... 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 . Mutual funds Stock returns Return predictability Stock funds G14 G23 G2 Funding: This work was supported by the IREC...

... 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...

...-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 Word-of-mouth effects Local herding Individual investors Demographic characteristics Religion G11 G14...

... Investment Information asymmetry Liquidation values G33 G32 D82 G14 Our theory generates a novel informational spillover effect on bankruptcy recovery rates across firms with different asset qualities, for which we show suggestive empirical evidence. Theoretically, when low-quality firms find...

... 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...

... 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...

...-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 Systemic risk Network analysis Korean economy G11 G14 G23 How big is systemic risk...

... to the original publication and authors. The full terms of this licence maybe seen at http://creativecommons.org/licences/by/4.0/legalcode Split ESG rating Socially responsible investment Information asymmetry G14 G24 M14 The literature related to split ESG ratings and a firm's stock price...

... Portfolio performance Textual opinions Korean sentiment lexicon for finance (KOSELF) G11 G14 G17 Analyst reports produce information about companies, which is mainly delivered through recommendations, target prices and earnings forecasts. They are expected to serve as important investment...

... 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...

...://creativecommons.org/licences/by/4.0/legalcode . Economic policy uncertainty Volatility of volatility Uncertainty Mean–variance relationship Risk–return tradeoff D81 G12 G14 G17 Many studies have shown interest in models with rational investors in financial markets and have developed models...

... 22 07 2021 27 08 2021 27 08 2021 Single stock option Option to stock ratio Call option to put option ratio Return predictability G12 G13 G14 This study tests whether the relative size of trading volume of options provides information about the future returns...

...://creativecommons.org/licences/by/4.0/legalcode Bitcoin Cryptocurrency Equity market G12 G14 Bitcoin (BTC) as an investment asset (Baur et al., 2017b ; Bouri et al., 2017b) has been the center point of attention for investors, international participants, regulators and media...

...://creativecommons.org/licences/by/4.0/legalcode Trading volume Granger causality Variance ratio Korean stock market Contemporaneous correlation Mean-reversion G12 G14 However, earlier research mainly focuses on the return-generating process and trading volume level. Recent studies investigate...

... seen at http://creativecommons.org/licences/by/4.0/legalcode Duration Market liquidity Momentum effect Duration factor Illiquidity factor G11 G12 G14 The momentum effect, relatively high-performance stocks in the past 6–12 months continue to outperform in the next 6–12...

... policies Stock market Economic activity E37 E44 G12 G14 G17 The Fed’s Message: The Money-Printing Presses Are Fired Up and Ready to Go […] It’s really two distinct crises the Fed is trying to solve, with overlapping tools. One is an already-underway crisis in which financial...

... be seen at http://creativecommons.org/licences/by/4.0/legalcode ETF option Bond futures and options VKOSPI futures and options Market efficiency G13 G14 Unfortunately, long-term ETD have not yet been listed on Korean derivatives market. As the low interest rates and low economic...

... of this licence maybe seen at http://creativecommons.org/licences/by/4.0/legalcode Day trading Bid–ask spread Price depth Volatility G12 G14 G18 Day trading is a high-frequency trading strategy wherein traders enter and exit the market within one day to earn quick and small profit...

.... This shock has led many studies to pay attention to contagion risk. G12 G14 Credit default swap Contagion Dynamic conditional correlation Flight-to-liquidity Granger causality © Jungmu Kim and Yeun Jung Park. 2020 Jungmu Kim and Yeun Jung Park. Published in Journal...