<section xml:id="fut21618-sec-0001"> This study proposes a new estimation approach for option valuation (an implied pricing kernel‐based approach), which estimates model parameters under the physical probability measure (P‐measure) using a pricing kernel implied by the GARCH option pricing model. Analyzing the dataset on the...</section>

This study examines if informed trading is present in the index option market by analyzing the KOSPI 200 options, the most actively traded derivative product in the world. The spread decomposition model developed by Madhavan, Richardson, and Roomans (1997) is utilized and the adverse‐selection...

Korean Abstract: 본 논문은 기업의 청산비용이 존재하는 경우에 채권자의 최적의사결정이 기업의 신용위험에 미치는 영향에 대해 연구하였다. 기업의 파산이 기업 가치에 의해 외생적으로 주어지는 Merton 모형과는 달리...

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets. We carry out a comprehensive analysis using tick data that cover 1183 stocks from 21 emerging markets, while also comparing various low-frequency liquidity proxies with...

As the creative economy has developed, the university has been given an important role of nurturing creative talents that companies desire to have. The most important objective in creative education is to provide a support system and a good environment for fostering creativity. This will help...

This paper provides an analysis of the equity-market effects of a substantial increase in individual shareholder participation in the market for a firm. The data are based on reductions in lot sizes or Minimum Trade Units (MTUs) on the Tokyo Stock Exchange (TSE). There is a shift in order flow...

We estimate an ex ante probability of extreme negative returns (crashes) of individual stocks as a measure of potential overpricing and find that stocks with a high probability of crashes earn abnormally low returns. Stocks with high crash probability are overpriced regardless of the level of...

Duarte and Young (2009) decompose PIN into adjusted PIN (AdjPIN) and probability of trading caused by symmetric order flow shocks (PSOS). We explore sources of PSOS in the Korean stock market and examine the relation between PSOS and stock returns. Using transaction data with trader types and...

We develop a conditional version of the consumption capital asset pricing model (CCAPM) using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a...