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Article
Publication date: 23 February 2024

Bonha Koo and Ryumi Kim

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios – i.e. the option-to-stock (O/S) ratio, which is the…

356

Abstract

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios – i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio, which is the put volume scaled by total put and call volume – with future returns. We find that O/S ratios are positively related to future returns, but P/C ratios have no significant association with returns. We calculate individual, institutional, and foreign investors’ option ratios to determine which ratios are significantly related to future returns and find that, for all investors, higher O/S ratios predict higher future returns. The predictability of P/C depends on the investors: institutional and individual investors’ P/C ratios are not related to returns, but foreign P/C predicts negative next-day returns. For net-buying O/S ratios, institutional net-buying put-to-stock ratios consistently predict negative future returns. Institutions’ buying and selling put ratios also predict returns. In short, institutional put-to-share ratios predict future returns when we use various option ratios, but individual option ratios do not.

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Journal of Derivatives and Quantitative Studies: 선물연구, vol. 32 no. 1
Type: Research Article
ISSN: 1229-988X

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Available. Open Access. Open Access
Article
Publication date: 22 May 2023

Ryumi Kim and Bonha Koo

The authors examine the effect of split environmental, social and governance (ESG) ratings on information asymmetry, corporate value and trading behavior. The authors test the…

5818

Abstract

The authors examine the effect of split environmental, social and governance (ESG) ratings on information asymmetry, corporate value and trading behavior. The authors test the risk-based hypothesis and the optimism-bias hypothesis on the relationship between diverging opinions and future stock prices. The authors results show that split ESG ratings is positively related to idiosyncratic volatility, an alternative measure for information asymmetry. Further, the negative effect of split ESG ratings on cumulative abnormal return under short-selling constraints is consistent with the optimism bias hypothesis. The authors find a negative relationship between split ESG ratings and the net purchase ratio (NPR) of pension funds. Considering that the NPR is a direct measure of net demand, ESG disagreement may hinder socially responsible investing (SRI) in a firm. This study directly demonstrates the negative effect of ESG disagreement on firm value and investment by Korea's National Pension Service (NPS). The results offer valuable insights into policymakers, as the wide divergence in ESG ratings requires urgent attention to expand SRI.

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Journal of Derivatives and Quantitative Studies: 선물연구, vol. 31 no. 3
Type: Research Article
ISSN: 1229-988X

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Available. Open Access. Open Access
Article
Publication date: 27 July 2020

Bonha Koo and 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…

2173

Abstract

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 stock market, using common stocks listed on the KOSPI and KOSDAQ from January 1999 to December 2016. Abnormal returns are estimated using the following asset price models: capital asset pricing model, Fama–French three-factor model and the Fama–French–Carhart four-factor model. This study finds positive abnormal returns in predicted dividend months, and even for the within-firm portfolio that buys stocks in the predicted dividend months and sells the same stocks in other months. The price impact and the subsequent reversals are greater with lower liquidity and higher dividend yield, implying that the price pressure from dividend-seeking investors affects this dividend month premium. In addition, the anomalies with the pre-declaration stock are smaller than the post-declaration stock, suggesting the necessity to improve the cash dividend policy of post-declaration for market efficiency.

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Journal of Derivatives and Quantitative Studies: 선물연구, vol. 28 no. 2
Type: Research Article
ISSN: 1229-988X

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Available. Open Access. Open Access
Article
Publication date: 10 September 2021

Jun Sik Kim and Sol Kim

This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications…

1745

Abstract

This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications, citations, impact factors, and centrality indices grew up in early 2010s, and diminished in 2020. Keyword network analysis reveals the JDQS's main keywords including behavioral finance, implied volatility, information asymmetry, price discovery, KOSPI200 futures, volatility, and KOSPI200 options. Citations of JDQS articles are mainly driven by article age, demeaned age squared, conference, nonacademic authors and language. In comparison between number of views and downloads for JDQS articles, we find that recent changes in publisher and editorial and publishing policies have increased visibility of JDQS.

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Journal of Derivatives and Quantitative Studies: 선물연구, vol. 29 no. 4
Type: Research Article
ISSN: 1229-988X

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