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Journal of Derivatives and Quantitative Studies: 선물연구最新文献

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Do technical trading rules outperform the simple buy-and-hold strategy in the cryptocurrency market? 在加密货币市场中，技术交易规则是否优于简单的买入并持有策略？
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-11-22 DOI: 10.1108/jdqs-08-2023-0021
JunHyeong Jin, JiHoon Jung, Kyojik Song
{"title":"Do technical trading rules outperform the simple buy-and-hold strategy in the cryptocurrency market?","authors":"JunHyeong Jin, JiHoon Jung, Kyojik Song","doi":"10.1108/jdqs-08-2023-0021","DOIUrl":"https://doi.org/10.1108/jdqs-08-2023-0021","url":null,"abstract":"The authors test the weak-form efficiency in cryptocurrency markets using the most recent and comprehensive data as of 2021. The authors apply various technical indicators to take a long or short position on 99 cryptocurrencies and compare the 10-day returns based on the technical trading strategies to the simple buy-and-hold returns. The authors find that the trading strategies based on single indicators or the combination of two indicators do not generate higher returns than buy-and-hold returns among cryptos. These findings suggest that cryptocurrency markets are weak-form efficient in general.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"172 ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139249217","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Retail investors and overpricing of left-tail risk: evidence from the Korean stock market 散户与高估左尾风险:来自韩国股市的证据
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-09-12 DOI: 10.1108/jdqs-04-2023-0008
Jungmu Kim, Y. Park, T. Truong
{"title":"Retail investors and overpricing of left-tail risk: evidence from the Korean stock market","authors":"Jungmu Kim, Y. Park, T. Truong","doi":"10.1108/jdqs-04-2023-0008","DOIUrl":"https://doi.org/10.1108/jdqs-04-2023-0008","url":null,"abstract":"The authors examined whether stocks with higher left-tail risk measures earn higher or lower futures returns. Specifically, the authors estimate the cross-sectional principal component of a battery of left-tail risk measures and analyze future returns on stocks with high principal component values. In contrast to finance theories on the risk–return trade-off relationship, the study results show that high left-tail risk stocks have lower future returns. This finding is robust to various left-tail risk measures and controls for other risk factors. Moreover, the negative relationship between the left-tail risk and returns is more pronounced for stocks that are actively traded by retail investors. This empirical result is consistent with behavioral theory that when investors make decisions based on experience, they tend to underweight the likelihood of rare events.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128759033","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
National cultures and the asset growth effect 民族文化与资产增长效应
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-09-08 DOI: 10.1108/jdqs-12-2022-0028
Robin K. Chou, Kuan‐Cheng Ko, S. G. Rhee
{"title":"National cultures and the asset growth effect","authors":"Robin K. Chou, Kuan‐Cheng Ko, S. G. Rhee","doi":"10.1108/jdqs-12-2022-0028","DOIUrl":"https://doi.org/10.1108/jdqs-12-2022-0028","url":null,"abstract":"National cultures significantly explain cross-country differences in the relation between asset growth and stock returns. Motivated by the notion that managers in individualistic and low uncertainty-avoiding cultures have a higher tendency to overinvest, this study aims to show that the negative relation between asset growth and stock returns is stronger in countries with such cultural features. Once the researchers control for cultural dimensions, proxies associated with the q-theory, limits-to-arbitrage, corporate governance, investor protection and accounting quality provide no incremental power for the relation between asset growth and stock returns across countries. Evidence of this study highlights the importance of the overinvestment hypothesis in explaining the asset growth anomaly around the world.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"167 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114737581","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Effectiveness of debt modification system in Korea 韩国债务修改制度的有效性
