Journal of Derivatives and Quantitative Studies: 선물연구: Volume 29 Issue 1 , Open Access
Table of contents
The effect of uncertainty on the information content of term spread and its components
Jun Sik KimThis 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…
Extreme returns and idiosyncratic risks: evidence from an emerging market
Eunyoung ChoIn 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…
Illiquidity, duration and momentum profits: evidence from the Korean stock market
Jaewan Bae, Changjun LeeThis 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…
Dividend reputation, dividend yield and stock returns in Korea
Ryumi KimAlthough 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…