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Skewness Preference and IPO Underpricing : International Evidence
Eunyoung Cho,Woojin Kim 한국재무학회 2020 한국재무학회 학술대회 Vol.2020 No.08
This paper examines the impact of expected skewness on IPO underpricing based on a comprehensive set of 17,051 IPOs from 23 countries between 1990 and 2013. We find that IPOs with high expected skewness have significantly higher first-day return around the world, confirming the previous results based on U.S. IPOs. Such preference for skewness remains robust to estimation method or portfolio formation and is more pronounced in countries with relatively higher gambling propensity, a larger number of non-religious populations, and more individualistic culture. Finally, IPOs with high expected skewness underperform those with low expected skewness. Our results provide additional empirical support for skewness preference and pricing of lottery type assets in an international setting.
On the performance of self-correction based modified min-sum decoding algorithms for LDPC codes
Eunyoung Cho(조은영),Mai Thi-Tuyet Dang,Dong Hyun Kong(공동현),Sang-Hyo Kim(김상효) 한국통신학회 2021 한국통신학회 학술대회논문집 Vol.2021 No.2
In this paper, we analyzed the performance of modified min-sum algorithms (MSA) for the decoding of low-density parity check codes. We focused on two self-correction based min-sum algorithms which erase variable node messages considered unreliable messages during decoding iterations. By comparing the error performances, it is confirmed that the self-correction based decoding algorithms have improved error performances compared with MSA and modified MSA.
Suggestive Evidence for Linkage of Schizophrenia to Chromosome 8p21-12 in Multiplex Korean Families
EunYoung Cho,YuSang Lee,KyeongSook Choi,YongLee Jang,SeungHee Cho,HyunOk Jeun,JongWon Kim,KyungSue Hong 대한신경정신의학회 2004 PSYCHIATRY INVESTIGATION Vol.1 No.1
Objectives-Chromosome 8p21-12 has been identified as a susceptibility locus for schizophrenia based on several genomewide linkage scans with Caucasian families. The purpose of this study is to investigate the linkage of this locus to schizophrenia in Korean families. Materials and Methods-We recruited ninety-one family members from twenty-seven multiplex schizophrenia families. Fifty-nine of them were affected individuals. Seven microsatellite markers of this region with 3cM intervals were genotyped. Non-parametric linkage analysis was performed by evaluating the levels of allele sharing between the affected relative pairs. Results-In the multi-point analysis, all the points tested within this area showed positive but non-significant non-parametric lod (NPL) scores with the peak occurring between D8S1820 and D8S1769. In the single point analysis, statistically significant allele sharing was observed at D8S1769 (NPL=1.65, p=0.049). Higher levels of NPL scores (the highest single point NPL=1.98, p=0.025) were observed when the same analyses were applied to a subgroup of families in which all of the affected individuals showed auditory hallucination. Conclusions-These findings support the previous evidence from Caucasian families for a locus predisposing to schizophrenia at 8p21-12. Further studies designed to screen positional candidate genes and their SNPs at this locus are warranted, in order to identify the specific causative genetic variation of schizophrenia.
National Pension Service(NPS) and Stock Liquidity in the Korean Stock Market
Eunyoung Cho,Cheol-Won Yang 한국재무학회 2023 한국재무학회 학술대회 Vol.2023 No.11
This study examines the impact of the National Pension Fund's participation in the Korean stock market on stock liquidity by analyzing stock holdings and transaction data spanning from 2010 to 2019. During the sample period, the National Pension Fund's (NPF) holdings of Korean stocks consistently rose, indicating a sustained and robust investment presence in the nation's financial market. In the regression analysis, the National Pension Fund's purchase of domestic stocks demonstrates a significant relationship with an increase in stock liquidity. Moreover, we underscored the robustness of our investigative outcomes by utilizing event study methodology, focusing on disclosures related to the National Pension Fund pursuant to the 5% rule, and alterations in the domestic equity benchmark designated by the National Pension Fund. The results show that the purchase of the National Pension Fund increase stock liquidity. These findings suggest a potential avenue through which the NPF’s active participation in the stock market may amplify both market quality and efficiency.
Extreme returns and idiosyncratic risks: evidence from an emerging market
( Eunyoung Cho ) 한국파생상품학회(구 한국선물학회) 2021 선물연구 Vol.29 No.1
In this paper, we show that there is a negative premium for MAX stocks in the Korean stock market. However, there is no evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative relationship between extreme returns and future returns is less robust. Rather, the cross-effect of the extreme returns and the idiosyncratic risk factors explains the negative premium. Furthermore, our results are not fully explained by the exposure to the market timing and economic state. Overall, both the extreme return and idiosyncratic risk effects appear to coexist in the Korean stock market, but they are not independently.
Time-varying preferences for ESG investments: evidence from an emerging market
( Eunyoung Cho ) 한국파생상품학회 2023 선물연구 Vol.31 No.2
This paper aims to examine the time-varying preferences for environment, social and corporate governance (ESG) investing in an emerging market. The investors seek ESG-conscious investments during a positive economic outlook, reflecting the time-varying nature of ESG demand. Specifically, the author shows that high-ESG stocks have negative abnormal returns during bad economic times but turn into positive abnormal returns in good economic times. The author also suggests that the alpha spread between high-ESG and low-ESG stocks is larger in good economic times than in bad times. Furthermore, individual investors prefer high ESG scoring stocks in good economic times. The author highlights that this ESG premium is shaped by economic projection and the households’ financial wealth.