간행물

선물연구 update

Korean Journal of Futures and Options

  • : 한국파생상품학회(구 한국선물학회)
  • : 사회과학분야  >  경영학
  • : KCI등재
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  • : 연속간행물
  • : 계간
  • : 1229-988x
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수록정보
수록범위 : 1권0호(1993)~28권2호(2020) |수록논문 수 : 351
선물연구
28권2호(2020년 06월) 수록논문
최근 권호 논문
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KCI등재

1Market Anomalies in the Korean Stock Market

저자 : Minyeon Han , Dong-hyun Lee , Hyoung-goo Kang

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : 선물연구 28권 2호 발행 연도 : 2020 페이지 : pp. 159-228 (70 pages)

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We replicate 148 anomalies to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, we observe that only 37.8% anomalies in the universe of the KOSPI and the KOSDAQ and value-weighted portfolios have t-statistics that exceed 1.96. When we impose a higher threshold (an absolute value of t-statistics of 2.78), only 27.7% of the 148 anomalies survive. Second, microcaps have large impacts. Our results vary significantly depending on whether the sample included stocks in the KOSDAQ or not and whether value-weighted or equal-weighted portfolios are used. Our results suggest that data mining explains large portion of abnormal returns. Any tactical asset allocation strategies based on market anomalies should be applied very cautiously.

KCI등재

2Do Firm Boundaries Matter? The Impact of Chinese Imports on US Conglomerates

저자 : Ryoonhee Kim

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : 선물연구 28권 2호 발행 연도 : 2020 페이지 : pp. 229-243 (15 pages)

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Earlier studies show that Chinese imports in the U.S. markets have increased significantly subsequent to China's World Trade Organization (WTO) accession in 2001. This study uses the China's WTO accession as a quasi-natural experiment to examine whether conglomeration affects firms' ability to respond to a significant increase in competitive pressure. Theories suggest that conglomerate segments may outperform single-segment firms if the headquarters allocate resources to the segments through internal capital markets. On the other hand, conglomerate segments may underperform if the headquarters drain resources out of the segments. Empirical analyses show that conglomerate segments have higher sales growth and higher profitability than single-segment firms when they face intensified import competition. Given the relatively fixed market size, the results suggest that conglomerate segments gain market shares over single-segment firms. Additional analyses show that conglomerates' outperformance is not observed when the markets in which segments operate already have high product market competition. The results indicate that the headquarters engage in winner-picking and support only those segments that are expected to perform well in the future. Overall, conglomeration encourages competitiveness, and internal resources are allocated to relatively competitive segments.

KCI등재

3Short Selling and Stock Price Crash Risk

저자 : Jay M. Chung , Shu-feng Wang

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : 선물연구 28권 2호 발행 연도 : 2020 페이지 : pp. 245-262 (18 pages)

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This paper investigates short selling and stock price crash risk. We find that short selling is positively associated with one-month-ahead stock price crash risk, consistent with the literature showing that short sellers are informed traders. We attribute this prediction ability to the information short sellers receive from foreign investors with high levels of ownership in a firm. Our results shed light on policy issues regarding short selling regulation.

KCI등재

4Dividend Month Premium in the Korean Stock Market

저자 : Bonha Koo , Joon Chae

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : 선물연구 28권 2호 발행 연도 : 2020 페이지 : pp. 263-296 (34 pages)

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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. Also, the risk-adjusted returns with the pre-declaration stock are smaller compared to the post-declaration stock, suggesting the necessity to improve the cash dividend policy of post-declaration for market efficiency.

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1연안해역에서 석유오염물질의 세균학적 분해에 관한 연구

(2006)홍길동 외 1명심리학41회 피인용

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(2006)홍길동41회 피인용

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서울대학교 서강대학교 한국외국어대학교 연세대학교 건국대학교
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  • 1 서울대학교 (52건)
  • 2 서강대학교 (34건)
  • 3 한국외국어대학교 (28건)
  • 4 연세대학교 (10건)
  • 5 건국대학교 (9건)
  • 6 고려대학교 (9건)
  • 7 한국과학기술원(서울) (9건)
  • 8 한국거래소 (6건)
  • 9 중앙대학교(서울) (6건)
  • 10 한국과학기술원(KAIST) (6건)

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