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  • 제목 APAD 2018 Session 7 - 9
    작성자 관리자 조회수 151 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)
    첨부파일 Session8.zip(1553512 Byte)
    첨부파일 Session9.zip(1798746 Byte)

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