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Three Essays in Cross-Border Finance

"A Trans-Niagara Tale of Informed Traders."
  • American Economic Association (2010)—Financial Markets Session I
  • Financial Management Association (2009)—Ph.D. Consortium/Session
  • Northern Finance Association (2009)—"NFA 2009 & Ivey" Best Paper
  • Eastern Finance Association (2009)—Best Paper in Microstructure
  • European Finance Association (2008)—Market Microstructure Issues
This research documents the impact of differential private information on relative asset pricing across borders by studying the probability of informed trading (PIN) for Canadian shares traded on exchanges separated by Niagara Falls. Relative to the New York Stock Exchange (NYSE), the Toronto Stock Exchange (TSX) has more informed trades and accounts for a larger information share, indicating that informed traders contribute to cross-border price discovery. The information imbalance across the two markets is associated with small but positive price premiums for New York trades. The dynamics of these premiums depends on trade informedness. Lastly, the PIN of a TSX-listed share typically rises upon cross-listing on the NYSE, which is consistent with negative event-study returns of the original listing.

"Corporate Governance and Cross-Border Acquiree Returns."
  • Journal of Corporate Finance Conference on Corp. Governance (2009)
The theory of corporate governance suggests that managers of poorly governed firms are more likely to make poor investment decisions, and the evidence on high anti-takeover provision (ATP) firms is consistent. We study the effect of domestic and foreign takeovers by U.S. firms and find that high-ATP bidders tend to pay relatively high premiums for either targets. While this suggests that these firms make poor decisions, high-ATP bidders also experience relatively high event study returns at times of foreign takeover news. This contradicts the findings of Masulis et al. (2007) for domestic takeovers.

"American Depositary Receipts: Asia-Pacific Evidence on Convergence and Dynamics." 2008. Journal of Multinational Financial Management 18(4): 346-368. (pdf)
This study explores the convergence between the prices of American Depositary Receipts (ADRs) listed by Asia-Pacific firms and their original shares listed on home exchanges. Instead of relying on conventional parametric approaches that carry embedded model-specification errors, we contribute to the literature by introducing a nonparametric technique to estimate the convergence speed parameter. We present the time-varying characteristics of both firm and country-level convergence speed parameters. Furthermore, we empirically verify and visually corroborate the comparative dynamics of convergence with respect to short sales restrictions, trading time differences, and market-tier measures proxied by the Morgan Stanley Capital International indices. We conclude that enhancement in market efficiency accelerates the reversion to the parity of ADR-pairs.

Research in Progress
  • “How Smooth Is Price Discovery? Evidence from Cross-listed Stock Trading.” Working Paper, Xiamen University, Ewha School of Business, and Cornell University (with Haiqiang Chen and Yongmiao Hong).
  • “What Does PIN Measure? Some Evidence from Closed-end Fund Trading.” Working Paper, Cornell University, Ewha School of Business, and Stockholm School of Economics (with Warren B. Bailey and Jungsuk Han).
  • “Synchronous Price Discovery of Cross-listings.” Working Paper, Xiamen University and Ewha School of Business (with Haiqiang Chen).
  • “A Dynamic Model of Closed-end Fund Discounts with Noise Trader Risk.” Working Paper, University of Oxford, Ewha School of Business, and Stockholm School of Economics (with Kwangwon Ahn and Jungsuk Han).
  • “Corporate Transparency and Innovation Accounting of New Product Impact.” Working Paper, Ewha School of Business and University of North Carolina at Chapel Hill (with Jongkuk Lee and Junhee Kim).
  • “Information System Investments and Aggregate Productivity.”  Working Paper, KAIST and Ewha School of Business (with Hakyoul Choe).
Case Studies
  • “Are Initial Public Offerings Truly Underpriced?—A Case Study by Monte Carlo Simulation.” 2005. Case Study, Cornell University and Yale School of Management (with Steven J. Jordan). (pdf)
  • “Hynix Semiconductor, Inc.—A Case Study on Global Depositary Receipts.” 2005. Case Study, Cornell University and Yale School of Management (with Steven J. Jordan). (pdf)
Harvard Business School
  • “A Novel Approach to Stock Index Forecasting and Asymmetric Beta Strategy.” 2005. Working Paper, Harvard Business School and Mirae Asset Securities, Co (with Young Jean Hwang). (pdf)
  • “The World Market Portfolio Database.” 2005. Working Paper, Harvard Business School (with André F. Perold, Joshua Musher).
Political Methodology
  • “State-Space Poisson Estimation of Event-Count Time Series, and Legislative Productivity.”  2005. Working Paper, Harvard University (with Kentaro Fukumoto). (pdf)
  • “Korean Voters Are No-Longer Red-Allergic—An Application of the Proportional Odds Model.” 2004. Working Paper, Harvard University. (pdf)
Deutsche Bank Equity Research (pdf)
  • “Samsung SDI Co., Ltd.—2Q02 results were in-line...” (July 25, 2002)
  • “Samsung Electro-Mechanics Co.—Another downgrade...” (June 21, 2002)
  • “Samsung SDI Co., Ltd.—Initiating Coverage.” (May 3, 2002)
  • “Samsung Electro-Mechanics Co.—1Q02 results.” (April 23, 2002)
  • “Deutsche Bank Korean Mid-Cap Technology Conference—Handbook.” (April 18-19, 2002)
  • “Samsung Electro-Mechanics Co.—Initiating Coverage.” (March 26, 2002)
  • “Korea Strategy—Brave new world of low interest rates...” (September  14, 2001)
  • “Korea Strategy—Construction industry: light at the end of the tunnel.” (June 15, 2001)
  • “Hansol Paper Company” (December 17, 2001), “Seoul Broadcasting System” (November 11, 2001), “Taeyoung Corp.” (November 7, 2001), “Cheil Communications” (November 5, 2001), “Samsung Electro- Mechanics Co.” (October 29, July 27, 2001), “Dongbu Electronics” (October 18, 19, 2001) and “Hyundai Heavy Industries” (July 4, 2001)