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-07-19 DOI: 10.1108/jdqs-02-2023-0003
Kye moon Lee, Junesuh Yi
{"title":"Effectiveness of debt modification system in Korea","authors":"Kye moon Lee, Junesuh Yi","doi":"10.1108/jdqs-02-2023-0003","DOIUrl":"https://doi.org/10.1108/jdqs-02-2023-0003","url":null,"abstract":"This study aims to examine the effectiveness of the debt modification system (DMS) in Korea. We find that DMS does have a positive effect in increasing the credit scores and annual income of DMS users. We also find that a debt management plan (DMP) is more effective in raising credit scores than personal rehabilitation (PR). However, the credit scores of DMS users in the first half of 2019 (551.1–626.1 points) are at a very low level, making it difficult to access low-interest unsecured loans from banks. Therefore, DMS in Kores is still insufficient to support the return of debt-ridden consumers to normal financial life and provide opportunities for a fresh start.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127356796","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Comparison of the trading strategies and market impact costs of the National Pension Service's internal and external management 国民年金制度内外管理之交易策略与市场冲击成本之比较
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-07-11 DOI: 10.1108/jdqs-12-2022-0027
Yunsung Eom, M. Woo
{"title":"Comparison of the trading strategies and market impact costs of the National Pension Service's internal and external management","authors":"Yunsung Eom, M. Woo","doi":"10.1108/jdqs-12-2022-0027","DOIUrl":"https://doi.org/10.1108/jdqs-12-2022-0027","url":null,"abstract":"As of May 2022, the National Pension Service of Korea is the world's third-largest pension fund, with assets worth KRW912tn (approximately $US800bn). Of the KRW152tn (approximately $US133bn) invested in domestic equities, 45% is outsourced to external asset managers. Given the absence of prior research on the National Pension Service's (NPS's) management method, this study analyzes its trading strategies and market impact according to the fund management method from 2005 to 2022. The results are as follows: First, the stock characteristics selected by internal management using passive strategies are different from those selected by external management, in which various strategies are combined. Second, the contrarian investment strategy, which acts as a market stabilizer, is a characteristic of the external management trading pattern, while internal management increases volatility and does not improve liquidity. Third, there has been a change in the internal management strategy since 2016, when the fund management headquarters was relocated. This study is practically significant and distinctive in that it confirms the differences between the NPS's two investment methods in terms of trading strategies and market impact.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130768073","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do competent managers increase labor productivity? Evidence from Korea 称职的管理者能提高劳动生产率吗?来自朝鲜的证据
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-07-06 DOI: 10.1108/jdqs-01-2023-0002
Donghwan Ahn, Shiyong Yoo, Seungho Cho
{"title":"Do competent managers increase labor productivity? Evidence from Korea","authors":"Donghwan Ahn, Shiyong Yoo, Seungho Cho","doi":"10.1108/jdqs-01-2023-0002","DOIUrl":"https://doi.org/10.1108/jdqs-01-2023-0002","url":null,"abstract":"This study investigates the effect of managerial ability on labor productivity by analyzing various methods in the firm-year panel data of listed firms in South Korea from 2002 to 2019. Managerial ability was analyzed using the measurement method of Demerjian et al. (2012), while labor productivity was analyzed using value-added and sales. The authors find that managerial ability has a positive effect on labor productivity. In other words, the productivity of employees improves with the appointment of a manager with higher abilities. The study’s findings suggest that firms should consider managerial ability as a means of improving labor productivity.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129358538","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Is OCIO superior in asset allocation performance? OCIO在资产配置表现上是否更胜一筹?
