and to reform the investment strategies correspond to segmentation of benchmark.
The Influence of CME Futures Market on KRX Gold Market
Authors: Yeom Myeong-Hoon , Kim Jihun
Published: September 2020

KRX (Korea Exchange) gold market opened in March 2014 according to the government policy legalizing financial transactions, and traded one-gram unit of the real gold by Korean currency (KRW) in the exchange market. Despite the fact that KRX gold market showed the high efficiency in terms of tax and fee in contrast to the existing gold market, the studies on KRX gold market were scarcely performed until quite recently. This study introduce KRX gold market and shows the price discovery function of KRX gold market. Empirical analyses and the results were as follows. First, the return rate of CME gold futures at the t-1 day had a positive impact of significance on market rate of return of KRX gold market at the t day. Second, the KRX gold market also has price discovery function in global gold market. We analyze the efficiency of the KRX gold market by comparing the dollar spot price of gold in the KRX gold market and the price of CME gold futures. These results support the proper efficiency of the KRX gold market in terms of price discovery.
Effects of Introducing Equity-Linked Warrants on Stock Market Behavior
Authors: Ryu Doojin
Published: September 2020

This paper investigates the effects of introducing equity-linked warrants (ELWs) on the stock price, trading volume, volatility, and systematic risk (beta) by using the event study methodology. The study defines the event date as the announcement date as well as the listing date. In addition, whereas previous research has investigated only call ELWs, this study analyzes the effects of introducing both call and put ELWs.

The results provide no evidence of hedging effects of issuers before the announcement dates and information effects after the announcement dates. In addition, we can't find any significant changes of variables associated with the market completeness hypothesis near the listing dates.

However, the trading volume of the stock tends to increase in the days immediately following the listing of call ELWs, which may be due to the “informed trading effect”. The empirical results also provide support for the “diminishing short-sales restrictions” hypothesis related to the listing of put ELWs, which implies that short-sale restrictions can be reduced because put ELWs can provide investors with short positions in the underlying stock.
Effect of Prepayment and Call Limit on the Duration of CMO (Multi-tranche MBS): Full vs. Partial Pass-Through Structure
Authors: Park Yun Woo , Bang Doo Won
Published: September 2020

Residential mortgage loans as well as the MBS (mortgage-backed security), which securitizes these loans, are exposed to prepayment risk. We examine the effect of prepayment process on the duration of the CMO (multi-tranche MBS). In particular, we examine the effect of partial pass-through where there is a call limit expressed as a percentage of initial tranche balance. Due to the absence of empirical research on the CMO duration, neither the actual CMO duration nor the determinants of the CMO duration have been reported. Our study reports the actual CMO duration and the determinants of the CMO duration. By showing that the CMO duration is much shorter than the nominal time-to-maturity we point to the need to search for longer duration MBS structures. We find that in both the deterministic and stochastic interest rate environments duration is reduced as prepayment speed rises and duration rises as call limit decreases.

We make contribution to the literature by shedding light on the effect of prepayment and call limit on the duration of multi-tranche MBS. In particular, this research characterizes the impact of the partial pass-through structuring approach on the CMO duration as well as CMO pricing. Finally, it assists CMO investors in better assessing and managing reinvestment risks of pass-through products.
The Integrity Effect on Municipal Bonds
Authors: Song Hyungsang , Rhee Joonhee
Published: September 2020

We study whether the integrity of local governments has effects on municipal bond coupon rate. We conjecture that higher integrity is associated with lower bond coupon rate. One of proxies for the integrity is the integrity index which Anti-Corruption and Civil Rights Commission of Korea announces annually. The high degree of the index implies high integrity. We also use the number of crimes by local government officials as the integrity measure. Empirical results show that Increasing a unit of integrity is equivalent to decreasing 0.34% of municipal coupon bond. The sensitivity of the integrity to municipal bond coupon rate is stronger before 2007-2008 financial crisis, when the coupon rate was higher, than after the crisis. Overall, our results imply that local governments could save financing cost by improving the integrity of the governments.
Call-Put Volatility Spreads and Option Returns in the KOSPI 200 Index Options Market
Authors: Kim So Jung , Yoon Sun-Joong
Published: September 2020

