We hypothesize that investor relations(IR) as voluntary disclosures lead to long-term reductions in information asymmetry among investors. The results show that firms which held IR experience a significant decline in the subsequent level of information asymmetry, in contrast to firms which did not. This decline in information asymmetry results from less trading by privately informed investors relative to uninformed investors. After the potential endogenous relation between disclosure and information asymmetry is controlled, the results are robust. Additionally, we find that IRs held consecutively over two quarters do not contribute to the further decline in information asymmetry. The results imply that IR activities are effective in reducing information asymmetry and therefore, might contribute to a decline in the cost of capital.

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This paper investigates the effects of infrequent trading and overnight trading halts on the overnight and daytime returns behavior. Previous empirical studies of market microstructure document the variance and covariance structure of intra- and inter-day stock returns. Many of them try to explain their findings by bid- ask spread. This study, however, explains it by the effects of infrequent trading and overnight trading halts. A model is developed for explaining various returns behavior based on the existence of infrequent trading and overnight trading halts. Empirical evidence is presented for KOSPI All Share, Large Cap, Small Cap indices. The empirical results confirm the validity of the model proposed in this study.

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The beneficiary regard public pension fund as risk free asset. It is reason why the government guarantee the pension members pension benefit with no relation of fund investment result. But the pension members predict changing of pension scheme when the pension liability exceed pension asset plus government pension support ability. When pension liability is bigger than government payment due to poor pension fund performance, the members think that pension scheme must be changed. They consider that pension contribution rate will be raised or beneficiary will be reduced. They regard pension benefit right as risk asset including possibility of changing in consequence of pension fund result. In this paper, I try to estimate discount rate of pension liability including pension scheme risk; the probability of reducing beneficiary or raising contribution.

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This paper estimates the empirical pricing kernels (EPK) implied by the KOSPI 200 options using the reverse engineering technique suggested by Rosenberg and Engle (2002). The empirical pricing kernels are estimated as a power function as well as a polynomial function of the returns of the underlying index. The empirical results documented in this paper are as follows： First, the empirical performance of the power pricing kernel is worse than that of the polynomial pricing kernel that contains more parameters and so is more flexible than the power pricing kernel. This contrasts to the results of Rosenberg and Engle (2002), which investigate the S&P 500 options market. Second, the pricing and forecasting ability of the EPK deteriorate if we estimate the EPK by imposing the restriction that the EPK prices the short term bond exactly. While the amount of the deterioration is large in the case of the power pricing kernel, it is relatively small in the case of the polynomial pricing kernel. The hedging performance with the restriction is almost the same as or sometimes better than the one without the restriction, depending on the hedging method. Third, the empirical performance of time-invariant EPKs is generally poor. The difference in the empirical performance between the time-invariant EPK and the time varying EPK is more prominent in the case of polynomial EPK. The hedging performance of time-invariant EPKs is sometimes better than that of the time-varying EPKs in the case of power EPK. Fourth, the polynomial EPK is more sensitive to the underlying return state compared to the power EPK. The shape of the polynomial EPK that is a function of the underlying return state fluctuates more and reflects the non-linearity of the pricing kernel better than the power EPK. The estimated power EPKs tend to decrease as the underlying return increase. This implies the marginal utilities of investors decrease with the underlying return. Fifth, the risk aversion implied by the EPK is time varying and it has a statistically significant relation with the KOSPI 200 index return and the lag value of the risk aversion.

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