business adminstration A NEW PARADIGM OF management and technology
Abstract We examine how investor emotions and Bitcoin price influence each other using high- frequency data and NLP analysis. Emotions regarding Bitcoin are extracted from an online chatting window at one of the largest cryptocurrency exchanges in Korea. To control for global factors, we also analyze relative Bitcoin prices, Korean premium, and differences between Korean
Kyounghun Bae Hanyang UniversityAbstract This paper suggests an efficient and simple regression-based approach for consistent estimation of dynamic effects of structural shocks in vector autoregressions (VAR) with proxy variables for the shocks. First, we show that given a serially uncorrelated proxy variable correlated only with current structural shock of interest, the existing Proxy Structural VAR (Proxy-SVAR) approach using
Eul Noh(Ph.D.) University of California, San DiegoAbstract Cross-country estimates of Taylor rules suggest that higher data uncertainty is associated with a more inertial behavior of interest rates. Data uncertainty is measured by the volatility of differences between real-time data and their revisions. Using a simple structural model with Kalman filter learning, I replicate the cross-country pattern of the inertial behavior. More
Saiah Lee(Ph.D.) University of Wisconsin, MadisonAbstract We provide direct evidence about the profitability of hedge fund short trades in equities. We identify the opening and closing of short (and long) trades by combining data on institutional investors’ transactions and holdings. Hedge fund short sales covered within five trading days are highly profitable, but short positions kept open longer than five
Jaewon Choi, Associate Professor of Finance, University of IllinoisAbstract This research provides a new linear time-varying regression with dynamic conditional correlation (DCC) estimated by Gaussian and Student-t copulas for forecasting financial volatility. Time-varying parameters will be estimated for non-parametric dependence by using copula functions with United States stock market data. We compare our model with Kim et al.’s (2016) linear time-varying
Jong-Min Kim(Professor, University of Minnesota at Morris )Abstract: This paper shows that hedge fund activism leads to lower M&A activities, lower takeover premiums, more favorable market reactions to M&A announcements, and better post-M&A stock and operating performance using Schedule 13D filings by hedge funds and M&A announcements made by US companies from 1993 to 2015. We explore various governance variables (i.e., board
Kee H. Chung(Louis M. Jacobs Professor of Financial Planning and Control) School of Management, SUNY at BuffaloAbstract: This research proposal is to present effective online targeted marketing strategies using big data of user online behavior analysis. In study 1, user’s online mobile shopping behavior includes channel of influx, duration of use, usage date, device type, and shopping mall type. Heterogeneous characteristics for both individual behavior and group behavior showed disparity on
Ki Hwan Nam(Collegiate Faculty of SBA,UNIST)In the New Era with Technology Development
Kim Dong-Suk(KAIST, Professor of Finance)Abstract: Both politicians and companies gain from political connections. We find that the representative of the House who vote for deregulations are more likely to end up in business jobs after leaving the Congress. The analysis of voting behavior in a major financial regulation – Gramm-Leach-Bliley Act of 1999 – show the members
Yong-Cheol Kim(Associate Professor of Finance)
