Journal of Derivatives and Quantitative Studies: 선물연구: Volume 25 Issue 4 , Open Access

The Cross-Section of Expected Returns on Defaultable Assets

Jungmu Kim, Yuen Jung Park

This study examines the model regarding the relation between the expected returns of defaultable asset and default risk factors utilizing CDS (credit default swap). While the…

The Determinants of Idiosyncratic Volatility

Jaeuk Khil, Song Hee Kim, Eun Jung Lee

We investigate the cross-sectional and time-series determinants of idiosyncratic volatility in the Korean market. In particular, we focus on the empirical relation between firms’…

Fund Manager Replacement and Manipulative Portfolio Management : Application of Contract Theory and Empirical Analysis of Fund Market in Korea The Determinants of Idiosyncratic Volatility

Heonsoo Kim, Byung-Uk Chong

This paper examines the effect of fund manager replacement on investment performances of mutual funds. In managerial labor market of mutual fund industries with information…

Who Drive the Rise and Fall of the Bubbles in Korean Stock Market?

Bong-Chan Kho, Jin-Woo Kim

In this paper, we analyze the trading patterns of investors around the bubble events selected for stocks traded in Korean Stock Market from 1999 to 2013, whose holding period…

Analysis on the Effect of Price Discovery in Mini Derivatives : The Case of KOSPI200 Mini Options

Woo–baik Lee

The KOSPI200 mini options market, introduced in July 2015, is a market where the trading multiplier is reduced to one-fifth of the regular options. This study shows that the price…