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Changes in market uncertainty and profitability of idiosyncratic volatility anomaly in Korea

Kim, Jung-Mu; Park, Yuen Jung; Ok, Young-Kyung - In: Journal of international trade & commerce 15 (2019) 6, pp. 69-78

Persistent link: https://www.econbiz.de/10012591064

Cross-sectional expected returns and predictability in the Korean stock market

Kim, Toyoung; Kim, Tong Suk; Park, Yuen Jung - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 15, pp. 3763-3784

Persistent link: https://www.econbiz.de/10012423689

Stock buybacks and credit default swap spread changes

Park, Heewoo; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 31 (2023) 1, pp. 55-75

The authors investigate whether the effects of stock buyback announcements on credit default swap (CDS) spread changes for US firms depend on macroeconomic conditions. The authors find that abnormal CDS spreads increase for small-sized firms announced to repurchase a higher share ratio during...

Persistent link: https://www.econbiz.de/10014226933

Does information environment affect information spillover between the CDS and stock markets in Korea?

Park, Heewoo; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 32 (2024) 2, pp. 145-158

This study analyzes the impact of the information environment (IE) and credit default swap (CDS) transaction costs on information transmission between the stock and CDS markets. Using the daily regression analysis on the Korean firm's stock and CDS data from 2004 to 2023, the results show that...

Persistent link: https://www.econbiz.de/10015055028

Is there price discovery in equity options?

Muravyev, Dmitriy; Pearson, Neil D.; Broussard, John Paul - In: Journal of financial economics 107 (2013) 2, pp. 259-283

Persistent link: https://www.econbiz.de/10009719741

Stock price clustering on option expiration dates

Xiaoyan Ni, Sophie; Pearson, Neil D.; Poteshman, Allen M. - In: Journal of financial economics 78 (2005) 1, pp. 49-87

Persistent link: https://www.econbiz.de/10003127770

Exploiting the conditional density in estimating the term structure : an application to the Cox, Ingersoll, and Ross model

Pearson, Neil D. - In: The journal of finance : the journal of the American … 49 (1994) 4, pp. 1279-1304

Persistent link: https://www.econbiz.de/10001171966

Why does the option to stock volume ratio predict stock returns?

Ge, Li; Lin, Tse-Chun; Pearson, Neil D. - In: Journal of financial economics 120 (2016) 3, pp. 601-622

Persistent link: https://www.econbiz.de/10011590269

Does option trading have a pervasive impact on underlying stock prices?

Ni, Sophie X.; Pearson, Neil D.; Poteshman, Allen M.; … - In: The review of financial studies 34 (2021) 4, pp. 1952-1986

Persistent link: https://www.econbiz.de/10012504731

Do firms knowingly sell overvalued equity?

Lee, Inmoo - In: The journal of finance : the journal of the American … 52 (1997) 4, pp. 1439-1466

Persistent link: https://www.econbiz.de/10001227644