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Asiasn review of Financial research

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Asian Review of Financial Research / November 2019 Vol. 32 No. 4

A Firm-Level Analysis of the Cross-Sectional Relation between Expected Returns and Expected Idiosyncratic Volatility in the Korean Stock Market

Sangkyu Lee, Young Sik Kim

Asian Review of Financial Research

Vol.32 No.4 pp.513-561

Keyword : Idiosyncratic Volatility Anomaly, EGARCH, Conditional Out-of-Sample Expected Idiosyncratic Volatility, Conditional in-Sample Expected Idiosyncratic Volatility, Look-Ahead-Bias

Cross-Asset Holding in Fund Families

Hyun-Han Shin, Jun Kyung Auh, Byoungho Choi

Asian Review of Financial Research

Vol.32 No.4 pp.563-605

Keyword : Fund Family, Mutual Fund, Market Segmentation, Scaling Effect, Cross-Asset Holding

Reconsidering the Affirmative Obligations of Designated Market Makers in a High-Frequency Trading Environment

Tae-Hun Kang

Asian Review of Financial Research

Vol.32 No.4 pp.607-650

Keyword : Market Making Scheme, Designated Market Makers, Liquidity, High- Frequency Trading, Mini Futures Market

A Study on the Short-Term Informativeness of Transactions by the National Pension Fund

Min-Cheol Woo, Cheol-Won Yang

Asian Review of Financial Research

Vol.32 No.4 pp.651-689

Keyword : The National Pension Fund, Short-term Informativeness, Price Pressure, Portfolio, Regression

Revisiting to Acquirers' Returns on Mergers of Privately Held Targets

Bongkyun Choi, Doseong Kim, Youngjoo Lee

Asian Review of Financial Research

Vol.32 No.4 pp.691-722

Keyword : Mergers And Acquisitions, M&A Announcement Effect, Acquirers', Returns, Privately Held Targets, Backdoor Listing

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