... or have increased their holdings exhibit higher returns. Mutual funds Stock returns Return predictability Stock funds G14 G23 G2 Funding: This work was supported by the IREC, The Institute of Finance and Banking, Seoul National University. A mutual fund...

... 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...

... investors Demographic characteristics Religion G11 G14 G15 G19 Communication with neighbors is important in decision-making because it occurs every day. Through the communication, potential investors can acquire new information and rationally update their information set. On the other...

... Investment Information asymmetry Liquidation values G33 G32 D82 G14 Informational frictions can arise in a secondary market for the assets of distressed firms because potential buyers have limited time and accessibility to inside information to evaluate those assets accurately [1...

...-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...

... 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...

...-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 Our goal in this study is to propose...

... an important role in investment decisions, financial analysts' valuations and even in raising capital, it is essential for companies to manage their ESG ratings. G14 G24 M14 However, in the short term, the cost of an ESG transition outweighs the profit. Companies adopting ESG management...

... opinions Korean sentiment lexicon for finance (KOSELF) G11 G14 G17 The corporate report of Hankyung consensus provides information such as the release date, report title, target price, recommendation, analyst name, securities company (brokerage house) to which the analyst belongs, and pdf...

... 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...

... the effect of investor sentiment. D81 G12 G14 G17 Many studies have shown interest in models with rational investors in financial markets and have developed models to explain anomalies in financial markets. Based on classical finance theories, taking a high risk is compensated with high...

... attribution to the original publication and authors. The full terms of this licence maybe seen at http://creativecommons.org/licences/by/4.0/legalcode . Single stock option Option to stock ratio Call option to put option ratio Return predictability G12 G13 G14 Informed traders might...

... commercial and non-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 Bitcoin Cryptocurrency Equity market G12 G14 Bitcoin (BTC) as an investment...

... G12 G14 If the market is efficient, stock prices fully reflect all available information and it is impossible to make economic profits by trading based on the information set (Fama, 1970 ; Malkiel, 1989). Therefore, stock prices follow the martingale process [ 1 ] and stock returns...

... seen at http://creativecommons.org/licences/by/4.0/legalcode Duration Market liquidity Momentum effect Duration factor Illiquidity factor G11 G12 G14 Our study is different from prior works in that our study attempts to understand the driving forces behind the momentum...

... to the original publication and authors. The full terms of this licence maybe seen at http://creativecommons.org/licences/by/4.0/legalcode Term structure of interest rate Economic policy uncertainty Monetary and interest rate policies Stock market Economic activity E37 E44 G12 G14 G17...

... at http://creativecommons.org/licences/by/4.0/legalcode ETF option Bond futures and options VKOSPI futures and options Market efficiency G13 G14 Global exchange-traded derivatives (ETD) market has steadily grown [ 1 ]. As you can see in Figure 1 , the number of global ETD...

... 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 and avoid...

... to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode Credit default swap Contagion Dynamic conditional correlation Flight-to-liquidity Granger causality G12 G14...