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  • 제목 APAD 2019 Session 4 - 6
    작성자 관리자 조회수 421 작성일 2019.07.21
    Session 4 : Options 2


    *The Price of News Arrivals: Evidence from Equity Options

    --Yoontae Jeon (Ryerson Univ.)


    *Volatility Information and Derivatives Trading

    --Yaw-Huei Wang (UNSW Business School)
    Kuang-Chieh Yen (Soochow Univ.)


    *Optimal Investment in Mutually Exclusive Projects and Operating Leverage

    --Detemple, Jerome (Boston Univ.)
    Yerkin Kitapbayev (MIT)



    Session 5 : Market Microstructure 2


    *Heterogeneity and Netting Efficiency under Central Clearing: A Stochastic Network Analysis

    --Injun Hwang (Korea Univ.)
    Baeho Kim (Korea Univ.)


    *Flow Toxicity of High Frequency Trading and Its Impact on Price Volatility: Evidence from the KOSPI 200 Futures Market

    --Jangkoo Kang (KAIST)
    Kyung Yoon Kwon (Univ. of Strathclyde)
    Wooyeon Kim (KAIST)


    *Are Disposition Effect and Skew Preference Correlated? Evidence from Account-Level ELW Transactions

    --Youngsoo Choi (Hankuk University of Foreign Studies)
    Woojin Kim (Seoul National Univ.)
    Eunji Kwon( Hankuk University of Foreign Studies)



    Session 6 : Investment 2


    *Countercyclical Stockholders’ Consumption Risk and Tests of Conditional CCAPM
    --Redouane Elkamhi (Univ. of Toronto)
    Chanik Jo (Univ. of Toronto)



    *Sitting Bucks: Zero Returns in Fixed Income Funds

    --Jaewon Choi (Univ. of Illinois at Urbana-Champaign)
    Mathias Kronlund (Univ. of Illinois at Urbana-Champaign)
    Ji Yeol Jimmy Oh(Hanyang Univ.)


    *Stock Liquidity and Corporate Diversification: Evidence from Index Reconstitution

    --Hursit S. Celil (Peking University HSBC Business School)
    Seungjoon Oh (Peking University HSBC Business School)
    Srinivasan Selvam (Peking University HSBC Business School)
    Xueying Shangi (Peking University HSBC Business School)





    첨부파일 첨부파일 session3.zip(2906428 Byte)
    첨부파일 session4.zip(1696457 Byte)
    첨부파일 session5.zip(5904529 Byte)

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