bluuebunny/crossref_metadata_2025_split huggingface dataset:
From population to neuron: exploring common mediators for metabolic problems and mental illnesses
Authors: Takayanagi Yoichiro , Ishizuka Koko , Laursen Thomas M. , Yukitake Hiroshi , Yang Kun , Cascella Nicola G. , Ueda Shuhei , Sumitomo Akiko , Narita Zui , Horiuchi Yasue , Niwa Minae , Taguchi Akiko , White Morris F. , Eaton William W. , Mortensen Preben B. , Sakurai Takeshi , Sawa Akira 
Published: September 2020

ABSTRACTMajor mental illnesses such as schizophrenia (SZ) and bipolar disorder (BP) frequently accompany metabolic conditions, but their relationship is still unclear, in particular at the mechanistic level. We implemented an approach of “from population to neuron”, combining population-based epidemiological analysis with neurobiological experiments using cell and animal models based on a hypothesis built from the epidemiological study. We characterized high-quality population data, olfactory neuronal cells biopsied from patients with SZ or BP, and healthy subjects, as well as mice genetically modified for insulin signaling. We accessed the Danish Registry and observed (1) a higher incidence of diabetes in people with SZ or BP and (2) higher incidence of major mental illnesses in people with diabetes in the same large cohort. These epidemiological data suggest the existence of common pathophysiological mediators in both diabetes and major mental illnesses. We hypothesized that molecules associated with insulin resistance might be such common mediators, and then validated the hypothesis by using two independent sets of olfactory neuronal cells biopsied from patients and healthy controls. In the first set, we confirmed an enrichment of insulin signaling-associated molecules among the genes that were significantly different between SZ patients and controls in unbiased expression profiling data. In the second set, olfactory neuronal cells from SZ and BP patients who were not pre-diabetic or diabetic showed reduced IRS2 tyrosine phosphorylation upon insulin stimulation, indicative of insulin resistance. These cells also displayed an upregulation of IRS1 protein phosphorylation at serine-312 at baseline (without insulin stimulation), further supporting the concept of insulin resistance in olfactory neuronal cells from SZ patients. Finally,Irs2knockout mice showed an aberrant response to amphetamine, which is also observed in some patients with major mental illnesses. The bi-directional relationships between major mental illnesses and diabetes suggest that there may be common pathophysiological mediators associated with insulin resistance underlying these mental and physical conditions.
SATB homeobox 1 regulated genes in the mouse ectoplacental cone are important for placental development
Authors: Chakravarthi V. Praveen , Borosha Shaon , Ratri Anamika , Ghosh Subhra , Wolfe Michael W. , Rumi M. A. Karim 
Published: September 2020

ABSTRACTSATB homeobox 1 (SATB1) is abundantly expressed in the stem-state of trophoblast cells but downregulated during trophoblast differentiation. It is also expressed in high levels in the mouse ectoplacental cones (EPCs). We detected that SATB1 is involved in maintaining the self-renewal of trophoblast stem cells and inhibiting trophoblast differentiation. In this study, we have identified SATB1-regulated genes in the mouse EPC and analyzed their potential functions. A total of 1618 differentially expressed genes were identified inSatb1nullEPCs by mRNA sequencing. Remarkably 90% of the differentially expressed genes were found to be upregulated inSatb1nullEPCs suggesting a transcriptional repressor role of SATB1 in mouse trophoblast cells. Ingenuity Pathway Analyses demonstrated that the differentially expressed genes inSatb1nullEPCs are particularly linked to WNT and TGFβ signaling pathways, which regulate self-renewal of stem cells and cell differentiation. Moreover, twenty-six of the EPC genes that are known to be involved in placental development includingEomes, Epas1, Fgfr2, Cdkn1c, andPlac9were found dysregulated inSatb1nullEPCs due to the loss of SATB1 expression. These genes are particularly involved in the formation of labyrinthine zone. Our results emphasize that SATB1-regulated genes in the mouse EPC contribute to key roles in the regulation of trophoblast differentiation and placental development.
Taught resilience programmes: a case study from the perspective of employees of a large pharmaceutical company based in the UK
Authors: Costello Frances 
Published: September 2020

