Journal of Derivatives and Quantitative Studies: 선물연구: Volume 29 Issue 1 , Open Access

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

Jun Sik Kim

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…

Extreme returns and idiosyncratic risks: evidence from an emerging market

Eunyoung Cho

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…

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

Jaewan Bae, Changjun Lee

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…

Dividend reputation, dividend yield and stock returns in Korea

Ryumi Kim

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…