Journal of Derivatives and Quantitative Studies: 선물연구

2023 - 2024

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Volume 32, issue 4, 2024

Predicting zombie firms after the COVID-19 pandemic using explainable artificial intelligence pp. 266-285

Dongwook Seo, Hyeong Joon Kim and Seongjae Mun

Partial hedging in credit markets with structured derivatives: a quantitative approach using put options pp. 286-322

Constantin Siggelkow

Does the disclosure of ESG information by private equity firms impact the success of their fundraising efforts? pp. 323-343

Jung-Hee Noh and Heejin Park

The Fisher’s hedge hypothesis: what about homogeneity and stability properties? pp. 344-370

Malika Neifar and Amira Harzallah

Volume 32, issue 3, 2024

Renegotiable debt, liquidity injections and financial instability pp. 182-199

Hyun Soo Doh and Guanhao Feng

Word-of-mouth effects in individual investors’ trading: evidence from Korea pp. 200-222

Sujung Choi

The impact of ESG ratings on corporate value during COVID-19 pandemic: evidence from China and South Korea pp. 223-237

Donghoon Kim and Sun-Joong Yoon

Informational role of investment and liquidation values pp. 238-263

Hyun Soo Doh and Yiyao Wang

Volume 32, issue 2, 2024

American put options with regime-switching volatility pp. 86-115

Bong-Gyu Jang and Hyeng Keun Koo

The relationship between changes in corporate payout policy and capital structure pp. 116-144

Songhee Kim, Jaeuk Khil and Yu Kyung Lee

Does information environment affect information spillover between the CDS and stock markets in Korea? pp. 145-158

Heewoo Park and Yuen Jung Park

The role of arbitrage risk in the MAX effect: evidence from the Korean stock market pp. 159-180

Jihoon Goh and Donghoon Kim

Volume 32, issue 1, 2024

Changes in repo markets and the necessity for CCPs in Korea pp. 2-22

Sun-Joong Yoon

Do technical trading rules outperform the simple buy-and-hold strategy in the cryptocurrency market? pp. 23-35

JunHyeong Jin, JiHoon Jung and Kyojik Song

Network of public equity funds and investment performance in South Korea pp. 36-57

Yongwon Kim, Inwook Song and Young Kyu Park

Whose option ratios contain information about future stock prices? pp. 58-81

Bonha Koo and Ryumi Kim

Volume 31, issue 4, 2023

Effectiveness of debt modification system in Korea pp. 262-277

Kye moon Lee and Junesuh Yi

National cultures and the asset growth effect pp. 278-308

Robin K. Chou, Kuan-Cheng Ko and S. Ghon Rhee

Retail investors and overpricing of left-tail risk: evidence from the Korean stock market pp. 309-327

Jungmu Kim, Yuen Jung Park and Thuy Thi Thu Truong

The performance distribution and managerial skill of passive funds: evidence from the Korean market pp. 328-346

Jaeram Lee and Changjun Lee

Volume 31, issue 3, 2023

Network-based measures of systemic risk in Korea pp. 174-196

Jaewon Choi and Jieun Lee

Comparison of the trading strategies and market impact costs of the National Pension Service's internal and external management pp. 197-218

Yunsung Eom and Mincheol Woo

The impact of ESG rating disagreement on corporate value pp. 219-241

Ryumi Kim and Bonha Koo

Do competent managers increase labor productivity? Evidence from Korea pp. 242-260

Donghwan Ahn, Shiyong Yoo and Seungho Cho

Volume 31, issue 2, 2023

Investment strategy via analyst report text mining pp. 98-120

Cheol-Won Yang

Time-varying preferences for ESG investments: evidence from an emerging market pp. 121-138

Eunyoung Cho

Is OCIO superior in asset allocation performance? pp. 139-161

Myungjoo Kang, Inwook Song and Seiwan Kim

Small-sized asset owners’ OCIO selections and evaluations pp. 162-171

Deahyeon Park and Doo Jin Ryu