Seonmul yeongu最新文献_第3页

Cross Section of KOSPI Returns Based on Cash Flow Risk Factors 基于现金流风险因素的KOSPI收益截面

Seonmul yeongu Pub Date : 2018-08-31 DOI: 10.1108/jdqs-03-2018-b0002

Sungjeh Moon, Joonhyuk Song

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引用次数: 0

The Effect of Ambiguity Aversion on Precautionary Effort 歧义厌恶对预防性努力的影响

Seonmul yeongu Pub Date : 2018-08-31 DOI: 10.1108/jdqs-03-2018-b0004

Jimin Hong

引用次数: 0

The Issues and Improvement Plans of Pricing and Accounting of the Structured Derivatives : The Case of Zero-Coupon Callable Bond 结构性衍生品的定价与会计问题及改进方案——以零息可赎回债券为例

Seonmul yeongu Pub Date : 2018-05-31 DOI: 10.1108/jdqs-02-2018-b0001

Jeong Phil Yang, Uk Chang, Youngsoo Choi

{"title":"The Issues and Improvement Plans of Pricing and Accounting of the Structured Derivatives : The Case of Zero-Coupon Callable Bond","authors":"Jeong Phil Yang, Uk Chang, Youngsoo Choi","doi":"10.1108/jdqs-02-2018-b0001","DOIUrl":"https://doi.org/10.1108/jdqs-02-2018-b0001","url":null,"abstract":"This study aims to deal with the valuation and accounting of complex derivative instruments. This study attempts to propose a convergence plan by presenting a pricing (fair value evaluation) alternative that considers the accounting process. In this paper, we choose a ZCCB as a representative structured derivative and conduct a case study.\u0000Regarding the expected maturity of ZCCB, there is a need to adjust the historical expected maturity by reflecting the implied expected maturity. As a result of simulation and empirical analysis, it can be seen that the greatest feature of the expected maturity distribution is the Bi-Modal distribution redeemed immediately after the non-call period or at the maturity of the ZCB. Therefore, when using expected maturity, it would be more meaningful to use ZCB maturity date or just after non-call period date rather than the average.\u0000Regarding whether ZCCB's SPPI test is satisfied, the ZCCB return rate is determined according to market input variables and bond issuance conditions and is already fixed at issuance, so it can be judged that the SPPI condition is satisfied.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47642126","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

Performance of Option Based Strategy Benchmark Index 基于期权的战略基准指数的绩效

Seonmul yeongu Pub Date : 2018-05-31 DOI: 10.1108/jdqs-02-2018-b0002

Soon Shin Kwon, Byunghoon Kang, Jay M. Chung

{"title":"Performance of Option Based Strategy Benchmark Index","authors":"Soon Shin Kwon, Byunghoon Kang, Jay M. Chung","doi":"10.1108/jdqs-02-2018-b0002","DOIUrl":"https://doi.org/10.1108/jdqs-02-2018-b0002","url":null,"abstract":"This paper develops “Strategy Benchmark Index (SBI)” using KOSPI200 options data from January 2004 to March 2017, and then investigates their performances. The SBIs were constructed in the same way as those published daily by CBOE. To effectively analyze the performance of these SBIs, we classified them into four types : (1) Return enhancement SBIs (six indices), (2) Volatility trading SBIs (two indices), (3) Directional trading SBIs (two indices) and (4) Other SBIs (two indices). The return enchancement SBIs include bechmark indices tracking the performance of various covered call strategies and put writing strategies, which are generally used to increase investment returns. The volatility trading SBIs include benchmark indices tracking the performance of well-known volatility trading strategies such as butterfly spread and condor. Benchmark indices tracking the performance of various types of zero-cost collar strategies are classified into the directional trading SBIs. Our empirical results are as follows. First, the risk-adjusted performances of nine SBIs of the total twelve SBIs constructed from KOSPI200 index options has been shown to be great. Second, from a portfolio perspective, some SBIs can be helpful to improve the portfolio performance of CRRA (Constant Relative Risk Aversion) investors. These results imply that passive investment strategies with KOSPI200 index options can provide additional benefits that both equities and bonds do not provide. Third, even when we use the traditional mean-variance framework other than expected utility theory to verify the economic benefit of the SBIs, our empirical results are found to be still valid. In conclusion, our results suggest that some passive investment strategies using KOSPI200 index options would be beneficial to long term investors.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47252138","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 Effect of Information Asymmetry and CRA’s Reputation on Bond Yield Spread 信息不对称和信用评级机构声誉对债券收益率价差的影响

