...-to-intrinsic value Overvaluation Undervaluation Consumer exposure G12 G14 O32 Q55 Green innovation has become increasingly important to firms operating in environmentally sensitive industries. It can reduce resource use and environmental costs, improve regulatory preparedness, create new...

... purposes), subject to full attribution to the original publication and authors. The full terms of this licence maybe seen at Link to the terms of the CC BY 4.0 licence . Constrained optimization Efficient frontier ESG investing Institutional investors Korean stock market G11 G12 M14...

... seen at Link to the terms of the CC BY 4.0 licence . Realized higher order (joint) cumulants Realized (co)skewness Realized (co)kurtosis Implied moments G11 G12 G13 As stock returns are not fully explained by the classical asset pricing model, various models have been...

... retention strategy G12 G13 G17 Table 1 Major Korean auto finance companies' returns by asset type. (unit: million USD) Asset type Average balance Returns Annual return rate Hyundai Capital Leases 6,023 690 22.92% Loans 12,498 306 4.89% KB Capital Leases...

... of the CC BY 4.0 licence . KOSPI 200 options Option pricing models Stochastic volatility Jumps Hedging performance Market efficiency G12 G13 C58 The study of option pricing has evolved substantially since the pioneering work of Black and Scholes (1973) . Their model introduced...

... pricing model G12 C51 Kangnam University Research Grant (2023) http://dx.doi.org/10.13039/501100002506 Funding: This Research was supported by Kangnam University Research Grants (2023). Asset pricing models have evolved within a long-standing research tradition aimed...

.../licences/by/4.0/legalcode Crude oil Prediction Textual analysis Machine learning Trading position G11 G12 G17 C53 Crude oil is an important asset for industrial development and production and plays a pivotal role in all aspects of national planning (Chiroma et al., 2015...

... and authors. The full terms of this licence maybe seen at http://creativecommons.org/licences/by/4.0/legalcode Calibration Interest rate Insurance capital standard Bayesian optimization Swaption C02 G12 Recently, the South Korean insurance industry has undergone substantial...

... reflect information about increased default risk due to higher firm value volatility. CDS Stock option Implied volatility Default risk G12 G14 Many studies have consistently presented evidence supporting the claim by Easley et al. (1998) that informed traders prefer...

.... The full terms of this licence maybe seen at http://creativecommons.org/licences/by/4.0/legalcode Margin trading Leverage constraints Low-risk anomalies Margin call risk Optimal leverage ratios G11 G12 G13 Leverage constraints are substantially present in practice, limiting...

... Individual investor Abnormal trading volume South Korea G11 G12 Classical asset pricing models presuppose that investors exhibit rational behavior and endeavor to construct portfolios that are both efficient and well-diversified. However, a body of research indicates a departure from...

...-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence maybe seen at http://creativecommons.org/licences/by/4.0/legalcode CDS Information flow Information environment Transaction cost G12 G14 The corporate information...

... to the original publication and authors. The full terms of this licence maybe seen at http://creativecommons.org/licences/by/4.0/legalcode Option-to-stock volume ratio Put-call ratio Return predictability Investor type Net buying volume G12 G13 G14 G15 Recent empirical studies argue...

... Retail investors Principal component analysis G12 G13 From a theoretical standpoint, Lichtenstein et al. (1978) predict that rare extreme events are typically overestimated in terms of their likelihood, and Tversky and Kahneman (1992) suggest that people tend to be overweight...

... and accounting quality provide no incremental power for the relation between asset growth and stock returns across countries. Evidence of this study highlights the importance of the overinvestment hypothesis in explaining the asset growth anomaly around the world. G12 G14 G15 Several recent studies...

... to full attribution to the original publication and authors. The full terms of this licence maybe seen at http://creativecommons.org/licences/by/4.0/legalcode National Pension Service Internal management External management Investment strategy Market impact G11 G12 G23...

... with higher target ratios during the normal period. In contrast, the signaling effect is stronger for bondholders of big-sized firms during the crisis period. Yuen Jung Park can be contacted at: yjpark@hallym.ac.kr G12 G14 The remainder of this paper is organized as follows. Section 2...

...-term management strategies that can minimize the market impact cost of the NPS in the process of reducing the proportion of domestic stocks in the future. Yunsung Eom can be contacted at: yseom@hansung.ac.kr 30 01 2022 25 02 2022 19 03 2022 G11 G12 G23 National...

... Annuitization Investment Consumption D15 D58 G11 G12 Daesan Shin Yong Ho Memorial Society Fears that the coronavirus will lead to widespread unemployment and a spike in consumer defaults have wiped more than two-thirds from the value of US credit card lenders and left executives...

... institutions should accept the currency risks in sovereign bonds in order to reduce low-income country debt risk. The existence of sovereign bond risk is therefore not in doubt. F34 G12 H63 O57 The importance of sovereign bond as source of financing revenue deficit, benchmarking for corporate...