Journal of Derivatives and Quantitative Studies: 선물연구: Volume 28 Issue 1 , Open Access

An Analysis of the Asymmetric Volatility under Asymmetric Information and Ambiguity

Min-Jik Kim, Jaeho Cho

The asymmetric volatility phenomenon (‘the phenomenon’, henceforth), documented first by Black (1976), refers to the fact that the stock return and its conditional volatility are…

Market Reactions to Announcements of Valuation Losses on Conversion Rights Embedded in Convertible Instruments

Su Jeong Lee, Young Jun Kim, Eugenia Y. Lee, Ga-young Choi

Convertible instruments are financial instruments embedded with conversion rights such as convertible bonds or convertible preferred stocks. Under the Korean International…

Analyzing the Impact of ETF Market Growth on the Behavior of Component Stocks

Joonhyuk Song, Changil Lee

This study analyzes the impact of Korea ETF market growth on trading costs, information efficiency and corporate valuation focusing on the behaviors of individual component stocks…

A Survey on Critical Success Factor of OCIO Business in Korea

Jung Cheol Shin, Rae Soo Park, Jay M. Chung

This paper reviews the history of OCIO (outsourced chief investment officer) and surveys the critical success factors of OCIO business in Korea. The market size of OCIO business…

Evaluation Period and Agency Problem in Outsourced Chief Investment Officer (OCIO)

Jun Ho Shin, Dongyoup Lee

This article investigates the effect of the performance evaluation period on the long-term investment portfolio choice and the agency problem of outsourced investments. Though…