Seonmul yeongu Pub Date : 2018-05-31 DOI: 10.1108/jdqs-02-2018-b0003

Yun Yeong Jung, R. Park

{"title":"The Effect of Information Asymmetry and CRA’s Reputation on Bond Yield Spread","authors":"Yun Yeong Jung, R. Park","doi":"10.1108/jdqs-02-2018-b0003","DOIUrl":"https://doi.org/10.1108/jdqs-02-2018-b0003","url":null,"abstract":"This paper investigates the effects of information asymmetry and Credit Rating Agency's reputation on bond yield spread, which is caused by the split bond rating of CRAs. For analysis, We do multivariate analysis, using bond rating and bond yield spread data in Korea from 2004 to 2015. The empirical results are as follows.\u0000First, we examines whether information asymmetry affects the bond yield spread. using split rating data. As a result, the information asymmetry measured by split rating variable is significant, which supports the information asymmetry hypothesis. Additionally we can find bond yield spread is decided by negative credit grade rather than positive credit grade under split rating condition.\u0000Next, we examines the relationship between the CRA’s reputation and the bond yield spread in case of split rating. Here, samples were divided into full samples and split rating samples. Summarizing the result, both samples are suggest similar result, the bond yield spread is changed depending on the specific CRA’s grading which having conservative rating tendency.\u0000Thus, This result suggest information asymmetry caused by split rating and CRA’s reputation measured by CRA’s rating tendency affect bond yield spread in Korea","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46498391","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

A Study on the Fund Flow of Korean Capital Market 韩国资本市场资金流动研究

Seonmul yeongu Pub Date : 2018-05-31 DOI: 10.1108/jdqs-02-2018-b0004

Jae-Seung Baek, June-Sam Ha, Sang Whi Lee

{"title":"A Study on the Fund Flow of Korean Capital Market","authors":"Jae-Seung Baek, June-Sam Ha, Sang Whi Lee","doi":"10.1108/jdqs-02-2018-b0004","DOIUrl":"https://doi.org/10.1108/jdqs-02-2018-b0004","url":null,"abstract":"In this paper, we examine whether fund market reactions are affected by the characteristics of categorized features of fund. To investigate the goal of the paper, we consider macroeconomic factors as well as financial characters. We classify fund flow into four groups depending upon type of fund and fund characters to determine which category is better to increase fund flow for capital market after these financial occurrence. In this regard, our research suggests important evidence about the effect of financial factor on fund flow with a case of an detailed situation in Emerging market. In order to test the hypothesis, we use seemingly unrelated regression (SUR) model to choose significant factors among various types of fund market-related changes. Our sample consisted of fund flows from 2006 to 2016 collected by Korean Financial Association and Bank of Korea. The empirical results are summarized as follows : First, we find that capital market index, exchange rate affect fund flows with time-lagged value changes. Second, the stock index fund and banking sector fund sales show strong positive relations with the fund flow changes. Third, values of the fund flow are significantly related with fund sales by asset management’s affiliated financial institution. These results are consistent with the hypotheses that the increase and decrease in the fund flows due to capital market situation are more pronounced as the financial factors fit. Our results suggest that it is necessary to consider the fundamental characteristics of fund flow changes as well as the external economic environment to get a more efficient market performance and supervision.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48269141","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