business adminstration A NEW PARADIGM OF management and technology

[Research Seminar 2019.07.23]The Rise of a Network: The Spillover of Political Patronage and Cronyism to the Private Sector
Speaker : David Schoenherr Abstract   The misallocation of government resources to the politically connected is considered to impose substantial economic costs. We document that preferential access for the politically connected extends to resources allocated by private sector firms. Following a presidential election in Korea in 2007, private banks appoint executives from the new president’s networks to establish links to the new administration. As a consequence, private firms with links to the new president’s alumni network experience better access to private bank credit. In-network firms pay lower interest rates and are protected from bankruptcy through debt restructurings. Preferential treatment is limited to banks that appoint executives from the new president’s alumni network. Exploiting variation for the same firm across lenders over time allows us to control for firm-time fixed effects, sharpening the identification of the results. We estimate that banks incur aggregate losses equivalent to 0.045 percent of GDP due to preferential treatment of connected firms. Venue : BAB 503
unist ㆍ 2020.09.03 ㆍ 추천 0 ㆍ 조회 125
[Research Seminar 2019.06.25] Investor Relations Executives in the Top Management Team
Speaker : Daewoung Choi Abstract We examine the role of investor relations (IR) executives in the top management team and find that firms incorporating the IR function in their top management team are more likely to beat analysts’ estimates and exhibit more downward earnings guidance. We also provide evidence that these firms manage analysts’ expectations rather than manage earnings and are more likely to have lower analyst forecast dispersion, a lower probability of informed trading, and fewer earning restatements, all of which suggest that IR executives tend to reduce information asymmetry. Consistent with this, we also find that firms with IR executives experience less capital constraints and lower litigation risk. For identification, we first provide results using a difference-in-difference framework that stock return volatility and idiosyncratic volatility are lower in firms with IR executives following the 2008 financial crisis relative to firms without IR executives. We also document a faster decrease in option market implied volatility following the exogenous shock of the 9/11 terrorist attacks in firms with IR executives in the top management team relative to firms without. Overall, the evidence is consistent with IR executives improving the alignment between management and investors. Venue : BAB 503
unist ㆍ 2020.09.03 ㆍ 추천 0 ㆍ 조회 122
[Research Seminar 2019.06.26] Do rating agencies deserve some credit? Evidence from transitory shocks to credit risk
Speaker : Junghoon Lee Abstract We find that Credit Rating Agencies (CRAs) see through transitory shocks to credit risk that stem from transitory shocks to equity prices, while market-based measures of credit risk do not. For a given stock return, CRAs are significantly less likely to downgrade firms with transitory shocks than those with permanent shocks.  However, credit default swap spreads and model-implied default probabilities do not distinguish between such shocks. These results explain why ratings are useful despite the availability of market-based estimates of credit risk: the ability to ignore transitory shocks is valuable because rating changes have real consequences for private contracts and access to capital.   Keywords:   Credit Ratings, Mutual Funds, Institutional Investors, Financial Intermediation Venue : BAB 503
unist ㆍ 2020.09.03 ㆍ 추천 0 ㆍ 조회 112
[Research Seminar 2019.05.28]Is AI an Invader That Threatens Humans? Complementary Effects Between Agents and AI on the Product
Speaker : Seung Hyun Kim(Yonsei University) Abstract The promises of artificial intelligence (AI) co-exist with a skepticism that AI-based systems can live up to them.  In this study, we adopted a perspective of learning curves and examined (1) the impact of introducing AI-based systems on the task performance of call center agents and (2) the conditions that moderate the impact of using AI-based systems. By analyzing the panel data of 360 agents, we first found a short-term loss of productivity, possibly because making direct inquiries to the AI-based systems during a call may drain an agent’s cognitive resources and be a distraction. In contrast, we found that a higher cumulative usage of direct inquiries to AI improved agents’ productivity. Interestingly, we observed a time reallocation effect as an additional benefit of prior usage of AI by which agents with this prior experience took less time on the phone to satisfy their customers and later spent slightly more time in postprocessing while the sum of the two is reduced. We further found that the impact of cumulative direct inquiries to AI depends on the characteristics of AI and of human agents. Specifically, this impact is amplified when AI-based systems are more...