PurposeResearch was undertaken to understand whether taught resilience programmes which highlight the protective factors of resilience would impact individual resilience outcomes. The research focussed on specific resilience dimensions, change agility, physical, emotional and mental resilience, purpose in life and recovery; in an attempt to bridge the gap in understanding whether it is possible through taught programmes to improve resilience through the creation of new habits.Design/methodology/approachThe research was conducted using interpretative phenomenological analysis methods and used semi-structured interviews with 12 participants to understand participants lived experience of a one-day personal resilience programme, conducted within a private global manufacturing organisation.FindingsThe research found that all 12 participants interviewed 12–18 months post-programme made sustainable habits changes increasing personal resilience levels. Participants built new habits into their everyday lives, in the physical dimension exercising more regularly, taking breaks, changes in nutrition and creating better sleep patterns. Through increased understanding of emotional intelligence participants were able to react more favourably to adverse situations and through mental increased resilience focus achieve work and home priorities. In understanding the change journey participants found that they were able to move more quickly through the change cycle. Almost all participants found understanding their life purpose difficult and were not able to give a conclusive answer to what this might be, they found that attending the programme helped reflection in this dimension.Originality/valueThe paper includes an overview of previous resilience research but differs in its examination of the impact of a specific taught resilience programme in a large private sector organisation using IPA methodology.
Comparing sentiment measures in mutual fund performance
Authors: Bu Qiang , Forrest Jeffrey 
Published: September 2020

PurposeThe purpose of this study is to investigate whether the direct and indirect sentiment measures are similar in explaining mutual fund performance.Design/methodology/approachThe authors examine the role of direct and indirect sentiment measures on fund performance in two scenarios. One is when a sentiment measure is added to market models, and the other is when it used independently. Also, the authors propose a system science theory to explain the findings.FindingsThe authors find that both direct and indirect sentiment measures are integral to the benchmark models to explain fund performance. However, while the explanatory power of the direct sentiment index is robust when used independently or collectively, the indirect sentiment measures can explain fund performance only when used along with other market factors.Originality/valueGiven the number of sentiment measures, it is critical to determine whether these measures contain the same information of sentiment. This paper represents the first study on this topic.
Analysis on the Characteristics and Fair Value of “Option CP”
Authors: Won Seung Yeon 
Published: September 2020

Much debate was brought forth during the South Korean credit card companies' liquidity crisis in 2003. This paper is an in-depth analysis of those credit card issuers' option embedded commercial paper (mentioned as ‘option CP’ henceforth). The main purpose of this paper is in evaluating the ‘option CP's fair value, with the decomposition and analysis on ‘option CP’.
Option CP is stipulated as a CP joined by an OTC credit derivative product. The structure is set so that anyone of the two options, put options and call options, will be executed.
Therefore, the price of option CP excluding the credit option portion will be equal to that of the standard coupon bond at the same maturity.
However, empirical evidence shows otherwise. The evidence clearly states that the option CP yield rates were generally quoted lower than the fair-value rates, even if option premium of credit option portion was included in calculating the value. This evidence has an implication that ‘option CP’s rates are generally issued and traded with unfair value. This paper has significance that it made valuation model of ‘option CP’ and evaluated its fairness, by way of the in-depth analysis of option CP which has not been before.
Estimation of the Size of the Settlement Fund of the Korean Securities and Derivatives Markets Utilizing Stress Tests
Authors: Kim Yu Kyung 
Published: September 2020

