Earticle

초록

영어

There are some literatures focusing on correlation character and the portfolio perfor- mance with that. However, it is hard to nd literatures directly showing any empirical evidence of correlation eect through a existing nancial asset. Using the publicly oered Two Asset Reverse Convertible (TARC) data, which embedded correlation fea- ture, we derive the theoretical price and study how correlation attributes to the value of the TARC. Also we ensure that correlation is an important factor to the issuer as a timer and a hedger. The existence of trade o relationship between as a timer, or a hedger enables us to understand the asset selection mechanism of the issuer.

목차

Abstract
 1 Introduction
 2 Two Asset Reverse Convertible
  2.1 Structure of TARCs
  2.2 The Key Issue : Information Asymmetry
 3 Theoretical TARC Price
  3.1 Oering Price
  3.2 Reservation Price
 4 Ambivalent Sides with Correlation
  4.1 Correlation with Timer
  4.2 Correlation with Hedger
 5 Empirical Analysis
  5.1 Dynamic Conditional Correlation Multivariate-GARCH
  5.2 Volatility and Correlation
  5.3 Sensitivity to Correlation
  5.4 Stability Test
  5.5 Volatility - Return Adjusted Correlation Test
 6 Conclusion
 Appendix
 References
 Table
 Figure

키워드

저자

• Young-Min Choi [ Department of Economics, Seoul National University ]
• Young-Sik Kim [ Department of Economics, Seoul National University ]
• Won-Suk Liu [ Department of Economics, Seoul National University ]

참고문헌

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330