... market G11 G12 M14 the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea NRF-2023S1A5B5A16076908 Funding: This work was supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF...

...-commercial 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 . Realized higher order (joint) cumulants Realized (co)skewness Realized (co)kurtosis Implied moments G11 G12...

... risk Weibull distribution Option pricing Automotive finance Lease retention strategy G12 G13 G17 The automobile leasing market has expanded substantially across major economies over the past 2 decades. In the United States, Federal Reserve statistics document a steady rise...

... 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 . KOSPI 200 options Option pricing models Stochastic volatility Jumps Hedging performance Market efficiency G12 G13 C58...

... and authors. The full terms of this licence maybe seen at Link to the terms of the CC BY 4.0 licence . Fama–French three-factor model Market-cap concentration Large-cap exclusion Coefficient stability Explanatory power Asset pricing model G12 C51 Kangnam University Research Grant...

.../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...

... 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 C02 G12 Recently, the South Korean insurance industry has undergone substantial regulatory transformations...

... reflect information about increased default risk due to higher firm value volatility. G12 G14 Third, unlike previous studies, this research generates an average implied volatility change variable that includes the implied volatility change of straddle options. It finds that the predictive...

... 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 the ability of investors...

... cannot be solely ascribed to the mispricing and IVOL outcomes outlined by Stambaugh et al. (2015) , as IVOL and MAX encapsulate distinct information. Arbitrage risk Lottery preference MAX effect Individual investor Abnormal trading volume South Korea G11 G12 We also seek...

... of the company in the stock market, rather than transaction costs in the CDS market. G12 G14 With recent rise in interest rates, concerns about economic downturns have increased, leading to increased attention in the credit default swap (CDS) markets. According to the Financial Supervisory Service...

... various option ratios, but individual option ratios do not. G12 G13 G14 G15 Recent empirical studies argue that option ratios that are based on trading volume contain information for future underlying equity prices, so they predict future returns. Pan and Poteshman (2006) examine the put...

...-tail risk Behavioral finance Retail investors Principal component analysis G12 G13 We examine whether the firm-specific left-tail risk is overestimated or underestimated in Korean stock markets. Although the effect of aggregate market tail risk on the cross-section of stock returns...

... 2023 02 07 2023 Asset growth Individualism Uncertainty avoidance Overinvestment International equity markets G12 G14 G15 Several recent studies document a negative relation between corporate investment and future stock returns, which is often referred to as investment...

... strategy Market impact G11 G12 G23 The National Pension Service's (NPS's) asset base in 2021 was worth KRW948.7tn (approximately $US835bn), an increase of nearly 70% from KRW558.3tn (approximately $US491bn) in 2016, and the proceeds (KRW236.8tn, approximately $US208bn) over the past three...

... 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. Stock buyback CDS Wealth transfer Signaling G12 G14 We obtain open-market stock buyback announcements from the Securities Data...

... G12 G23 The National Pension Service (hereafter NPS) of Korea, the institutional investor who manages the largest amount of funds in the domestic stock market, uses a contrarian strategy and is known to act as a market stabilizer and liquidity provider in the stock market (Kho et al...

... 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 contemplating cutting credit...

... is section two which discusses some characteristics of Africa sovereign bond and provides literature review. Section three focuses on econometric methodology and descriptive statistics. Section four interprets and discusses the empirical results, and section five is the conclusion. F34 G12 H63 O57...

... seen at http://creativecommons.org/licences/by/4.0/legalcode . Realized joint cumulants Realized comoments Log returns Implied moments Aggregation property G11 G12 G13 The framework suggested by Andersen et al. (2003) produces low-frequency variance from high...