In this article we set up a real option model of retail shopping center leases. The model incorporates the effects of stochastic sales externalities and the possibility of tenant default, and in the presence of these effects, we derive and solve a partial differential equation that can be used...

The present study is an attempt to quantify the agglomeration risk in retail shopping centers. We accept that consumers are attracted to a shopping center in proportion to the mass of the anchor tenant. Nonetheless we feel it important to allow this attraction to be stochastic with its time...

A hedge fund's capital structure is fragile because uninformed fund investors are highly loss sensitive and easily withdraw capital in response to bad news. Hedge fund managers, sharing common investors and interacting with each other through market price, sensitively react to other funds'...

The authors theoretically analyze the efficiency of liquidity flows in stabilizing distressed markets. Their analysis focuses on the incentives for financial institutions; specifically, they focus on arbitrage profit as an incentive and liquidity risk as a disincentive. The authors show that...

Purpose – In this study, we investigate determinants of hedging with derivatives and its effect on firm value and firm risk for Korean firms. Design/methodology – To avoid the endogeneity problem pointed out in previous studies, we use a two-stage analysis by using gains and losses from...

Understanding mortgage termination behavior is crucial for valuating mortgage-backed securities. Analyzing a unique loan-level dataset, this study examines the characteristics of mortgage prepayment and default behaviors in the Korean housing and housing finance markets. We also analyze mortgage...