发布求助
文献互助 智能选刊 最新文献

Korean Journal of Financial Studies最新文献

筛选
英文 中文
Does Bitcoin Contribute to Portfolio Performance? 比特币对投资组合业绩有贡献吗?
Korean Journal of Financial Studies Pub Date : 2022-12-31 DOI: 10.26845/kjfs.2022.12.51.6.665
Byoung-Chun Lim, Sol Kim, Ingoo Han
{"title":"Does Bitcoin Contribute to Portfolio Performance?","authors":"Byoung-Chun Lim, Sol Kim, Ingoo Han","doi":"10.26845/kjfs.2022.12.51.6.665","DOIUrl":"https://doi.org/10.26845/kjfs.2022.12.51.6.665","url":null,"abstract":"This study analyzes the role of Bitcoin as an investment asset in a global multi-asset portfolio. For portfolio construction, we use a risk-based portfolio strategy that excludes estimates of future expected returns. We derive the optimal asset allocation ratio of Bitcoin included in the global multi-asset portfolio and compare the performance with the general portfolio. We find that the average investment weight of Bitcoin in the portfolio is 1.8%, and the portfolio containing Bitcoin shows superior investment performance compared to the portfolio without Bitcoin.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"2008 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130714918","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
Cryptoasset Returns: Statistical Properties and Implications for Asset Allocations 加密资产回报:统计属性及其对资产配置的影响
Korean Journal of Financial Studies Pub Date : 2022-10-31 DOI: 10.26845/kjfs.2022.10.51.5.635
Hyemin Kim, Noolee Kim
{"title":"Cryptoasset Returns: Statistical Properties and Implications for Asset Allocations","authors":"Hyemin Kim, Noolee Kim","doi":"10.26845/kjfs.2022.10.51.5.635","DOIUrl":"https://doi.org/10.26845/kjfs.2022.10.51.5.635","url":null,"abstract":"We examine Bitcoin returns’ statistical properties and check whether these properties are consistent with the well-known stylized facts of asset returns for the period from January 2019 to May 2022. We find that Bitcoin exhibits price behaviors that correspond well to all the stylized facts of asset returns examined in the analyses. We also examine the returns of Tesla stock, NASDAQ index, and S&P500 index for comparison and find that they generally conform to the stylized facts examined. However, Tesla stock does not exhibit an asymmetric volatility feature, and the two indices show significant autocorrelations in low order time lags, which are inconsistent with the well-known stylized facts of asset returns. Based on these findings, we discuss the possible implications of cryptoassets for asset allocation processes. Cryptoassets provide some potential utilities for asset allocations, but only with several simultaneous limitations.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"203 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127675593","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
Analysis of Changes in the Soundness of Korean Stocks after Capital Market Opening: Focusing on Role and Identification of Long-term Equilibrium Variables 资本市场开放后韩国股票稳健性变化分析——基于长期均衡变量的作用与识别
Korean Journal of Financial Studies Pub Date : 2022-10-31 DOI: 10.26845/kjfs.2022.10.51.5.523
Yun-Yeong kim
{"title":"Analysis of Changes in the Soundness of Korean Stocks after Capital Market Opening: Focusing on Role and Identification of Long-term Equilibrium Variables","authors":"Yun-Yeong kim","doi":"10.26845/kjfs.2022.10.51.5.523","DOIUrl":"https://doi.org/10.26845/kjfs.2022.10.51.5.523","url":null,"abstract":"This study examines and evaluates changes in the soundness of Korean stock prices by classifying the financial and global financial crises after the 1990s, when the capital market was first opened. The criteria for judging soundness include whether stock prices are determined by long-term equilibrium variables, whether there is a trend among non-long-term equilibrium variables, and whether long-term equilibrium variables of overseas stocks are identified during the Korean stock price determination process. Further, a co-integration test is performed using the VAR model which comprises the stock prices from Korea and the United States, and their long-term economic equilibrium variables. Furthermore, a transformation error correction model with a VAR type consisting of differences and cointegration errors in Korean stock prices is derived. Accordingly, the trend of long-term equilibrium variables is estimated using the Beveridge-Nelson decomposition of Korean stock prices. Furthermore, a test for its presence is performed. According to the empirical analysis conducted using monthly Korean data; the influence of the long-term equilibrium variable trend in the Korean economy tends to increase the stock prices following a financial crisis.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"11 17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134245256","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
Market Reaction to the Introduction of K-IFRS 1116 市场对K-IFRS 1116的反应
Korean Journal of Financial Studies Pub Date : 2022-10-31 DOI: 10.26845/kjfs.2022.10.51.5.571
Jong-seo Choi, Jeong-Mo Kim