unist ㆍ 2020.09.03 ㆍ 추천 0 ㆍ 조회 106
[Research Seminar 2019.04.03] Complex Emotions and Bitcoin Pricing
Speaker : Kyounghun Bae Hanyang University Abstract We examine how investor emotions and Bitcoin price influence each other using high- frequency data and NLP analysis. Emotions regarding Bitcoin are extracted from an online chatting window at one of the largest cryptocurrency exchanges in Korea. To control for global factors, we also analyze relative Bitcoin prices, Korean premium, and differences between Korean exchange and other global prices. We aggregate intraday high-frequency data at five-minute intervals from October 8, 2017 to January 23, 2018. The identified emotions predict the return and volatility of Bitcoin price (in both absolute and relative terms) five minutes ahead. The interaction between emotions additively forecasts Bitcoin price, reflecting the nature and influence of complex human emotions. The results are economically significant: simple trading strategies using the relationship between emotions and Bitcoin prices generate profits even after controlling for transaction costs. Consequently, investor emotions drive Bitcoin prices, suggesting irrational crypto-markets that rational speculators can exploit, but policy makers need to address.   Venue : BAB 502
unist ㆍ 2020.09.03 ㆍ 추천 0 ㆍ 조회 97
[Research Seminar 2019.02.08]Impulse-Response Analysis with Proxy Variables
Speaker : Eul Noh(Ph.D.) University of California, San Diego Abstract This paper suggests an efficient and simple regression-based approach for consistent estimation of dynamic effects of structural shocks in vector autoregressions (VAR) with proxy variables for the shocks. First, we show that given a serially uncorrelated proxy variable correlated only with current structural shock of interest, the existing Proxy Structural VAR (Proxy-SVAR) approach using the proxy as an instrument variable yields an unbiased estimator of the shape of the impulse-response function (IRF) if and only if the proxy does not have any direct forecasting ability in the VAR. Second, we prove that in the linear model, the shape of the IRF can be consistently estimated by adding the current and past values of the proxy variable in the VAR regardless of its direct forecasting ability or measurement error. Third, we show both theoretically and empirically that the formulation in Gertler and Karadi (2015) misestimates the effect of a monetary policy shock. Applying our unrestricted approach to GK’s specification results in a substantially different conclusion from the Proxy-SVAR. Our approach is more efficient than other regression-based methods because the IRF is computed from a regression employing all relevant information from data....
unist ㆍ 2020.09.03 ㆍ 추천 0 ㆍ 조회 96
[Research Seminar 2019.02.08]Monetary Policy under Data Uncertainty: Interest-Rate Smoothing from a Cross-Country Perspective
Speaker : Saiah Lee(Ph.D.) University of Wisconsin, Madison Abstract Cross-country estimates of Taylor rules suggest that higher data uncertainty is associated with a more inertial behavior of interest rates. Data uncertainty is measured by the volatility of differences between real-time data and their revisions. Using a simple structural model with Kalman filter learning, I replicate the cross-country pattern of the inertial behavior. More inertial behavior results not because central banks gradually adjust interest rates in the face of data uncertainty, but because the central banks’ inference about the true data is correlated with past interest rates. Thus, I endogenize inertial behavior of interest rates as resulting in part from the learning process.   Venue : BAB 503
unist ㆍ 2020.09.03 ㆍ 추천 0 ㆍ 조회 87
[Research Seminar 2019.01.29]A First Glimpse into the Short Side of Hedge Funds
Speaker : Jaewon Choi, Associate Professor of Finance, University of Illinois Abstract We provide direct evidence about the profitability of hedge fund short trades in equities. We identify the opening and closing of short (and long) trades by combining data on institutional investors’ transactions and holdings. Hedge fund short sales covered within five trading days are highly profitable, but short positions kept open longer than five days are not. Additional evidence suggests that some of the profitability of short trades is due to trading on information and some stems from liquidity provision in both opening and covering trades. Short selling profitability is persistent, suggesting that hedge funds in our sample are skilled short sellers.       Venue : BAB 503
unist ㆍ 2020.09.03 ㆍ 추천 0 ㆍ 조회 91
[Research Seminar 2018.12.17]Linear time-varying regression with Copula-DCC-GARCH models for volatility
Speaker : Jong-Min Kim(Professor, University of Minnesota at Morris )     Abstract This research provides a new linear time-varying regression with dynamic conditional correlation (DCC) estimated by Gaussian and Student-t copulas for forecasting financial volatility. Time-varying parameters will be estimated for non-parametric dependence by using copula functions with United States stock market data. We compare our model with Kim et al.’s (2016) linear time-varying regression (LTVR) with DCC-GARCH in the ex-post volatility forecast evaluations. Empirical study shows that our proposed volatility models are more efficient than the LTVR model. We also use the superior predictive ability and the reality check for data snooping. Evidence can be found supporting that our proposed model with copula functions provides superior forecasts for volatility over the LTVR model.   Venue : BAB 503
unist ㆍ 2020.09.03 ㆍ 추천 0 ㆍ 조회 102
Powered by KBoard