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  • 제목 APAD2017 Session 4 - 6
    작성자 관리자 조회수 1404 작성일 2017.07.21
    ❖ Session 4: Asset Pricing: General
    • Asset Allocation and Pension Liabilities in the Presence of a Downside Constraint
    Byeong-Je An (Nanyang Technological Univ.)
    Andrew Ang (Blackrock)
    Pierre Collin-Dufresne (Ecole Polytechnique Federale de Lausanne)

    • Bear Beta
    Zhongjin Lu (Univ. of Georgia)
    Scott Murray (Georgia State Univ.)

    • Mark-to-Market Reinsurance and Portfolio Selection: Implications for Information Quality
    Bong-Gyu Jang (POSTECH)
    Kyeong Tae Kim (POSTECH)
    Hyun-Tak Lee (National Univ. of Singapore)

    ❖ Session 5: Futures
    • Currency Derivatives for Hedging: New Evidence on Determinants, Firm Risk, and Performance
    Sung C. Bae (Bowling Green State Univ.)
    Hyeon Sook Kim (Chungnam National Univ.)
    Taek Ho Kwon (Chungnam National Univ.)

    • Rise of the Uninformed: An Analysis of the Time-to-Maturity Pattern of Information Asymmetry and its Impact on Futures Return Volatility
    Hoang Long Phan (Univ. of Adelaide and Danang Univ.)
    Ralf Zurbruegg (Univ. of Adelaide)
    Paul Brockman (Lehigh Univ. and Univ. of Adelaide)
    Chia-Feng Yu (Univ. of Adelaide)

    • Term Structure of Momentum in the Commodity Futures Market
    Jangkoo Kang (KAIST)
    Kyung Yoon Kwon (KAIST)
    Jaesun Yun (KAIST)

    ❖ Session 6: Market Microstructure
    • Information and Trading Targets in a Dynamic Market Equilibrium
    Jin Hyuk Choi (UNIST)
    Kasper Larsen (Carnegie Mellon Univ.)
    Duane J. Seppi (Carnegie Mellon Univ.)

    • Media News and Cross Industry Information Diffusion
    Li Guo (Singapore Management Univ.)

    • The Disagreement with Herding, Market Bubble, and Excess Volatility
    Suk-Joon Byun (KAIST)
    Hyun-Sik Jung (KAIST)
    첨부파일 첨부파일 Session4_APAD2017.zip(1508221 Byte)
    첨부파일 Session5_APAD2017.zip(2831645 Byte)
    첨부파일 Session6_APAD2017.zip(1979363 Byte)