Three Essays in Cross-Border Finance
- 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)
- “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)