This study analyzes whether KOSPI200 option returns can be predicted by call-put implied volatility spreads. Doran et al. (2013) show that call-put implied volatility spreads predict the option returns of a specific moneyness as well as underlying asset returns in the US options market. Our study examines whether the same results are shown in the KOSPI200 options market, which has different characteristics in investor compositions and trading behaviors. According to the results, the call-put implied volatility spreads cannot predict the future returns of the underlying index significantly in the KOSPI200 options market. Only, the call-put spreads can predict the future option returns. More specifically, the increase in implied volatility spreads is able to predict the decrease in call option returns and the increase in put option returns in the KOSPI200 options market. This supports the overreaction hypothesis in all ranges of option moneyness, which is in contrast to the result of Doran et al. (2003).
Fund Manager Replacement and Manipulative Portfolio Management : Application of Contract Theory and Empirical Analysis of Fund Market in Korea The Determinants of Idiosyncratic Volatility
Authors: Kim Heonsoo , Chong Byung-Uk
Published: September 2020

This paper examines the effect of fund manager replacement on investment performances of mutual funds. In managerial labor market of mutual fund industries with information asymmetry about the type and action of a fund manager, separating compensation may not be achievable due to imperfect evaluation of performances of fund managers. This paper extends contract theory to model the situations where a mutual fund offers pooling compensation contract to a fund manager based on his reputation. Under these environments, the fund manager has an economic incentive to acquire private benefit by manipulating performances and then to turn over to other mutual fund. Fund manager’s replacement is an aspect of adverse selection in the managerial labor market of fund industries. That is, a fund manager with low ability can select and manipulate unsuccessful investment portfolio generating loss to fund while he turns over to hide himself in the reputation under pooling contract mechanism. The empirical analysis of this paper provides the significant evidence that, differently from those of mutual funds of which managers stay in the same mutual funds, the fund performances drop after the fund managers turn over to other mutual funds. These empirical evidences support the theoretical prediction that the fund managers have incentive to manipulate short-term performances to maintain reputation for acquiring favorable compensation contracts.
Analysis on the Effect of Price Discovery in Mini Derivatives : The Case of KOSPI200 Mini Options
Authors: Lee Woo–baik
Published: September 2020

The KOSPI200 mini options market, introduced in July 2015, is a market where the trading multiplier is reduced to one-fifth of the regular options. This study shows that the price discovery effect of the original options and the mini options estimated by the vector error correction model (VECM) and Hasbrouck's information share (1995, 2003), based on the regular options-mini options arbitrage and the options-spot arbitrage. The results of the empirical analysis are summarized as follows. First, in the price discovery between the regular options and the mini options, regular options dominate mini options at a statistically significant level. Second, mini options tend to lead the spot, which is stronger than the regular options. Therefore, the regular options and the mini options show asymmetrical behavior in the price discovery process of the spot, opposite to each other and are interpreted as alternative derivatives in terms of investment strategy. Considering the immaturity of mini options market established during the sample period, the price discovery is efficient even though the trading activity in the mini options is lower than that of the regular options.
Korean Firms’ Allocation of Cash Flow
Authors: Park Jin , Suh Jungwon , Choi Heejung
Published: September 2020

This study investigates where Korean firms allocate cash flow. Our sample consists of listed firms in the KOPSI section of Korea Exchange over the period 2001-2016. Our estimation based on a system of equations shows that the largest use of Korean firms’ cash flow is repaying debt, followed by buttressing cash reserves and financing investment. On average, Korean firms allocate 38.5% of cash flow to repaying debt (specifically, 27.3% to paying off short-term debt and 11.2% long-term debt), 32.1% to buttressing cash reserves and 21.5% to financing investment. After dividing the sample into financially constrained and unconstrained firms (based on dividends, firm size or bond ratings), we find that financially constrained firms use more of cash flow in financing investment but less of it in reducing long-term debt (or total debt) than financially unconstrained firms do. As a result, the negative relation—that is, substitution—between cash flow and external finance (primarily long-term debt issuance) is less strong for financially constrained firms than it is for financially unconstrained firms. This finding is consistent with Almeida and Campello’s (2010) result from their U.S. study.