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  • 제목 APAD2017 Session 7 - 9
    작성자 관리자 조회수 1569 작성일 2017.07.21
    ❖ Session 7: Asset Pricing: Predictability
    • The Information Content of Option-Implied Tail Risk on the Future Returns of the Underlying Asset
    Yaw-Huei Wang (National Taiwan Univ.)
    Kuang-Chieh Yen (National Taiwan Univ.)

    • A Comprehensive Look at the Return Predictability of Variance Risk Premia
    Suk-Joon Byun (KAIST)
    Bart Frijns (Auckland Univ. of Technology)
    Tai-Yong Roh (Auckland Univ. of Technology)

    • Finding a Better Momentum Strategy from the Stock and Commodity Futures Markets
    Kyung Yoon Kwon (KAIST)

    ❖ Session 8: Options
    • A Generalized Model for Black-Scholes Option Pricing and Investor Sentiment
    Kwangwon Ahn (KAIST)
    Chang Y. Ha (Peking Univ.)
    Yue Sun (Peking Univ.)
    Brian Yang (Peking Univ.)

    • Option-Implied Tail Risk, Timing by Hedge Funds, and Performance
    Min Ki Kim (KAIST)
    Dong Jun Oh (Mirae Asset Global Investments)
    Jung Soon Shin (Ewha Womans Univ.)
    Tong Suk Kim (KAIST)

    • Sum of all Black-Scholes-Merton Models: An Efficient Pricing Method for Spread, Basket, and Asian Options
    Jaehyuk Choi (Peking Univ.)

    ❖ Session 9: Behavioral Finance
    • Day Trading is Good to Your Wealth
    Pei-Shih Weng (National Dong Hua Univ.)

    • Investor Attention and Stock Market Under-reaction to Earnings Announcements: Evidence from the Options Market
    Xuewu (Wesley) Wang (Univ. of Oklahoma)
    Zhipeng Yan (New Jersey Institute of Technology)
    첨부파일 첨부파일 Session7_APAD2017.zip(2959840 Byte)
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    첨부파일 Session9_APAD2017.zip(1121113 Byte)