{"title":"Market Reaction to the Introduction of K-IFRS 1116","authors":"Jong-seo Choi, Jeong-Mo Kim","doi":"10.26845/kjfs.2022.10.51.5.571","DOIUrl":"https://doi.org/10.26845/kjfs.2022.10.51.5.571","url":null,"abstract":"This study examines the Korean stock market reaction to the introduction of K-IFRS 1116 (IFRS 16 equivalent) which effectively eliminates the operating lease and requires all lease contracts to be considered as finance leases. An event study is conducted whereby abnormal returns around the standard announcement are examined in conjunction with selected firm characteristics. We find that the level of operating lease usage and extent of financial constraint are negatively associated with the market reaction following the announcement of the K-IFRS 1116. However, an interaction effect between the two variables is found to be absent. Additionally, we find that this negative market reaction to financial constraint is mostly led by severely financially unhealthy firms that disregard operating lease usage. We interpret the results of operating lease usage and financial constraint to demonstrate the effects of the deprival of off-balance-sheet benefits and an expectation adjustment in investors' perceived future cash flow prospects, respectively. These findings are consistent with the impact of capitalizing leases on financial ratios and risk assessment of affected companies. We contribute to the literature and practice by providing evidence on the market participants' perception of the implementation of revised lease accounting standards.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125025888","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
How to Promote ESG in Private Equity 如何在私募股权中推广ESG
Korean Journal of Financial Studies Pub Date : 2022-10-31 DOI: 10.26845/kjfs.2022.10.51.5.543
Jungsik Noh
{"title":"How to Promote ESG in Private Equity","authors":"Jungsik Noh","doi":"10.26845/kjfs.2022.10.51.5.543","DOIUrl":"https://doi.org/10.26845/kjfs.2022.10.51.5.543","url":null,"abstract":"This study examines ESG in private equity and discusses the methods to promote ESG in private equity investment. Given that private equity investment has a relatively long investment period and is actively engaged in the management of the portfolio company, it can play an important role in the development of ESG. ESG in private equity can be applied across all investment stages such as deal sourcing, investment decision, ownership, and exit. The empirical analysis based on global PEF data found that ESG in private equity shows risk management effects. To promote ESG in private equity, I propose a clear definition of ESG goals for LPs, consideration of ESG factors when selecting GPs, creating value through ESG due diligence, ESG-based active engagement, and collaboration in ESG investing. I hope that this study will help market participants understand ESG in private equity investment and provide useful information on the development of ESG in the Korean private equity investment industry.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"1221 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121817247","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
Do Korean Pension Guidelines Improve Firms’ Management Efficiency? 韩国养老金准则是否提高了企业的经营效率?
Korean Journal of Financial Studies Pub Date : 2022-10-31 DOI: 10.26845/kjfs.2022.10.51.5.611
Ha Eun Ahn, J. Hong
{"title":"Do Korean Pension Guidelines Improve Firms’ Management Efficiency?","authors":"Ha Eun Ahn, J. Hong","doi":"10.26845/kjfs.2022.10.51.5.611","DOIUrl":"https://doi.org/10.26845/kjfs.2022.10.51.5.611","url":null,"abstract":"This study examines whether Korean pension guidelines that limit the payment of director show practical policy effectiveness by improving corporate management efficiency. Specifically, this study examines stickiness of pay to determine whether opportunistic executive payment existed in firms where executive pay was above 50% of articles of incorporation, before the announcement of the Korean pension guidelines. Further, we examine how executive pay stickiness has changed after the implementation of Korean pension guidelines to check whether they have been effective in improving corporate management efficiency. We use data from 2011 to 2019 and determine that, prior to the announcement of Korean pension guidelines, firms who paid above 50% of articles of incorporation showed higher executive payment stickiness. This suggests that these firms had a more opportunistic payment structure. However, this stickiness disappears after the announcement of Korean pension guidelines in 2020, suggesting that the Korean pension guidelines for executive pay show policy effectiveness. However, in 2020, the majority of decision-making within firms was affected by the global pandemic; therefore, there exists a need for additional research using a sample unaffected by the impact of the pandemic.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130776200","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 Best Option Pricing Model for KOSPI 200 Weekly Options KOSPI 200周期权的最佳期权定价模型
Korean Journal of Financial Studies Pub Date : 2022-10-31 DOI: 10.26845/kjfs.2022.10.51.5.499
Sol Kim
