Pub Date : 2021-11-30DOI: 10.37197/arfr.2021.34.4.1
Seung Hyun Jeong, Hoon Cho, Jihun Kim, Dohyun Chun
{"title":"The Relationship between Asymmetric Downside Beta and Stock Returns : Evidence from the Korean Stock Market","authors":"Seung Hyun Jeong, Hoon Cho, Jihun Kim, Dohyun Chun","doi":"10.37197/arfr.2021.34.4.1","DOIUrl":"https://doi.org/10.37197/arfr.2021.34.4.1","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125247224","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-11-30DOI: 10.37197/arfr.2021.34.4.4
Chung-hun Hong, Sol Kim
{"title":"The Effect of ELS Issuance in Korea on the Volatility Skew in the HongKong Option Market","authors":"Chung-hun Hong, Sol Kim","doi":"10.37197/arfr.2021.34.4.4","DOIUrl":"https://doi.org/10.37197/arfr.2021.34.4.4","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"149 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115472759","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-11-30DOI: 10.37197/arfr.2021.34.4.6
Minchan Song, Doojin Ryu
{"title":"Predicting Loan Delinquency by Analyzing Sample DB with Machine Learning","authors":"Minchan Song, Doojin Ryu","doi":"10.37197/arfr.2021.34.4.6","DOIUrl":"https://doi.org/10.37197/arfr.2021.34.4.6","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"266 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114479415","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-31DOI: 10.37197/arfr.2021.34.3.2
Kyumin Cho
{"title":"CEO Inside Debt and CSR : The Impact of CEO Retirement and Product Market Competition","authors":"Kyumin Cho","doi":"10.37197/arfr.2021.34.3.2","DOIUrl":"https://doi.org/10.37197/arfr.2021.34.3.2","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124941871","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-31DOI: 10.37197/arfr.2021.34.3.6
Jaewon Choi
Using short-window regressions, prior studies have shown that the conditional CAPM performs as poorly as the unconditional CAPM and that unconditional alphas are too large to be explained by the covariance between conditional betas and market risk premium. I examine the extent to which these results are driven by estimation biases in short-window regressions. Even when the true time-varying beta has highly transient components, beta estimates from these short-window regressions can be estimated to highly persistent because of yearly portfolio reformulations that are commonly employed in empirical studies. I show that, under these circumstances, large non-zero alpha estimates from short-window regressions are consistent with the conditional CAPM and the covariance estimates between conditional betas and market risk premium are biased downward and can have large estimation errors.
{"title":"Testing the Conditional CAPM Using Short-Window Regressions : A Critique","authors":"Jaewon Choi","doi":"10.37197/arfr.2021.34.3.6","DOIUrl":"https://doi.org/10.37197/arfr.2021.34.3.6","url":null,"abstract":"Using short-window regressions, prior studies have shown that the conditional CAPM performs as poorly as the unconditional CAPM and that unconditional alphas are too large to be explained by the covariance between conditional betas and market risk premium. I examine the extent to which these results are driven by estimation biases in short-window regressions. Even when the true time-varying beta has highly transient components, beta estimates from these short-window regressions can be estimated to highly persistent because of yearly portfolio reformulations that are commonly employed in empirical studies. I show that, under these circumstances, large non-zero alpha estimates from short-window regressions are consistent with the conditional CAPM and the covariance estimates between conditional betas and market risk premium are biased downward and can have large estimation errors.","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132557557","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-31DOI: 10.37197/arfr.2021.34.3.1
Chaehyun Kim
{"title":"Exploring Nonlinear Effects of CEO Power on Stock Price Crash Risk","authors":"Chaehyun Kim","doi":"10.37197/arfr.2021.34.3.1","DOIUrl":"https://doi.org/10.37197/arfr.2021.34.3.1","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114479400","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-31DOI: 10.37197/arfr.2021.34.3.5
Heejin Park, 부산대학교 경영대학 조교수
{"title":"A Study on the Protection Plan to Defined Benefit Retirement Pension Entitlement","authors":"Heejin Park, 부산대학교 경영대학 조교수","doi":"10.37197/arfr.2021.34.3.5","DOIUrl":"https://doi.org/10.37197/arfr.2021.34.3.5","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131042029","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-31DOI: 10.37197/arfr.2021.34.3.3
Kyounghun Kim, 대한상공회의소 Sgi 연구위원, Namhyun Kim
{"title":"The Relationship between Non-interest Revenue and Profitability in Korean Banks","authors":"Kyounghun Kim, 대한상공회의소 Sgi 연구위원, Namhyun Kim","doi":"10.37197/arfr.2021.34.3.3","DOIUrl":"https://doi.org/10.37197/arfr.2021.34.3.3","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116663959","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-31DOI: 10.37197/arfr.2021.34.3.4
Jiyoun Park, 연세대학교 경영대학 박사과정
{"title":"The Study on Corporate Governance and Innovation : Evidence from Korean Patent","authors":"Jiyoun Park, 연세대학교 경영대학 박사과정","doi":"10.37197/arfr.2021.34.3.4","DOIUrl":"https://doi.org/10.37197/arfr.2021.34.3.4","url":null,"abstract":"","PeriodicalId":197115,"journal":{"name":"Asian Review of Financial Research","volume":"305 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122804904","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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