This study examines time-series momentum in the Chinese commodity futures market. The findings show that a time-series momentum strategy performs best with a one-month look-back period and a one-month holding period. Furthermore, this strategy outperforms passive long and cross-sectional...

To valuate mortgage-backed securities, it is crucial to understand mortgage termination behavior. Analyzing the unique loan-level dataset, this study examines the characteristics of mortgage prepayment and default behavior in the Korean housing and housing finance markets. We find that loans to...

This study investigates credit card loan delinquency in Korea. We define three states - no delinquency, delinquency, and serious delinquency - and test the transition probabilities between them using quarterly observed account-level data. Our findings have several economic implications. First,...

This study aims to examine the impact of option incentives on corporate innovations in the representative emerging and transition economy. By utilizing the Chinese dataset, we find a noteworthy positive impact of option incentives on two dimensions of innovation: inputs and outputs. These...

A hedge fund's capital structure is fragile because uninformed fund investors are highly loss sensitive and easily withdraw capital in response to bad news. Hedge fund managers, sharing common investors and interacting with each other through market price, sensitively react to other funds'...

The authors theoretically analyze the efficiency of liquidity flows in stabilizing distressed markets. Their analysis focuses on the incentives for financial institutions; specifically, they focus on arbitrage profit as an incentive and liquidity risk as a disincentive. The authors show that...

This study investigates the economic and financial drivers of volatility changes and integrates them into stock market volatility forecasting. We first collect a diverse set of predictor variables and analyze them within a unified framework. We discover that only a small number of variables...

This study compares the information content of funds from operation (FFO) and net income (NI) in the real estate investment trust (REIT) industry. We find that models using FFO explain more of the variance in cumulative abnormal returns around earnings announcement dates than models using NI do....

A hedge fund's capital structure is fragile because uninformed fund investors are highly loss sensitive and easily withdraw capital in response to bad news. Hedge fund managers, sharing common investors and interacting with each other through market price, sensitively react to other funds'...

The authors theoretically analyze the efficiency of liquidity flows in stabilizing distressed markets. Their analysis focuses on the incentives for financial institutions; specifically, they focus on arbitrage profit as an incentive and liquidity risk as a disincentive. The authors show that...