Journal of Derivatives and Quantitative Studies: 선물연구: Volume 27 Issue 3 , Open Access

Research on the American Call Options on the Stocks Paying Multiple Dividends

Kwangil Bae

Cassimon et al. (2007) propose a pricing formula of American call options under the multiple dividends by extending Roll (1977). However, because these studies investigate the…

Fee Structures of Outsourced CIO and the Operational Efficiency

Sun-Joong Yoon, Sangki Lee

This study examines the problems associated with the management fee on outsourced CIOs in the public pension funds in Korea and proposes a better management fee structure. The…

Cross-Section of Expected Returns Based on Equity Duration

Sungjeh Moon, Joonhyuk Song

We analyze the cross-sectional expected return of KOSPI stocks using equity duration. From 1991 to 2018, we calculate equity durations for the KOSPI listed stocks (including…

Price Momentum in Korea and the Effect of Investors’ Trading

Kyoim Lee

This study investigates domestic individual, institutional and foreign investors’ trading, to test Hong and Stein (1999)’s behavioral explanation that momentum profit is generated…