간행물

JDQS update

Journal of Derivatives and Quantitative Studies

  • : 한국파생상품학회(구 한국선물학회)
  • : 사회과학분야  >  경영학
  • : KCI등재
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  • : 연속간행물
  • : 계간
  • : 1229-988x
  • : 2713-6647
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수록정보
수록범위 : 1권0호(1993)~29권1호(2021) |수록논문 수 : 362
JDQS
29권1호(2021년 03월) 수록논문
최근 권호 논문
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KCI등재

1The effect of uncertainty on the information content of term spread and its components

저자 : Jun Sik Kim

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : JDQS 29권 1호 발행 연도 : 2021 페이지 : pp. 2-28 (27 pages)

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Purpose - This paper aims to investigate the impact of uncertainty on the predictive power of term spread and its components for future stock market returns and economic activity in Korea and the USA. This paper finds that the stock market's expected excess return and growth of economic activity are positively related to the risk-neutral expectation, one of the term spread's components, particularly during high uncertainty periods. These findings are consistent with the importance of the monetary policy by the central bank in a high uncertainty environment created by unexpected shocks. The results are robust to alternate definitions of high uncertainty periods.

KCI등재

2Extreme returns and idiosyncratic risks: evidence from an emerging market

저자 : Eunyoung Cho

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : JDQS 29권 1호 발행 연도 : 2021 페이지 : pp. 29-48 (20 pages)

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In this paper, we show that there is a negative premium for MAX stocks in the Korean stock market. However, there is no evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative relationship between extreme returns and future returns is less robust. Rather, the cross-effect of the extreme returns and the idiosyncratic risk factors explains the negative premium. Furthermore, our results are not fully explained by the exposure to the market timing and economic state. Overall, both the extreme return and idiosyncratic risk effects appear to coexist in the Korean stock market, but they are not independently.

KCI등재

3Illiquidity, duration and momentum profits: evidence from the Korean stock market

저자 : Jaewan Bae , Changjun Lee

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : JDQS 29권 1호 발행 연도 : 2021 페이지 : pp. 49-72 (24 pages)

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This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference in returns of short-duration and long-duration stocks captures well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than competing asset pricing models in explaining the momentum effect. Finally, when controlling for the duration factor, the explanatory power of the foreign/institutional illiquidity factor on the momentum profits disappears. In sum, our empirical finding indicates that the duration factor is the most important ingredient in understanding the momentum effect in the Korean stock market.

KCI등재

4Dividend reputation, dividend yield and stock returns in Korea

저자 : Ryumi Kim

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : JDQS 29권 1호 발행 연도 : 2021 페이지 : pp. 73-99 (27 pages)

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Purpose - Although it has often been studied in finance research, the relationship between dividend yields and stock returns remains an unresolved issue, especially in the Korean stock market. When firms continue to pay non-decreasing dividends for three or five years, they may establish a dividend reputation, which could affect this relationship. The author found firms that pay more dividends, larger firms, older firms, more profitable firms, less leveraged firms, firms with less volatile returns, firms with foreign holdings of more than 5%, and firms with more concentrated ownership build dividend reputations. The author also found that the relationship between dividend yields and future stock returns depends on a firm's dividend reputation. The evidence shows that when firms with higher yields have dividend reputations, they produce higher future returns, whereas there is no significant relationship between yields and returns for firms with no reputation. These results are inconsistent with the findings of studies that use developed market data. In addition, when larger firms with higher growth potential and firms with less concentrated ownership have dividend reputations, future returns are higher.

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1연안해역에서 석유오염물질의 세균학적 분해에 관한 연구

(2006)홍길동 외 1명심리학41회 피인용

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2미국의 비트코인 규제

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2미국의 비트코인 규제

(2006)홍길동41회 피인용

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