복권 성향 선호와 ELW 수익률간의 관계The Relation between Lottery Preferences and Returns on ELW
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 박태영 | ko |
| dc.contributor.author | 정기호 | ko |
| dc.date.accessioned | 2018-11-22T07:09:43Z | - |
| dc.date.available | 2018-11-22T07:09:43Z | - |
| dc.date.created | 2018-11-19 | - |
| dc.date.created | 2018-11-19 | - |
| dc.date.created | 2018-11-19 | - |
| dc.date.created | 2018-11-19 | - |
| dc.date.issued | 2018-08 | - |
| dc.identifier.citation | 한국경영과학회지, v.43, no.3, pp.15 - 35 | - |
| dc.identifier.issn | 1225-1119 | - |
| dc.identifier.uri | http://hdl.handle.net/10203/246936 | - |
| dc.description.abstract | In this study, we find that a negative correlation exists between the expected return of call ELW and the lottery-likeness of underlying stocks. Call ELW, with lottery-like stocks as the underlying asset, underperforms by 52.6% every quarter relative to its counterpart. This phenomenon is not driven by any known risk factors. The overpricing of call ELW written on lottery-like stocks cannot be fully explained by the overpricing of underlying stocks. Much more violation of put-call parity exists when its underlying stock has more lottery characteristics. | - |
| dc.language | Korean | - |
| dc.publisher | 한국경영과학회 | - |
| dc.title | 복권 성향 선호와 ELW 수익률간의 관계 | - |
| dc.title.alternative | The Relation between Lottery Preferences and Returns on ELW | - |
| dc.type | Article | - |
| dc.type.rims | ART | - |
| dc.citation.volume | 43 | - |
| dc.citation.issue | 3 | - |
| dc.citation.beginningpage | 15 | - |
| dc.citation.endingpage | 35 | - |
| dc.citation.publicationname | 한국경영과학회지 | - |
| dc.identifier.doi | 10.7737/JKORMS.2018.43.3.015 | - |
| dc.identifier.kciid | ART002381818 | - |
| dc.description.isOpenAccess | N | - |
| dc.subject.keywordPlus | ELW | - |
| dc.subject.keywordPlus | Lottery-Likeness | - |
| dc.subject.keywordPlus | Daily Maximum Return | - |
| dc.subject.keywordPlus | Return Predictability | - |
- Appears in Collection
- Files in This Item
- There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.