We investigate the relation between the option returns and the underlying stock's lottery-like
characteristics. Call options written on the most lottery-like stocks underperform otherwise …

We study the return predictability of a measure of continuing overreaction based on the
weighted average of signed volumes. We find that the strategies of buying stocks with upward …

This article examines the volatility forecasting abilities of three approaches: GARCH-type
model that uses carbon futures prices, an implied volatility from carbon options prices, and the k…

… In Joon Kim Suk Joon Byun … Suk Joon Byun; Department of Management and Policy, Korea
Advanced Institute of Science and Technology; 373–1 Kusong-dong, Yusong-gu, Taejon 305…

This paper has two aims. The first aim is to investigate whether poor corporate governance
negatively affects equity participation of foreign investors. The second aim is to investigate …

It is well documented that stocks with lottery-like characteristics are overpriced. We find that
the lottery-related anomaly exists primarily among stocks that are far from their 52-week high …

The paper investigates whether risk-neutral skewness has incremental explanatory power
for future volatility in the S&P 500 index. While most of previous studies have investigated the …

This paper examines the time variations of expected momentum profits using a two-state
Markov switching model with time-varying transition probabilities to evaluate the empirical …

We develop a discrete-time option pricing model incorporating a variance-dependent pricing
kernel of Christoffersen et al. (2013) under an economic framework allowing for dynamic …

The discrepancy between in‐sample and out‐of‐sample predictability of common predictors
for asset returns has been widely discussed in the literature. We examine the out‐of‐sample …