[Research Seminar 2019.02.08]Impulse-Response Analysis with Proxy Variables

Abstract 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

[Research Seminar 2019.02.08]Monetary Policy under Data Uncertainty: Interest-Rate Smoothing from a Cross-Country Perspective

Abstract 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

[Research Seminar 2019.01.29]A First Glimpse into the Short Side of Hedge Funds

Abstract 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

[Research Seminar 2018.12.17]Linear time-varying regression with Copula-DCC-GARCH models for volatility

    Abstract 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

SBA Special Lecture / 경영학부 특강 개최(2018.12.04)

[Research Seminar 2018.10.31]Hedge Fund Activism and Corporate M&A Decisions

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

[Research Seminar 2018.10.26]Behavior-based Recommender Systems using Big Data Analysis

Abstract: 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

[경영학부 Seminar 2018.10.25]Building Career in Financial Engineering

In the New Era with Technology Development  

[Research Seminar 2018.08.27]Political capital: An analysis of Congress voting on the financial regulations

    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

[Research Seminar 2018.08.23]Is Corporate Social Responsibility Priced?

Abstract: We provide evidence that firms with higher CSR activities earn initially lower future returns in asset pricing context. The quintile (or decile) hedging strategy buying the lowest CSR portfolio and selling the highest CSR portfolio earns 3.36-3.96% (4.23-4.52%) annual return on average. The negative relation between CSR and future returns is consistent with the