The Korean securities and derivatives markets, which offer such internationally renowned products as KOSPI 200 futures and options, along with proliferation of such derivative securities as ELS have offered an opportunity for investors to manage risk and select investment products for all different future prospects. However, if the market was to face with a shock in the magnitude of, for instance, the Black Monday of October 1987, possibly the market may trap into total confusion as the increased demand for portfolio insurance could enlarge the volatility of both cash and derivatives markets‘
In this paper we estimate the amount of settlement fund required in the Korean securities and derivatives markets via stress testing if the market falls into an extreme case of vulnerability. The required settlement fund was estimated using two step procedures. Firstly, we estimate market risk applying three different approaches, namely, 99% VaR. EVT and the historical time periods when the market exhibited extreme volatility. We found that from six member companies to as many as 16 companies could face settlement failures, which are represented by having the operating-income-to-capital ratio of less than 100%.
Secondly‘ after estimating each company's settlement amount and summing them to forecast the aggregate amount of settlement fund, it was found that at maximum 350 billion won was required for settlement fund. However, as OTC products become more popular in the near future, the required settlement fund will be larger. Especially if the CCP takes over the OTC market in terms of settlement and clearing, it is expected that the emergency settlement requirement will even become larger.
Comparative Analysis on the Hedging Effectiveness Among Domestic Currency Futures Contracts
Authors: Yun Won Cheol 
Published: September 2020

This study empirically compares the hedging performances of the newly listed Japanese yen (JPY) and European euro (EUR) currency futures in the KRX relative to that of the us dollar (USD) currency futures. For this purpose, assuming the situation of foreign-asset investment the minimum variance hedging models based on OLS and ECM are compared with a simple 1: 1 hedge. The difference between previous studies and this one is in that the latter uses various kinds of hedging performance measures and analyzes the hedging performances by different hedging horizon. According to the empirical results, the USD currency futures outperforms the JPY and EUR currency futures when considering the risk only.
However, the results are reversed wilen incorporating the return as well as the risk. With respect to the comparative advantages among hedging types, the ECM-hedge turns out to be better than the others for evaluating the risk only, and the 1: 1 hedge proves to be superior to the others when considering both of the return and risk aspects. Based on the risk-reduction aspect. the hedging performances are gradually improving as the length of hedging period increases, while they deteriorate for considering both the return and risk aspects.
The Unbiasedness and Hedging Effectiveness in KOSPI200 Futures Market
Authors: Kang Seok Kyu 
Published: September 2020

This study is to examine the unblasedness hypothesis and hedging effectiveness in KOSPI20() futures market. The unbiasedness and efficiency hypothesis is carried out using a cointegration methodology. And hedging effectiveness is measured by comparing hedging performance of the naive hedge model, OLS hedge model. and constant correlation bivariate GARCH (1. 1) hedge model based on rolling windows. The sample period covers from May. 3. 1996 to December. 8, 2005.
The empirical results are summarized as follows: First, there exists the cOintegrating relationship between realized spot prices and futures prices of the 10 day. 22 day. 44 day. and 59 day prior to maturity. Second. futures prices of backward the 10 day. 22 day. 44 day from maturity provide unbiased forecasts of the realized spot prices. The KOSPI200 futures price is likely to predict accurately future KOSPI200 spot prices without the trader having to pay a risk premium for the privilege of trading the contract. Third. for shorter maturity. the futures price appears to be the best forecaster of spot price. Forth, bivariate GARCH hedging effectiveness outperforms the naive and OLS hedging effectiveness.
The implications of these findings show that KOSPI200 futures market behaves as unbiased predictor of future spot price and risk management instrument of KOSPI200 spot portfolio.
Fractal Interest Rate Model without Ito Formula
Authors: Rhee Joon Hee 
Published: September 2020

Empirical findings on interest rate dynamics imply that short rates show some long memories and non-Markovian. It is well-known that fractional Brownian motion (IBm) is a proper candidate for modelling this empirical phenomena. IBm. however. is not a semimartingale process. For this reason. it is very hard to apply such processes for asset price modelling.
Without using Ito formula, we investigate the IBm interest rate theory‘ We obtain a pure discount bond price. and Greeks by using Malllavin calculus.
Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities
Authors: Jang Bong-Gyu , Lim Sang-Gyu , Lee Ho-Seok 
Published: September 2020

