Journal of Derivatives and Quantitative Studies: 선물연구: Volume 28 Issue 2 , Open Access

Market anomalies in the Korean stock market

Minyeon Han, Dong-Hyun Lee, Hyoung-Goo Kang

This paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors…

Do firm boundaries matter? The impact of Chinese imports on US conglomerates

Ryoonhee Kim

The purpose of this paper is to use China’s World Trade Organization accession as a quasi-natural experiment and examine whether conglomeration affects firmss’ ability to respond…

Short selling and stock price crash risk

Jay M. Chung, Shu-Feng Wang

This paper aims to investigate short selling and stock price crash risk. The authors find that short selling is positively associated with one-month-ahead stock price crash risk…

Dividend month premium in the Korean stock market

Bonha Koo, Joon Chae

The dividend month premium is the phenomenon that firms have abnormal returns in predicted dividend month. This study aims to examine the dividend month premium in the Korean…