Journal of Derivatives and Quantitative Studies: 선물연구: Volume 25 Issue 1 , Open Access

Estimating the Risk-Return Relation in the Korean Stock Market

Dojoon Park, Young Ho Eom, Jaehoon Hahn

Finance theory such as Merton’s ICAPM suggests that there should be a positive relationship between the expected return and risk. Empirical evidence on this relationship, however…

A Study on Multi-Class Fund Flows and Consumer Protection

Tai-Yong Roh, Sun-Joong Yoon, Sung Won Seo

We examine whether the suitability principles hold for the mutual fund industry in Korea, by analyzing the dynamics and the characteristics of the multi-class fund flows. For…

An Empirical Study on Moral Hazard of Life Insurance : Evidence from Postal Insurance Market

Iljoo Lee, Changjun Lee

Due to the difficulty in obtaining data on life insurance contracts, previous studies on moral hazard of life insurance are confined to conceptual discussion or surveys of Korean…

Volatility of Corporate Debt Financing and Cross-Section of Stock Returns : Empirical Analysis of Financial Constraint Puzzle in Korea

Heonsoo Kim, Byung-Uk Chong, In-Deok Hwang

This paper investigates the effects of the volatility of debt financing on cross-sectional variation of stock returns. Through the empirical analysis of listed firms in Korea for…

Informational Efficiency of VKOSPI Futures and Policy Implications

Moon-Hyoung Lee, Sun-Joong Yoon

As global exchanges have listed volatility derivatives competitively, volatility has been recognized as a new investment vehicle and/or a hedging means for traditional financial…