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-05-23 DOI: 10.1108/jdqs-12-2022-0029
Myung-Hwi Kang, Inwook Song, Seiwan Kim
{"title":"Is OCIO superior in asset allocation performance?","authors":"Myung-Hwi Kang, Inwook Song, Seiwan Kim","doi":"10.1108/jdqs-12-2022-0029","DOIUrl":"https://doi.org/10.1108/jdqs-12-2022-0029","url":null,"abstract":"This study aims to empirically analyze the asset allocation capabilities of Outsourced Chief Investment Officers (OCIOs) in Korea. The empirical analysis used data from 35 funds that were evaluated by the Ministry of Strategy and Finance from 2012 to 2020. The results of the analysis are summarized as follows. First, this study found that funds that adopted OCIO improved their asset allocation performance. Second, the sensitivity between risk-taking and performance decreased for funds that adopted OCIO. Third, it is found that OCIO adoption improves a fund's asset management execution (tactical capabilities). This study has methodological limitations in which the methodology used in this study is not based on theoretical prior research, but on practical applications. However, considering the need to clearly analyze the capabilities of OCIO and the timeliness of the topic, this study is valuable and can provide meaningful information to funders who are considering adopting OCIO in the future.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130656012","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The impact of ESG rating disagreement on corporate value ESG评级分歧对企业价值的影响
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-05-22 DOI: 10.1108/jdqs-01-2023-0001
Ryumi Kim, Bonhak Koo
{"title":"The impact of ESG rating disagreement on corporate value","authors":"Ryumi Kim, Bonhak Koo","doi":"10.1108/jdqs-01-2023-0001","DOIUrl":"https://doi.org/10.1108/jdqs-01-2023-0001","url":null,"abstract":"The authors examine the effect of split environmental, social and governance (ESG) ratings on information asymmetry, corporate value and trading behavior. The authors test the risk-based hypothesis and the optimism-bias hypothesis on the relationship between diverging opinions and future stock prices. The authors results show that split ESG ratings is positively related to idiosyncratic volatility, an alternative measure for information asymmetry. Further, the negative effect of split ESG ratings on cumulative abnormal return under short-selling constraints is consistent with the optimism bias hypothesis. The authors find a negative relationship between split ESG ratings and the net purchase ratio (NPR) of pension funds. Considering that the NPR is a direct measure of net demand, ESG disagreement may hinder socially responsible investing (SRI) in a firm. This study directly demonstrates the negative effect of ESG disagreement on firm value and investment by Korea's National Pension Service (NPS). The results offer valuable insights into policymakers, as the wide divergence in ESG ratings requires urgent attention to expand SRI.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130052681","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Time-varying preferences for ESG investments: evidence from an emerging market ESG投资的时变偏好:来自新兴市场的证据
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-03-21 DOI: 10.1108/jdqs-11-2022-0025
Eunyoung Cho
{"title":"Time-varying preferences for ESG investments: evidence from an emerging market","authors":"Eunyoung Cho","doi":"10.1108/jdqs-11-2022-0025","DOIUrl":"https://doi.org/10.1108/jdqs-11-2022-0025","url":null,"abstract":"This paper aims to examine the time-varying preferences for environment, social and corporate governance (ESG) investing in an emerging market. The investors seek ESG-conscious investments during a positive economic outlook, reflecting the time-varying nature of ESG demand. Specifically, the author shows that high-ESG stocks have negative abnormal returns during bad economic times but turn into positive abnormal returns in good economic times. The author also suggests that the alpha spread between high-ESG and low-ESG stocks is larger in good economic times than in bad times. Furthermore, individual investors prefer high ESG scoring stocks in good economic times. The author highlights that this ESG premium is shaped by economic projection and the households' financial wealth.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"70 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113999691","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Investment strategy via analyst report text mining 通过分析报告文本挖掘投资策略
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-03-17 DOI: 10.1108/jdqs-09-2022-0022
Cheol-Won Yang
{"title":"Investment strategy via analyst report text mining","authors":"Cheol-Won Yang","doi":"10.1108/jdqs-09-2022-0022","DOIUrl":"https://doi.org/10.1108/jdqs-09-2022-0022","url":null,"abstract":"The recommendation of the analyst report is not only limited to a small number of ratings, but also biased toward a buy opinion with the absence of sell opinion. As an alternative to this, this paper aims to extract analysts' textual opinions embedded in the report body through text analysis and examine the profitability of investment strategies. Analyst opinion about a firm is measured by calculating the frequency of positive and negative words in the report text through the Korean sentiment lexicon for finance (KOSELF). To verify the usefulness of textual opinions, the author constructs a calendar-time based portfolios by the analysts' textual opinion variable of each stock. When opinion level is used, investment strategy has no significant hedged portfolio return. However, hedged portfolio constructed by opinion change shows significant return of 0.117% per day (2.57% per month). In addition, the hedged return increases to 0.163% per day (3.59% per month) when the opening price is used instead of closing price. This study show that the analysts’ opinion extracted from text analysis contains more detailed spectrum than recommendation and investment strategies using them give significant returns.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129277901","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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