Seonmul yeongu最新文献_第2页

The Volatility Dynamics of the Global REITs Market 全球房地产投资信托基金市场的波动动态

Seonmul yeongu Pub Date : 2019-01-01 DOI: 10.1108/jdqs-01-2019-b0004

K. Chang, 이민아

引用次数: 0

The Impact of Credit Rating Change on Investor Sentiment 信用评级变动对投资者情绪的影响

Seonmul yeongu Pub Date : 2019-01-01 DOI: 10.1108/jdqs-01-2019-b0003

Doojin Ryu, Karam Kim, Heejin Yang

引用次数: 0

Cross-Section of Expected Returns Based on Equity Duration 基于股权存续期的预期收益横截面

Seonmul yeongu Pub Date : 2019-01-01 DOI: 10.1108/jdqs-03-2019-b0003

Sungjeh Moon, 송준혁

引用次数: 3

Economic Benefits of Derivatives for Long Term Investments-Equity Linked Securities 长期投资衍生品的经济效益-股票挂钩证券

Seonmul yeongu Pub Date : 2019-01-01 DOI: 10.1108/jdqs-02-2019-b0004

Byunghoon Kang

{"title":"Economic Benefits of Derivatives for Long Term Investments-Equity Linked Securities","authors":"Byunghoon Kang","doi":"10.1108/jdqs-02-2019-b0004","DOIUrl":"https://doi.org/10.1108/jdqs-02-2019-b0004","url":null,"abstract":"In this paper, we examined the economic benefits of derivatives in the aspect of investment assets. Our study differs from previous studies in that it analyzed the differences in the economic benefits of derivatives between for short term investors and for long term investors, and focused on the equity linked securities (ELS) rather than plain vanilla derivatives. We found the following results from the analysis over 1 to 20 years of investment horizons for four different types of equity linked securities, including ‘Auto-callable ELS’, ‘Knock-out ELS’, ‘Digital ELS’ and ‘Reverse Convertible ELS.’ First, equity linked securities contribute to improving the performance of the optimal portfolio for most investors, except for some investors who have extremely low degrees of risk aversion. Second, these economic benefits of equity linked securities are consistently observed regardless of investment horizon. Third, investment demand for equity linked securities is higher for investors with a medium-level of risk aversion rather than for aggressive or conservative investors. In addition, equity linked securities are mainly used as substitutes for risk-free bonds rather than risky assets (i.e., stocks). Finally, most of our results are still valid even when different market environments are assumed or alternative decision rules are used to derive investors’ optimal portfolio.","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":"62075575","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

The Impact of the Foreign Financial Accounts Reporting Acts on the Capital Flows from Tax Havens 外国金融账户申报法对避税地资本流动的影响

Seonmul yeongu Pub Date : 2018-11-30 DOI: 10.1108/jdqs-04-2018-b0003

Cheol-Won Yang, Hong-Jong Cho

{"title":"The Impact of the Foreign Financial Accounts Reporting Acts on the Capital Flows from Tax Havens","authors":"Cheol-Won Yang, Hong-Jong Cho","doi":"10.1108/jdqs-04-2018-b0003","DOIUrl":"https://doi.org/10.1108/jdqs-04-2018-b0003","url":null,"abstract":"The Foreign Financial Accounts Reporting was introduced for the purpose of preventing tax evasion and illegal acts through foreign financial accounts of Koreans. On December 27, 2010, it was newly established in “The Law for the Coordination of International Tax Affairs” and received its first report in June 2011, the following year. The system was further strengthened after three revisions. The first amendment was enforced from January 2012 after it took place on December 31, 2011. Thereafter, revisions and enforcement proceeded simultaneously in January 2013 and January 2014. This paper evaluates the performance of the system for four years from 2011 to 2014. In addition, we examined the effect of institutional implementation and changes on tax haven investors through empirical analysis using Korean stock market data. Assuming that Koreans disguised as foreigners participate in Korean stock trading through an anonymity of tax haven, this system will work to shrink the flow of capital from tax haven investors to other countries. Panel regression analysis using capital flows by country found that the transaction activity of tax havens decreased as compared to other countries after introducing and strengthening the acts.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48772334","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

Information Content of Skewness Risk Premium 偏斜风险溢价的信息内容

Seonmul yeongu Pub Date : 2018-11-30 DOI: 10.1108/jdqs-04-2018-b0001

Seok Goo Nam, Byunghoon Kang

{"title":"Information Content of Skewness Risk Premium","authors":"Seok Goo Nam, Byunghoon Kang","doi":"10.1108/jdqs-04-2018-b0001","DOIUrl":"https://doi.org/10.1108/jdqs-04-2018-b0001","url":null,"abstract":"The variance risk premium defined as the difference between risk neutral variance and physical variance is one of the most crucial information recovered from option prices. It does not, however, reflect the asymmetry in upside and downside movements of underlying asset returns, and also has limitation in reflecting asymmetric preference of investors over gains and losses. In this sense, this paper decomposes variance risk premium into downside - and upside-variance risk premium, and then derives the skewness risk premium and examines its effectiveness in predicting future underlying asset returns. Using KOSPI200 option prices, we obtained the following results. First, we found out that the estimated skewness risk premium has meaningful forecasting power for future stock returns, while the estimated variance risk premium has little forecasting power. Second, by utilizing our results of skewness risk premium, we developed a profitable investment strategy, which verifies the effectiveness of skewness risk premium in predicting future stock returns. In conclusion, the empirical results of this paper can contribute to the literature in that it helps us understand why variance risk premium, in most global markets except the US market, has not been successful in forecasting future stock returns. In addition, our results showing the profitability of investment strategies based on skewness risk premium can also give important implications to practitioners.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45664149","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 Price Discovery Effect in the Single Stock Futures Market 单一股票期货市场的价格发现效应分析