{"title":"The Best Option Pricing Model for KOSPI 200 Weekly Options","authors":"Sol Kim","doi":"10.26845/kjfs.2022.10.51.5.499","DOIUrl":"https://doi.org/10.26845/kjfs.2022.10.51.5.499","url":null,"abstract":"This study finds the best option pricing model for KOSPI 200 weekly options. It examines the in-sample pricing, out-of-sample pricing and hedging performances of the short-term options with a maximum maturity of seven days or less, which have not been analyzed in previous studies. The Black and Scholes (1973) model, Ad Hoc Black-Scholes model, and stochastic volatility and jumps models are compared. As a result, one of the Ad Hoc BlackScholes models, the absolute smile model using the strike price as an independent variable shows the best performance. However, its performance is not significantly different from that of the Black and Scholes (1973) model. In the early days of the KOSPI 200 weekly options market, it is confirmed that the Black and Scholes (1973) model continues to show the excellent performance in pricing and hedging options.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126768238","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
ESG Fund Labels Matter: Portfolio Holdings, Flows, and Performance. ESG基金标签很重要:投资组合持有量、资金流和业绩。
Korean Journal of Financial Studies Pub Date : 2022-08-31 DOI: 10.26845/kjfs.2022.08.51.4.447
Myounghwa Sim, Hee-Eun Kim
{"title":"ESG Fund Labels Matter: Portfolio Holdings, Flows, and Performance.","authors":"Myounghwa Sim, Hee-Eun Kim","doi":"10.26845/kjfs.2022.08.51.4.447","DOIUrl":"https://doi.org/10.26845/kjfs.2022.08.51.4.447","url":null,"abstract":"This study investigates whether environmental, social, and governance (ESG) funds have distinct features from conventional funds based on holdings-based ESG scores, flows, and performance. We find that ESG funds have significantly higher ESG scores than conventional funds; ESG funds with higher scores significantly weaken flow-performance sensitivity; and their scores are negatively associated with risk-adjusted future performance. However, there is no evidence to support better selection skills among ESG fund investors than among non-ESG fund investors. By conducting a comprehensive analysis, this study suggests that ESG funds have distinct fund attributes, and thus, “ESG” is not a mere marketing rhetoric in the Korean fund market.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121975100","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: 2
Is There a Greenium in Korean Bond Markets?: An Empirical Analysis of Bond Secondary-Market Trading Data* 韩国债券市场复苏了吗?:债券二级市场交易数据的实证分析*
Korean Journal of Financial Studies Pub Date : 2022-08-31 DOI: 10.26845/kjfs.2022.08.51.4.383
Haksoon Kim, Hee-Joon Ahn
{"title":"Is There a Greenium in Korean Bond Markets?: An Empirical Analysis of Bond Secondary-Market Trading Data*","authors":"Haksoon Kim, Hee-Joon Ahn","doi":"10.26845/kjfs.2022.08.51.4.383","DOIUrl":"https://doi.org/10.26845/kjfs.2022.08.51.4.383","url":null,"abstract":"We examine the secondary-market bond trading data from May 2018 to December 2021 to see if there exists a green premium or ‘greenium’ in Korean bond markets. We employ two empirical approaches — a matched sample analysis that compares green bonds with matched conventional bonds of similar characteristics, and a regression model that controls for the fixed effects related to issuer, maturity, credit rating, and trading year and month. We find the existence of a greenium in Korean debt markets with strong chronological trends. The greenium is observed prior to the outbreak of the Covid-19 pandemic but disappears during the outbreak period. The greenium then reappears distinctly after the government’s declaration of carbon neutrality near the end of Year 2020. Our study is the first that empirically examines the existence of green premium in the Korean bond markets based on a reasonably large sample size. The strong greenium reported in our study justifies the existence and expansion of green bond markets in Korea. It also offers valuable additional evidence to the academic discourse on green premium in global debt markets.","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132399513","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
ESG and Managerial Agency Problems* ESG和管理代理问题*
Korean Journal of Financial Studies Pub Date : 2022-08-31 DOI: 10.26845/kjfs.2022.08.51.4.417
Seong-Jun Jeong, Dong Beom Choi
{"title":"ESG and Managerial Agency Problems*","authors":"Seong-Jun Jeong, Dong Beom Choi","doi":"10.26845/kjfs.2022.08.51.4.417","DOIUrl":"https://doi.org/10.26845/kjfs.2022.08.51.4.417","url":null,"abstract":"Criticism of conventional shareholder supremacy triggered urges for incorporating the stakeholder perspective and the Environmental(E), Social(S) and Governance(G) issues in managerial decisions. However, the corporations in Korea still lack proper corporate governance to protect shareholder benefits from managerial agency problems. In that case, adopting vague, not readily assessable objectives may lead to a lack of managerial accountability and exacerbate the agency problem. We find that Tobin’s Q of firms without good governance declined when their environmental and social ratings improved, suggesting “E,” “S,” and “G” are not independent. Corporations should prioritize establishing","PeriodicalId":121772,"journal":{"name":"Korean Journal of Financial Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128982690","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信
小红书