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  • 제목 APAD 2018 Session 4 - 6
    작성자 관리자 조회수 206 작성일 2018.07.27
    ❖ Session 4: Empirical Asset Pricing 2
    • Time-Varying Price Discovery in Spot, Futures and Options Markets: Evidence from China
    Kwangwon Ahn (KAIST)
    Yingyao Bi (China Merchants Securities)
    Sungbin Sohn (Peking Univ.)

    • Biases in Variance of Decomposed Portfolio Returns
    Vitali Alexeev (Univ. of Technology Sydney)
    Katja Ignatieva (Univ. of New South Wales)

    • The Role of Psychological Barriers in Lottery-Related Anomalies
    Suk-Joon Byun (KAIST)
    Jihoon Goh (KAIST)

    ❖ Session 5: Volatility
    • Hyperbolic Normal Stochastic Volatility Model
    Jaehyuk Choi (Peking Univ.)
    Chenru Liu (Peking Univ.)
    Byoung Ki Seo (UNIST)

    • Bad Volatility Is Not Always Bad: Evidence from Commodity Markets
    Yahua Xu (Auckland Univ. of Technology)
    Tai-yong Roh (Auckland Univ. of Technology)

    • Market and Non-market Variance Risk in Individual Stock Returns
    Sungjune Pyun (National Univ. of Singapore)

    ❖ Session 6: Hedge Funds and Methodology
    • Can Hedge Funds Correct Mispricing and Provide Liquidity? Evidence from Reg SHO
    Liang Zhang (Georgia State Univ.)

    • Do Hedge Funds Time the Market Tail Risk? Evidence from Option-Implied Tail Risk
    Jungsoon Shin (Ewha Womans Univ.)
    Minki Kim (KAIST)
    Dongjun Oh (Mirae Asset Global Investments)
    Tong Suk Kim (KAIST)

    • Conditional Importance Sampling for Event Counting Processes
    Baeho Kim (Korea Univ.)
    Alexander Shkolnik (Univ. of California, Berkeley)

    첨부파일 첨부파일 Session6.zip(1969008 Byte)
    첨부파일 Session4.zip(3393810 Byte)
    첨부파일 Session5.zip(1618695 Byte)

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