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Bullish/bearish/neutral strategies under short sale restrictions

Bae, Kwangil; Kang, Jangkoo; Lee, Soonhee - In: Journal of banking & finance 71 (2016), pp. 227-239

Persistent link: https://www.econbiz.de/10011635429

Prices of derivative warrants considering their market characteristics and short-selling costs of underlying assets

Bae, Kwangil; Lee, Soonhee - In: Finance research letters 45 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10014581630

Comment on "skewness-aware asset allocation"

Bae, Kwangil - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 403-410

Persistent link: https://www.econbiz.de/10010357368

Geometric and arithmetic realized comoments

Bae, Kwangil - In: Journal of derivatives and quantitative studies 30 (2022) 2, pp. 89-113

The author investigates realized comoments that overcome the drawback of conventional ones and derive the following findings. First, the author proves that (even generalized) geometric implied lower-order comoments yield neither geometric realized third comoment nor fourth moment. This is in...

Persistent link: https://www.econbiz.de/10013202389

Does short sale restriction lower price efficiency when substitutes exist? : evidence from the Korean market

Lee, Soonhee - In: Economics letters 158 (2017), pp. 77-79

Persistent link: https://www.econbiz.de/10011849812

Pricing basket and Asian options under the jump-diffusion process

Bae, Kwangil; Kang, Jangkoo; Kim, Hwa-sung - In: The journal of futures markets 31 (2011) 9, pp. 830-854

Persistent link: https://www.econbiz.de/10009355795

Can fat-tail create the momentum and reversal?

Bae, Kwangil; Kang, Hankil; Kang, Jangkoo - In: Applied economics 52 (2020) 44, pp. 4850-4863

Persistent link: https://www.econbiz.de/10012306509

A bias in Jensen’s alpha when returns are serially correlated

Kang, Jangkoo; Lee, Soonhee - In: Theoretical economics letters 3 (2013) 3, pp. 188-190

Persistent link: https://www.econbiz.de/10010239686

Is the information on the higher moments of underlying returns correctly reflected in option prices?

Kang, Jangkoo; Lee, Soonhee - In: The journal of futures markets 36 (2016) 8, pp. 722-744

Persistent link: https://www.econbiz.de/10011568552

Which traders contribute most to price discovery? : evidence from the KOSPI 200 options market

Kang, Hankil; Kang, Jangkoo; Lee, Soonhee - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2335-2347

Persistent link: https://www.econbiz.de/10011672513