We investigated term structure models for commodity prices to value derivative-linked securities (DLS) traded in Korea. We especially highlighted geometric Brownian motion (GBM) model considering a convenience yield and Schwartz model reflecting mean-reverting property.
One of key characteristics of the paper is that this paper provides theoretical models for multi underlying assets and the model combining GBM model and Schwartz model. Furthermore, it gives us an analysis for quanto adjustment which occurs in the valuation of DLS. In case of GBM model, quanto adjustment seems to be relatively simple by adjusting a constant ratio to risk-free interest rate. Unlike GBM model, we find out that, in case of Schwartz model, such adjustment can be achieved only when the stochastic process of foreign exchange rate is considered.
After having valuation, both models show stable results for DLS prices using WTI index as an underlying asset. However, they results in outcomes, which are relatively not stable, on valuing DLS written on multi underlying assets including nickel.
Style Analysis and Its Application of Domestic Mutual Funds
Authors: Kho Bong Chan , Chang Uk , Choi Youngsoo 
Published: September 2020

We illustrate empirically the use of return-based style analysis for domestic stock funds. We search the optimal style model according to the tracking errors, investigate the consistency of the fund style for the optimally selected model, and finally investigate the relationship between fund styles and their fund performance. We use weekly fund return data of domestic stock funds from January 2, 2002 to June 30, 2008, and do style analyses based on the various style indices. The major findings are as follows.
Firstly, we find that the style index models with constraint which in practice restricts short sale are better than those with no such constraint. Secondly, we find that the style index model which divides stock market with four categorized indices based on the dimension of size and book-to market and includes the bond market index is the most useful if they are evaluated based on the out-of-sample tracking errors. While adding the Fama-French 3 factors to the selected model does not improve the explanation power, adding the industry sector indexes improves the explanation power. Thirdly, we investigate the consistency of the fund style models and find that the better performing funds are more volatile in the change of the fund style. Fourthly, we find that, contrary to the expectation that the growth-oriented funds perform better than the value-oriented one, the fund performance and style are observed to be mixed. This finding shows that the fund styles are frequently changed according to their performances and market conditions.
Information Contents of Open Interest Value Ratio about KOSPI 200 Index Return
Authors: Kim Sol , Park Hye-Hyun 
Published: September 2020

This paper investigates the lead-lag relationship between the call-put options open interest value ratio and the KOSPI 200 Index returns. In addition, we tried to find whether the open interest value ratio has the information contents about KOSPI 200 Index return. When estimating call-put options open interest value ratio, we use Chen, Lung, and Tay (2005, 2009) models. The sample period covers from January 5, 1998 to December 28, 2006 with the closing price returns of KOSPI 200 Index and the open interest of the KOSPI 200 options. We use statistical methodology such as VAR (vector autoregressive model), Granger causality test, impulse response and variance decomposition model for the dynamic empirical tests.
Followings are the major findings and implications drawn from the empirical analysis of the Korean options market. Most previous researches claims that options open interest can provide the information contents to estimate the KOSPI 200 spot price movement. However, unlike the results of most previous researches, we found that the call-put options open interest value ratio does not have the information contents predicting the KOSPI 200 index return where as KOSPI 200 spot price leads the call-put options open interest value ratio.
Analysis on the Hedging Effectiveness of KIKO Currency Options
Authors: Choi Byungwook 
Published: September 2020

