Journal of Derivatives and Quantitative Studies: 선물연구: Volume 30 Issue 1 , Open Access

Asset allocation efficiency from dynamic and static strategies in underfunded pension funds

Chunsuk Park, Dong-Soon Kim, Kaun Y. Lee

This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long-term target return on asset liability management (ALM). This…

Mean–variance relationship and uncertainty

Jun Sik Kim

This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market's expected excess return is positively related to the market's…

Long-term underperformance of public versus rights offering firms

Ju Hyun Kim, Kyojik Song

The authors compare the post-issue stock and operating performance of rights issue versus public offer firms using Korean data. The authors find that the stock returns of rights…

Earnings quality, foreign investor and dividends

Jong Hwa Lee

This study discovers the relation between corporate governance factors and earnings quality and finds that increases in dividends and foreign ownership deter earnings management…