This paper aims to investigate the impact of uncertainty on the predictive power of term spread and its components for future stock market returns and economic activity in Korea and the USA. This paper finds that the stock market’s expected excess return and growth of economic activity are...

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 conditional variances and implied variance during low uncertainty periods but unrelated or negatively related to...

This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications, citations, impact factors, and centrality indices grew up in early 2010s, and diminished in 2020. Keyword network...

We provide a new insight on how changes in risk affect a firm's capital structure decisions. Using an approach that alleviates potential problems caused by high capital structure adjustment costs, we test whether firms that experience a substantial increase in risk choose an external financing...

This study investigates firms' capital structure decisions around significant drops in stock price. We present evidence that firms usually repurchase equity to boost stock prices following these shocks, rather than retiring debt to rebalance their capital structures, even though buybacks cause...

We construct downside variance risk premiums from the crude oil and gold option data and use them as proxies for market downside uncertainty risks. We find that these downside variance risk premiums contain commodity market specifc pricing information. Further- more, the gold market's exposure...

We examine how the return predictability of deep learning models varies with stocks’ vulnerability to investors’ behavioral biases. Using an extensive list of anomaly variables, we find that the long-short strategy based on deep learning signals generates greater returns for stocks that are...

The negative volatility risk premium is understood as a result for a hedging demand against market declines. Although this negative volatility risk premium is observed in most index options markets, there are some doubts about its presence in the KOSPI 200 index options market. The majority of...