This article explores the hedging effectiveness of KIKO options by using the mean-variance analysis of Markowitz and by comparing three hedge measures such as Sharpe hedging effectiveness measure proposed by Howard and D’Antonio (1987), Fishburn (1977)’s measure, and Ederington (1979)’s. which calculates the degree to which the rate of return per unit of risk increases and total volatilty and down-side risk of hedged portfolio diminishes respectively. This paper differs from the previous researches in that this research first assumes that the firms hold the same value of dollar amount as that of short calls at each of settlement dates, and secondly this article performs multiple period of analysis instead of single period.
This paper finds first that the hedging effectiveness of KIKO options is not better than that of currency forward contract in making a reduction of the total volatility and down-side risks of hedged portfolio. Secondly the hedge effectiveness is the highest at the first settlement date but it plunges when the time passes by, which is mainly due to the fact that the value of in-the-money put decreases, but that of out-of-the-money call increases as the time to maturity increases. Thirdly, it is found that another KIKO option with the equal premium shows even better hedging performance than the original KIKO in three aspects of hedging effectiveness. In conclusion, the KIKO turns out to be a lemon.
The Volatility Dynamics of the Global REITs Market
Authors: Lee Min A , Chang Kook Hyun 
Published: September 2020

This paper tries to estimate the dynamic linear latent factor model (DLLFM) with jump in order to find jump risk, heteroscedasticity and time varying correlations in Global REITs Markets.
Using five major Global Reits rates such as the United States, Japan, the United Kingdom, Australia and Hong Kong form January 4, 2000 to June 29, 2018, this study finds the evidence of common factor and time-varying correlations in addition to the country-specific idiosyncratic risk.
According to the main estimated results of this paper, approximately 60% of the common factors of global REITs market risk. Can be explained by global stock markets.
Second, REITs market integration among five countries seems to have been increasing gradually since Global Financial Crisis.
Estimating the Term Structure of Interest Rates and Default Risk Embedded in Korean Corporate Bonds
Authors: Kang Jang Koo , Kim Sung Hwan , Han Chul Woo 
Published: September 2020

This article uses a Kalman filter to fit yields of investment-grade corporate bonds to the model of instantaneous default risk, based on Duffee (1999. Review of Financial Studies. 12. PP. 197-226). The first part of this article fits the term structure of default-free interest rates to a translated two-factor square-root diffusion model. The parameters in the two-factor model are estimated by using a quasi-maxirnum-likelihood estimator in a state-space model in the Korean treasury bond market. A Kalman filter is used to estimate the unobservable factors.
The two-factor model successfully incorporates random variations in the slope of the term structure and the level of interest rates‘ After estimating the default-free term structure of interest rates, the second part of this article extends the model to noncallable corporate bonds‘ This is done by assuming that the probability of default follows a translated square-root diffusion process with the possibility of being correlated with default-free interest rates. The parameters of the process are estimated for investment-grade corporate bonds including AM. AA, A. and BBB. Empirical results show that the default risk is negatively correlated with default-free interest rates and confirm that the default risk is greater for lower grades. In addition, the estimated model successfully produces the term structures of credit spreads for corporate bonds and show that the credit spreads for lower grade bonds are more steeply sloped than those for higher grade bonds. These results show that Duffee's model can reasonably account for the observed corporate bond prices in the Korean bond market.
Empirical Study on the Maturity Structures of the Volatility in the KOSPI200 Index and Futures Returns
Authors: Yoon Jong In 
Published: September 2020

This study analyzes the maturity structure of the volatility in the KOSPI200 index and futures returns. Using bivariate GARCH model, we obtain the empirical evidences that the maturity structure of the volatility is U-shaped unlike the well-known Samuelson effect. Remarkably. U-shaped structures are found not only in the futures market but also in the spot market These evidences imply that returns are more volatile around tile futures maturity date in both markets.
Some explanations are suggested about U-shaped maturity structures. First, under Samuelson hypothesis it is possible to show that the volatilities are high around the maturity date because of the volatility clustering and the volatility spill-over. Second, we try the regression of the volatility on variables such as the proportion of the individual investors, the foreign investors, and the program trading. These variables are U-shaped or inverse U-shaped due to the remaining maturity. Only before 2000, it is found that the proportions of the foreign investors and the program trading are compatible with U-shaped volatility structures.