Seonmul yeongu最新文献

The performance distribution and managerial skill of passive funds: evidence from the Korean market 被动型基金的业绩分布和管理技巧:来自韩国市场的证据

Seonmul yeongu Pub Date : 2023-10-20 DOI: 10.1108/jdqs-05-2023-0009

Jaeram Lee, Changjun Lee

引用次数: 0

Network-based measures of systemic risk in Korea 韩国基于网络的系统性风险测度

Seonmul yeongu Pub Date : 2023-06-14 DOI: 10.1108/jdqs-07-2022-0018

Jaewon Choi, Jieun Lee

{"title":"Network-based measures of systemic risk in Korea","authors":"Jaewon Choi, Jieun Lee","doi":"10.1108/jdqs-07-2022-0018","DOIUrl":"https://doi.org/10.1108/jdqs-07-2022-0018","url":null,"abstract":"The authors estimate systemic risk in the Korean economy using the econometric measures of commonality and connectedness applied to stock returns. To assess potential systemic risk concerns arising from the high concentration of the economy in large business groups and a few export-oriented sectors, the authors perform three levels of estimation using individual stocks, business groups, and industry returns. The results show that the measures perform well over the study’s sample period by indicating heightened levels of commonality and interconnectedness during crisis periods. In out-of-sample tests, the measures can predict future losses in the stock market during the crises. The authors also provide the recent readings of their measures at the market, chaebol, and industry levels. Although the measures indicate systemic risk is not a major concern in Korea, as they tend to be at the lowest level since 1998, there is an increasing trend in commonality and connectedness since 2017. Samsung and SK exhibit increasing degrees of commonality and connectedness, perhaps because of their heavy dependence on a few major member firms. Commonality in the finance industry has not subsided since the financial crisis, suggesting that systemic risk is still a concern in the banking sector.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135859758","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

Price Momentum in Korea and the Effect of Investors’ Trading 韩国的价格动量和投资者交易的影响

Seonmul yeongu Pub Date : 2019-08-31 DOI: 10.1108/jdqs-03-2019-b0004

Kyoim Lee

{"title":"Price Momentum in Korea and the Effect of Investors’ Trading","authors":"Kyoim Lee","doi":"10.1108/jdqs-03-2019-b0004","DOIUrl":"https://doi.org/10.1108/jdqs-03-2019-b0004","url":null,"abstract":"This study investigates domestic individual, institutional and foreign investors’ trading, to test Hong and Stein (1999)’s behavioral explanation that momentum profit is generated as some uninformed investors underreact to information on medium-term prices. Using Hvidkjaer (2006)’s methodology, we examine the respective investors’ trading tendencies reflected in their active price-setting orders. We analyze a special database compiling details on every transaction for the stocks listed on the KSE during 1996:12~2009:08. During 2001~2007, individual investors’ underreaction in trading large-size winner stocks contributes to positive momentum profits. They seem to induce weak negative profits to emerge in 1997~2000, too. Foreign investors underreact to small-size loser stocks, incurring positive momentum profits during 2001~2007. They engage in positive feedback trading, when they trade large-size winner stocks. This trading tendency does not seem to be based on information on firm fundamentals, as we find those winner stocks’ returns are not sustained. Institutional investors’ trading seems to be relatively in line with future returns, but evidences are not strong enough to support they are informed investors. Overall, the behavioral hypothesis on investors’ underreaction seems to explain medium-term momentum profits in Korea, but evidences differing across subsamples suggest possibility of other unknown influences.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42331973","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

Research on the American Call Options on the Stocks Paying Multiple Dividends 美国多次派息股票的看涨期权研究

Seonmul yeongu Pub Date : 2019-08-31 DOI: 10.1108/jdqs-03-2019-b0001

Kwangil Bae

引用次数: 0

Fee Structures of Outsourced CIO and the Operational Efficiency 外包首席信息官的费用结构与运营效率

