Zobrazeno 1 - 10
of 32
pro vyhledávání: '"Byung Jin Kang"'
Publikováno v:
Korean Journal of Financial Studies. 50:439-472
While most previous studies have analyzed the performance of the Option Strategy Benchmark Index (SBI) in a specific market such as S&P500 and KOSPI200, this study comprehensively investigates the performance of the option SBIs in nine global options
Autor:
Byung Jin Kang
Publikováno v:
Journal of Finance & Knowledge Studies. 19:59-88
Publikováno v:
Korean Journal of Financial Studies. 49:589-641
This study examines the effects of investor attention on momentum in the Korean stock market. The results reveal significant negative momentum profits in stock groups with high investor attention (high turnover stocks), but insignificant results in t
Autor:
Hyun Woo Tak, Hye Joo Lee, Long Wen, Byung Jin Kang, Dain Sung, Jeong Woon Bae, Dong Woo Kim, Wonseok Lee, Seung Bae Lee, Keunsuk Kim, Byeong Ok Cho, Young Lea Kim, Han Dock Song, Geun Young Yeom
Publikováno v:
Applied Surface Science. 600:154050
Autor:
Byung Jin Kang
Publikováno v:
Journal of Derivatives and Quantitative Studies. 27:211-252
In this paper, we examined the economic benefits of derivatives in the aspect of investment assets. Our study differs from previous studies in that it analyzed the differences in the economic benefits of derivatives between for short term investors a
Autor:
Byung Jin Kang, Seok Goo Nam
Publikováno v:
Journal of Derivatives and Quantitative Studies. 26:391-423
The variance risk premium defined as the difference between risk neutral variance and physical variance is one of the most crucial information recovered from option prices. It does not, however, reflect the asymmetry in upside and downside movements
Publikováno v:
Journal of Derivatives and Quantitative Studies. 26:183-216
This paper develops “Strategy Benchmark Index (SBI)” using KOSPI200 options data from January 2004 to March 2017, and then investigates their performances. The SBIs were constructed in the same way as those published daily by CBOE. To effectively
Autor:
Byung Jin Kang
Publikováno v:
Journal of Derivatives and Quantitative Studies. 24:619-646
This paper investigates the effect of investment horizon on the optimal portfolio choice of investors, who can access to index options market. This is to reconcile the empirical anomaly of Driessen and Maenhout (2007), which suggested that it is alwa
Publikováno v:
Asia-Pacific Journal of Financial Studies. 45:380-404
The seminal research by Stein (Journal of Finance 1989, 44, 1011) shows that long-term options overreact to short-term volatility shocks. In contrast, recent studies show that such irrational responses disappear when model-free implied volatilities a
Autor:
Byung Jin Kang
Publikováno v:
Journal of Derivatives and Quantitative Studies. 24:65-96
This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatilit