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  • 제목 APAD 2018 Session 1 - 3
    작성자 관리자 조회수 222 작성일 2018.07.27
    ❖ Session 1: Empirical Asset Pricing 1
    • V-Shaped Disposition Effect, Stock Prices, and Post-Earnings-Announcement Drift: Evidence from Korea
    Minki Kim (KAIST)
    Toyoung Kim (KAIST)
    Tong Suk Kim (KAIST)

    • Risk Characteristic of Fat Tails in Return Distributions: A Case of the Korean Stock Market
    Cheoljun Eom (Pusan National Univ.)
    Taisei Kaizoji (International Christian Univ.)
    Enrico Scalas (Univ. of Sussex)

    • Market Capitalization, Corporate Payouts, and Expected Returns
    Bong-Gyu Jang (POSTECH)
    Bong-Soo Lee (Florida State Univ.)
    Hyun-Tak Lee (National Univ. of Singapore)

    • Time-Varying Payoffs of Return-Adjusted Momentum Strategies
    Weifeng Hung (Feng Chia Univ.)
    J. Jimmy Yang (Oregon State Univ.)
    Pai-Ta Shih (National Taiwan Univ.)
    Chin-Ho Chen (Feng Chia Univ.)

    ❖ Session 2: Options
    • Net Buying Pressure and Informed Trading in the Options Market: Evidence from Earnings Announcements
    Ihsan Badshah (Auckland Univ. of Technology)
    Hardjo Koerniadi (Auckland Univ. of Technology)
    James Kolari (Texas A&M Univ.)

    • The Impact of Intraday Net Buying Pressure on Implied Volatility in the VIX Options Market
    Yi-Wei Chuang (National Sun Yat-sen Univ.)
    Wei-Che Tsai (National Sun Yat-sen Univ.)
    Ming-Hung Wu (National Sun Yat-sen Univ.)

    • Indian Equity Options: Smile, Risk Premiums and Efficiency
    Sonali Jain (Indian Institute of Management Ahmedabad)
    Jayanth R. Varma (Indian Institute of Management Ahmedabad)
    Sobhesh Kumar Agarwalla (Indian Institute of Management Ahmedabad)

    • Is Trading What Makes Prices Informative? Evidence from Option Markets
    Danjue Shang (Utah State Univ.)

    ❖ Session 3: Market Microstructure
    • Time-Varying Aggregate Short-Selling in Korea
    Kuan-Hui Lee (Seoul National Univ.)
    Shu-Feng Wang (National Central Univ., TW)

    • Settlement Procedures and Stock Market Efficiency
    Emily Lin (St. John’s Univ., TW)
    Carl R. Chen (Univ. of Dayton)

    • The Impact of Strategic Limit Order Submissions on Foreign Exchange Market Liquidity
    Alexis Stenfors (Univ. of Portsmouth)
    Masayuki Susai (Nagasaki Univ.)

    • The Information Content of Net Buying Pressure: Evidence from the Shanghai 50 ETF Option Market
    Xingguo Luo (Zhejiang Univ.)
    Yaxi Xiao (Zhejiang Univ.)
    Shihua Qin (Zhejiang Univ.)


    첨부파일 첨부파일 Session3.zip(1273348 Byte)
    첨부파일 Session1.zip(2195030 Byte)
    첨부파일 Session2.zip(1345273 Byte)

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