Seonmul yeongu Pub Date : 2018-11-30 DOI: 10.1108/jdqs-04-2018-b0002

Woo–baik Lee

{"title":"Analysis of Price Discovery Effect in the Single Stock Futures Market","authors":"Woo–baik Lee","doi":"10.1108/jdqs-04-2018-b0002","DOIUrl":"https://doi.org/10.1108/jdqs-04-2018-b0002","url":null,"abstract":"This paper examines the price dynamics in the single stocks futures and spot markets. In order to enhance the liquidity of the stock futures market, Korea Exchange introduced the liquidity provider in 2014, and exempted the securities transaction taxes on stocks sold for hedging purposes of liquidity provider from 2015. This study performed a vector error correction model (VECM) based on spot-futures market linkage to evaluate the effectiveness of the liquidity policy by examining the difference in the price discovery around the event. The main empirical analysis results are summarized as follows. First, a statistically significant sample of price discovery over the entire period was evident in the interrelationship between spot and futures. This implies that stock futures have information effect equivalent to spot price, which is different from the previous studies in which futures lead the spot price discovery significantly as in the case of KOSPI200 futures market. Second, the tendency of feedback between spot and futures is consistent in price discovery even after introduction of liquidity provider and exemption of securities transaction tax. Overall, empirical results suggest that the effectiveness of the stock futures market policy is limited during the sample period and the additional measures to enhance the long term activation are needed.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45202646","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 Liquidity and Momentum Profits : Evidence from the Korean Stock Market 市场流动性和动量利润:来自韩国股市的证据

Seonmul yeongu Pub Date : 2018-11-30 DOI: 10.1108/jdqs-04-2018-b0004

Changha Kim, Changjun Lee

{"title":"Market Liquidity and Momentum Profits : Evidence from the Korean Stock Market","authors":"Changha Kim, Changjun Lee","doi":"10.1108/jdqs-04-2018-b0004","DOIUrl":"https://doi.org/10.1108/jdqs-04-2018-b0004","url":null,"abstract":"Previous literature in the Korean stock market has shown that the momentum effect is not observed during pre-2000 period while it is observed during post-2000 period. Given that market illiquidity has substantially decreased during post-2000 period, we examine whether the level of market illiquidity affect the momentum profits. The central findings are summarized as follows. First, our full-sample analysis shows that market liquidity is positively associated with momentum profits, meaning that the observed momentum effect during post-2000 period is related to the decrease in market illiquidity. Second, during pre-2000 period, when the market illiquidity is very high, the illiquidity of past losers is extremely high compared to that of past winners. However, there is no significant difference in illiquidity between winners and losers during post-2000 period. Third, based on this result, we conjecture that the momentum effect is related to the different compensation for liquidity risk between past losers and winners, and test whether this is indeed the case. We find significant momentum profits over the whole period when we consider the compensation for the liquidity risk of past losers and winners. In addition, during pre-2000 period, the return on momentum strategy that controls the liquidity risk is substantially higher than the actually observed momentum profits. In sum, our study suggests that the difference in compensation for liquidity risk between past losers and winners is very important in understanding the momentum effect in the Korean stock market.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48955906","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: 5

The Influence of CME Futures Market on KRX Gold Market 芝加哥商品交易所期货市场对韩国交易所黄金市场的影响

Seonmul yeongu Pub Date : 2018-08-31 DOI: 10.1108/jdqs-03-2018-b0003

Myeonghoon Yeom, Jihun Kim

引用次数: 0

Analytical Approximations of American Call Options with Discrete Dividends 离散股利美式看涨期权的解析逼近

Seonmul yeongu Pub Date : 2018-08-31 DOI: 10.1108/jdqs-03-2018-b0001

Kwangil Bae

{"title":"Analytical Approximations of American Call Options with Discrete Dividends","authors":"Kwangil Bae","doi":"10.1108/jdqs-03-2018-b0001","DOIUrl":"https://doi.org/10.1108/jdqs-03-2018-b0001","url":null,"abstract":"In this study, we assume that stock prices follow piecewise geometric Brownian motion, a variant of geometric Brownian motion except the ex-dividend date, and find pricing formulas of American call options. While piecewise geometric Brownian motion can effectively incorporate discrete dividends into stock prices without losing consistency, the process results in the lack of closed-form solutions for option prices. We aim to resolve this by providing analytical approximation formulas for American call option prices under this process. Our work differs from other studies using the same assumption in at least three respects. First, we investigate the analytical approximations of American call options and examine European call options as a special case, while most analytical approximations in the literature cover only European options. Second, we provide both the upper and the lower bounds of option prices. Third, our solutions are equal to the exact price when the size of the dividend is proportional to the stock price, while binomial tree results never match the exact option price in any circumstance. The numerical analysis therefore demonstrates the efficiency of our method. Especially, the lower bound formula is accurate, and it can be further improved by considering second order approximations although it requires more computing time.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48803644","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