Seonmul yeongu Pub Date : 2019-08-31 DOI: 10.1108/JDQS-03-2019-B0002

Sun‐Joong Yoon, Sangki Lee

引用次数: 3

The Effects of Corporate Governance on CEO Compensation 公司治理对CEO薪酬的影响

Seonmul yeongu Pub Date : 2019-05-31 DOI: 10.1108/jdqs-02-2019-b0002

Myounggu Lee, Jin S. Kim

{"title":"The Effects of Corporate Governance on CEO Compensation","authors":"Myounggu Lee, Jin S. Kim","doi":"10.1108/jdqs-02-2019-b0002","DOIUrl":"https://doi.org/10.1108/jdqs-02-2019-b0002","url":null,"abstract":"The purpose of this study is to find the effects of corporate governance on executive compensation using the sample of Korean manufacturing firms listed on the Korea Exchange (KRX) from 2005 to 2012. In order to do that, this study extends empirical models of Core et al. (1999), Fahlenbrach (2009), Giroud and Mueller (2011), and finds the following results. First, internal corporate governance negatively affects executive compensation, implying that a good corporate governance can prevent outrageous compensation to top executives with poor performance. On the other hand, the interactions between internal and external corporate governance mechanisms have mixed results. While the first interaction has little impact on executive compensation, the second interaction among three different mechanisms has a positive and statistically significant impact. These results imply that while internal corporate governance and product market competition works against executive compensation, labor union may be in the same boat with managers in terms of compensation. Unlike most previous studies based on one-dimensional approach, this study investigates interactions among various corporate governance mechanisms. Overall results have a few important economic and social implications. Because internal corporate governance works as an effective mechanism, policymakers should find ways to make internal control mechanisms as independent as possible.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43306640","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

Analyzing the Network Structure of Spillover Connectedness Across Index Futures Markets During Market Distress Periods 市场萧条时期指数期货市场溢出连接的网络结构分析

Seonmul yeongu Pub Date : 2019-05-31 DOI: 10.1108/jdqs-02-2019-b0001

S. Kang

引用次数: 0

Analysis on the Risk Return Profile of Alternative Assets Under Reference Portfolio Concept 参考投资组合概念下另类资产的风险收益分析

Seonmul yeongu Pub Date : 2019-05-31 DOI: 10.1108/jdqs-02-2019-b0003

Su-Jin Lee, 조진완, Jae-Hyun Lee

引用次数: 2

Strategies for Improving V-KOSPI 200 Index 改善kospi指数的对策

Seonmul yeongu Pub Date : 2019-01-01 DOI: 10.1108/jdqs-01-2019-b0001

Taehun Kang

{"title":"Strategies for Improving V-KOSPI 200 Index","authors":"Taehun Kang","doi":"10.1108/jdqs-01-2019-b0001","DOIUrl":"https://doi.org/10.1108/jdqs-01-2019-b0001","url":null,"abstract":"The study examines not only the methods for eliminating stale or abnormal prices but also strategies for enhancing liquidity in the KOSPI 200 index options market, for compensating the defects of V-KOSPI 200. First, introducing market making scheme in the KOSPI 200 options market can be the direct solution to prevent temporary fluctuations and spikes of the index arising from abnormal orders and to alleviate unnatural low variability (level) of the index through decreasing the use of stale market prices (model prices). Second, if weekly options underlying KOSPI 200 index are available for trading and investor interest in the weeklys are surged, Korea Exchange can enhance V-KOSPI 200 to include series of KOSPI 200 weekly options. The inclusion for at least 5~6 weekly options available for trading allow V-KOSPI 200 to be calculated with KOSPI 200 index option series that most precisely match the 30-day target time-frame for expected volatility that the Index is intended to represent. Along with these strategies for enhancing liquidity in the KOSPI 200 index options market, the study suggests the methodology which can prevents temporary fluctuations and spikes of the index by substituting stale or abnormal prices for normal prices.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"62075466","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

Investor Attention and Expected Return 投资者关注和预期回报

Seonmul yeongu Pub Date : 2019-01-01 DOI: 10.1108/jdqs-01-2019-b0002

J. Chae, 이은정, 이유경

引用次数: 1