간행물

선물연구 update

Journal of Derivatives and Quantitative Studies

  • : 한국파생상품학회
  • : 사회과학분야  >  경영학
  • : KCI등재
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  • : 연속간행물
  • : 계간
  • : 1229-988x
  • : 2713-6647
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수록정보
수록범위 : 1권0호(1993)~30권1호(2022) |수록논문 수 : 378
선물연구
30권1호(2022년 03월) 수록논문
최근 권호 논문
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KCI등재

1Asset allocation efficiency from dynamic and static strategies in underfunded pension funds

저자 : Chunsuk Park , Dong-soon Kim , Kaun Y. Lee

발행기관 : 한국파생상품학회 간행물 : 선물연구 30권 1호 발행 연도 : 2022 페이지 : pp. 2-22 (21 pages)

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This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long-term target return on asset liability management (ALM). This study conducts asset allocation using the ex ante expected rate of return through the outlook of future economic indicators because past economic indicators or realized rate of returns which are used as input data for expected rate of returns in the “building block” method, most adopted by domestic pension funds, does not fully reflect the future economic situation. Vector autoregression is used to estimate and forecast long-term interest rates. Furthermore, it is applied to gross domestic product and consumer price index estimation because it is widely used in financial time series data. Based on asset allocation simulations, this study derived the following insights: first, economic indicator filtering and upper-lower bound computation is needed to reduce the expected return volatility. Second, to reach theALMgoal, more stocks should be allocated than low-yielding assets. Finally, dynamic asset allocation which has been mirroring economic changes actively has a higher annual yield and risk-adjusted return than static asset allocation.

KCI등재

2Mean-variance relationship and uncertainty

저자 : Jun Sik Kim

발행기관 : 한국파생상품학회 간행물 : 선물연구 30권 1호 발행 연도 : 2022 페이지 : pp. 23-45 (23 pages)

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This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market's expected excess return is positively related to the market's conditional variances and implied variance during low uncertainty periods but unrelated or negatively related to conditional variances and implied variance during high uncertainty periods. Our empirical evidence is consistent with investors' attitudes toward uncertainty and risk, firms' fundamentals and leverage effects varying with uncertainty. Additionally, we discover that the negative relationship between returns and contemporaneous innovations of conditional variance and the positive relationship between returns and contemporaneous innovations of implied variance are significant during low uncertainty periods. Furthermore, our results are robust to changing the base assets to mimic the uncertainty factor and removing the effect of investor sentiment.

KCI등재

3Long-term underperformance of public versus rights offering firms

저자 : Ju Hyun Kim , Kyojik Song

발행기관 : 한국파생상품학회 간행물 : 선물연구 30권 1호 발행 연도 : 2022 페이지 : pp. 46-57 (12 pages)

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The authors compare the post-issue stock and operating performance of rights issue versus public offer firms using Korean data. The authors find that the stock returns of rights issue firms are less negative than those of public offering firms during the three years subsequent to the seasoned equity offering. The authors further find that the profitability of rights offering firms is superior to those of public offering firms and that the ratio of sales to assets for rights issue firms is much higher over the post-issue period. The results substantiate Heinkel and Schwartz's (1986) and Eckbo and Masulis' (1992) theoretical models that posit firms with better quality tend to select the rights issue rather than public offer method when issuing seasoned equity.

KCI등재

4Earnings quality, foreign investor and dividends

저자 : Jong Hwa Lee

발행기관 : 한국파생상품학회 간행물 : 선물연구 30권 1호 발행 연도 : 2022 페이지 : pp. 58-72 (15 pages)

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This study discovers the relation between corporate governance factors and earnings quality and finds that increases in dividends and foreign ownership deter earnings management. The author shows that dividend increases and foreign ownership enhance earnings quality, but they appear to be substitutes in that role. In other words, as foreign ownership increases, the influence of dividends in increasing earnings quality decreases. Improving transparency through dividend increases and monitoring by foreign institutional investors are substitutes in preventing earnings management.

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