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Yul W. Lee's
Scholarly Papers
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1,728 |
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Citations
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Yul W. Lee
University of Rhode Island - Area of Finance and Insurance Zhiyi Song
Bear, Stearns & Co., Inc.
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27 Jun 03
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27 Jun 03
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Abstract:
This paper investigates a relation between investor sentiment and performance of value stocks over growth stocks. To measure noise investors' sentiment, we use gauges: the CBOE equity put-call ratio and the market volatility (VIX) index. We find that value stocks tend to outperform growth stocks when the CBOE equity put-call ratio is relatively low or the VIX is relatively high. When the put-call ratio is relatively high or the VIX is relatively low, however, growth stocks marginally outperform or perform as well as value stocks. This finding suggests that the return premium of value stocks over growth stocks is at least partially influenced by investor sentiment. A strategy that switches equity styles on the basis of the put-call ratio seems to beat the benchmarks.
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2.
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Yul W. Lee
University of Rhode Island - Area of Finance and Insurance Keith M. Moore
St. John's University - Department of Economics and Finance
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26 Jun 03
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02 Sep 03
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Abstract:
This paper attempts to make a contribution to the understanding of the factors that determine premiums/discounts of closed-end bond funds. Much research has been conducted to explain closed-end equity fund premiums/discounts. Very little evidence, however, has been developed to explain why closed-end bond funds trade at premiums over or discounts from net asset values. In this paper, we hypothesize that short-term investors who seek a high current yield look to closed-end bond funds as a monthly income vehicle. In addition, closed-end funds allow individual investors with a short investment horizon to get in and out of the funds easily. We present evidence that there is a significant and positive relation between bond fund premiums and the dividend yield. We also examine whether closed-end bond fund premiums/discounts are related to other factors such as leverage, future investment performance, lifeboat provisions, anti-takeover provisions, and liquidity.
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3.
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Yul W. Lee
University of Rhode Island - Area of Finance and Insurance
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29 Sep 99
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16 Mar 01
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Abstract:
This paper offers a new explanation for why some risk-averse firms may prefer to issue callable convertible debt. In this paper, the convertible debt issue and call policies are integrated into a unified financing policy. It is then shown that convertible debt issuance followed by the in-the-money signalling call policy reduces more unsystematic equity risk than equity, callable straight debt, or their combination. The model is modified to incorporate asymmetric information at the issue stage in order to explain the stock price behavior at announcements of convertible debt sales. Finally, the paper discusses some unique empirical implications of the model regarding the firm's motivation for convertible debt issue.
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4.
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Yul W. Lee
University of Rhode Island - Area of Finance and Insurance
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04 Nov 98
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Last Revised:
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04 Nov 98
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Abstract:
This paper offers a new explanation for why some firms may prefer to issue convertible debt. In this paper, the convertible debt issue and call decisions are integrated into a unified financing policy. It is then shown that the issuance of convertible debt coupled with the in-the-money signaling call policy reduces more unsystematic equity risk than callable straight debt (or rollover of short term debt) or equity financing. The paper proceeds to discuss the empirical implications of the model about the stock price behavior at announcements of convertible issues and calls. The paper also discusses other unique empirical implications of the model regarding entrepreneurs' (or managers') motivations for issuing convertible debt and corporate convertible call policy.
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