This article empirically tests the time-correlation of implied information reflecting the return dynamics of KOSPI 200 markets in the view of the decision making and market…
Abstract
This article empirically tests the time-correlation of implied information reflecting the return dynamics of KOSPI 200 markets in the view of the decision making and market efficiency. Because option prices are not perfectly correlated with each other and with the underlying asset, the information contents of the option are different from those of the underlying market price. And, under the non-complete of the market and the limited arbitrage, the information implied in option (underlying) market price may be more useful in the option (underlying) market than in the underlying (option) market.
The estimation results show that the time-correlation of incremental information are existed in performance of out-of-sample pricing and delta hedging conditioned on MR, a result which is not suggestive of the informational efficiency of the KOSPI 200 market. But, the decision marking using the systematic pattern may not be useful due to the option pricing models that allows moments of higher order than two reflecting the source of which the risk-neutrality assumption is strongly rejected by the data.
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This paper empirically investigates the usefulness of extreme events implied into the non-complete option market in which return generating process of underlying asset is…
Abstract
This paper empirically investigates the usefulness of extreme events implied into the non-complete option market in which return generating process of underlying asset is different from that of options. The empirical results find that the information about the extreme events implied in the option market prices has more accurate forecasting power within the tail than near the first moment of realized distribution. So, we expect that the implied information of extreme jump can help to improve the back-testing performance of value at risk where it is primarily important to take account of low-probability events. Regardless of whether calibration function for density transformation is the beta-distribution or non-parametric kernel density, extreme jump provides consistently satisfactory predictions.
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This article empirically analyzes some properties by all one-dimensional diffusion option models by using the martingale restriction test and examines the systematic risk factors…
Abstract
This article empirically analyzes some properties by all one-dimensional diffusion option models by using the martingale restriction test and examines the systematic risk factors Implied In return dynamics of KOSPI 200 index options. We find that the martingale restriction under one-dimensional diffusion option model is strongly rejected by the data because of the negative volatility risk premium. Therefore options are not redundant securities, nor monotonically increasing (decreasing) in the underlying asset price and also option prices are not perfectly correlated with each other and with the underlying asset. And under the non-complete of the market. the informational led-lag relationship between the stock indices and the stock index options exist.
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The impact of recent by-elections and an ongoing corruption scandal.
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DOI: 10.1108/OXAN-DB199359
ISSN: 2633-304X
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Geographic
Topical
Moo Sung Kim, Jagadish Dandu and Perihan Iren
This paper aims to investigate two issues. First, the authors test the effect of the Sarbanes–Oxley Act (SOX) on audit quality after 10 years. Second, the authors test whether it…
Abstract
Purpose
This paper aims to investigate two issues. First, the authors test the effect of the Sarbanes–Oxley Act (SOX) on audit quality after 10 years. Second, the authors test whether it was necessary to close all of the Arthur Andersen offices due to the misbehavior of a few (e.g. the Houston and Atlanta offices).
Design/methodology/approach
The authors have used conservatism (Basu) as a proxy for audit quality.
Findings
The authors find that, over the long run (10 years) after SOX adoption, there is a significant positive change in conservatism as compared to during the previous similar period. In addition, the authors find that only 6 of the 20 city-level offices of Arthur Andersen were less conservative than were their other Big 6 competitors in the same city. Furthermore, the results also suggest that some city-level offices of Arthur Andersen were engaged in more conservative accounting practices than were their competitors and the Houston Andersen offices.
Originality/value
This study documents, using empirical evidence, that the implementation of SOX is successful, and that one factor that helped lead to this success might be the harsh punishment on Arthur Andersen.
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Business group affiliation seems to make a firm more opaque. The benefits of group affiliation (internal market transactions) and the negative aspects of group affiliation (agency…
Abstract
Business group affiliation seems to make a firm more opaque. The benefits of group affiliation (internal market transactions) and the negative aspects of group affiliation (agency problems of group control) both may make group firms more opaque than non-group firms. Using the opacity index developed by Anderson, Duru, and Reeb (2009), this paper reports that Korean group firms are more transparent than non-group firms after the Asian financial crisis (1997–1998) and this leads to better performance of group firms. The improved transparency results from disappeared internal market benefits and diminished agency problems. These results are robust after controlling for the size of internal markets of groups, industry diversification, the existence of group inside financial institutions, and endogeneity.
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Having controlled the outgoing 19th National Assembly with 157 of its 300 seats until recently, Saenuri is now reduced to 122.
Prospects for East Asia in the third quarter of 2015.
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DOI: 10.1108/OXAN-DB200067
ISSN: 2633-304X
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Geographic
Topical
Park's approval rating has plunged to 29% after several political and policy disasters, and voters are furious over a tax code change which leaves most worse off after the reverse…