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  • 제목 APAD 2018 Session 7 - 9
    작성자 관리자 조회수 988 작성일 2018.07.27
    ❖ Session 7: Anomalies and Trading Strategy
    • CoAnomaly: Beyond Investment Opportunity and Volatility
    James Tengyu Guo (London School of Economics)

    • Time Series Reversal in Trend Following Strategies
    Jiadong Liu (Queen’s Univ. Belfast)
    Fotis Papailias (King’s College London)

    • Reference-Dependency of Short-Term Reversal
    Jihoon Goh (KAIST)
    Giho Jeong (KAIST)
    Jangkoo Kang (KAIST)

    • Which Volatility Drives the Anomaly? Cash Flow versus Discount Rate
    Junyong Kim (Univ. of Wisconsin-Milwaukee)
    Donghyun Kim (Univ. of Wisconsin-Milwaukee)
    Valeriy Sibilkov (Univ. of Wisconsin-Milwaukee)

    ❖ Session 8: Structured Products
    • Capital Market Consequences on CDS Mispricing
    Hao Cheng (Singapore Management Univ.)

    • Electricity Price Modelling with Stochastic Volatility and Jumps: An Empirical Investigation
    Nikolay Gudkov (Univ. of New South Wales)
    Katja Ignatieva (Univ. of New South Wales)

    • Customer Suitability Risk in Structured Products: A Text-based Analysis of Japanese ADR Cases of FX Derivatives
    Yuji Sakurai (Federal Reserve Bank of Richmond)

    ❖ Session 9: Investments
    • Cluster Trading of Corporate Insiders
    Chang-Mo Kang (Univ. of New South Wales)
    Donghyun Kim (Univ. of Wisconsin-Milwaukee)
    Qinghai Wang (Univ. of Central Florida)

    • Co-opted Boards and Stock Price Crash Risk
    Chaehyun Kim (UNIST)
    Junyoup Lee (UNIST)
    Sanggeum Woo (UNIST)

    • Liquidity-Sensitive Trading and Corporate Bond Fund Fire Sales
    Jaewon Choi (Univ. of Illinois Urbana-Champaign)
    Sean Seunghun Shin (Aalto Univ. School of Business)

    • When Do Regulatory Hurdles Work?
    Nidhi Aggarwal (Indian Institute of Management Udaipur)
    Venkatesh Panchapagesan (Indian Institute of Management Bangalore)
    Susan Thomas (IGIDR)
    첨부파일 첨부파일 Session7.zip(1629912 Byte)
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    첨부파일 Session9.zip(1798746 Byte)