Regional Disparity in House Prices and Its Effect on US Stock Returns

Jaesun Yun 한국재무학회 2023 한국재무학회 학술대회 Vol.2023 No.11

This research investigates the impact of regional disparities in housing markets on future investment opportunities and equity returns. The study finds that regional disparity can predict negative future market returns, positive future volatility, and negative industrial production growth, indicating that widening gaps in housing markets foreshadow poor macroeconomic activities and difficult investment prospects. Additionally, in the US equity market, stocks with a negative correlation to regional disparity yield higher future returns, while those with a positive correlation yield lower returns. This relationship is not explained by Fama-French three or five-factor models, suggesting that investors may be willing to pay a premium for hedging portfolios to mitigate the risk associated with regional disparities in housing markets.

Cross-regional Housing Momentum and Business Cycle

Jaesun Yun,Jangkoo Kang 한국재무학회 2020 한국재무학회 학술대회 Vol.2020 No.11

We investigate the cross-sectional housing momentum and its predictability for the future macroeconomic outputs and the future stock markets. We find that the cross-sectional housing momentum profits negatively predict future industrial production growth and future GDP growth. Furthermore, the housing momentum returns negatively predict aggregate stock returns, and positively predict aggregate stock variance. We suggest that the negative predictability is related to the household credit expansion.

주거실태조사 결과를 통해 살펴본 전세 세입자의 자금조달 추이

윤재선(Jaesun Yun) 한국자료분석학회 2023 Journal of the Korean Data Analysis Society Vol.25 No.3

전세 세입자에게 제공되는 전세자금 대출은 2008년에 10조 원에 불과했지만 2021년 200조 원을 돌파하였다. 이에 따라, 본 연구에서는 2016년부터 2020년까지의 주거실태조사 결과를 이용해 전세 세입자의 전세보증금 자금조달 추이를 분석하였다. 분석 결과는 다음과 같다. 첫째, 2016년부터 2020년까지 전세 세입자의 전세보증금 조달 비중 중 자기 자금의 비중이 꾸준히 감소했으며, 금융기관 대출 비중은 꾸준히 증가했다. 이는 전세자금 대출의 증가와 일치하는 결과이다. 둘째, 자기 자금 비중의 감소와 대출 비중 증가는 무주택 세입자뿐 아니라, 주택을 보유한 세입자에게서도 공통으로 나타나는 현상이다. 기존에 무주택자에게만 제공하던 전세자금 대출이 2013년부터 유주택자에게도 공급되기 시작했는데, 이러한 공급이 최근 들어 점점 규모가 커지고 있다는 사실은 이에 대한 우려를 가중하는 결과이다. 셋째, 전세 세입자의 대출 비중 증가 현상은 어느 한 지역에 국한된 현상이 아닌, 전국의 대다수 지역에서 나타나는 현상이다. 마지막으로, 대출 비중의 증가는 소득이 높은 가구에서 먼저 나타나 소득 중위 가구로 번졌고, 2020년에는 모든 소득 그룹에서 공통으로 나타난다. Loans for Jeonse deposit provided to Jeonse tenants were only KRW 10 trillion in 2008, but exceeded KRW 200 trillion in 2021. Accordingly, this study analyses the trend of Jeonse deposit financing for rental tenants using the results of the Housing Survey from 2016 to 2020. The results of the analysis are as follows. First, from 2016 to 2020, the proportion of self-funding among tenants' Jeonse deposit financing has steadily decreased, while the proportion of loans from financial institutions has steadily increased. This is consistent with the increase in Jeonse loans. Second, the decrease in equity-funding and increase in loan funding is a common phenomenon not only among tenants without their own homes but also among those who own homes. The fact that Jeonse loans, which were previously only available to non-owners, have been increasingly available to homeowners since 2013, and that this supply has been growing in size in recent years, adds to this concern. Third, the increase in the share of loans to private renters is not isolated to any one region, but is present in most areas of the country. Finally, the increase in loan funding first appeared in households with high income and shifted to middle-income households, becoming a common phenomenon among all income groups by 2020.

통화정책 발표가 외환선물 거래에 미치는 영향

윤재선(Jaesun Yun) 글로벌경영학회 2023 글로벌경영학회지 Vol.20 No.3

Fischer와 Ranaldo는 2011년 연구를 통해 미국 연방공개시장위원회(Federal Open Market Committee)의 통화정책 발표가 글로벌 외환 거래에 미치는 영향력에 대해 보고하였다. 본 연구는 한국에서 거래되는 외환선물 시장에서도 통화정책 발표가 미치는 영향력이 유의하게 나타나는지 살펴본다. 한국거래소에 상장되어 거래되는 외환선물은 달러선물, 엔선물, 유로선물, 위안선물이 있으며, 네 가지 외환선물의 가격, 거래량, 그리고 미결제약정에 한국은행과 미국 중앙은행의 통화정책 발표가 미치는 영향을 분석한다. 본 연구는 2005년부터 2019년까지 금융통화위원회와 연방공개시장위원회의 통화정책 발표 전일, 당일, 해당 주, 그리고 연방공개시장위원회의 정기회의 일자를 시작으로 하는 짝수주(0, 2, 4, 6주)에 외환선물의 가격이나 거래량, 그리고 미결제약정이 다른 기간과는 다른지 확인한다. 이 연구의 주요 발견은 다음과 같다. 첫 번째로, 통화정책이 발표되는 시기에 외환선물의 수익률 변동이 둔화하는 것을 확인하였다. 이는 통화정책 발표에 따른 정보가 공개되기 전에 투자자들이 거래를 보류하는 경향이 있음을 반영한다. 두 번째로, 통화정책 발표일에 외환선물 거래량이 증가하는 경향이 관찰되었다. 이는 투자자들이 통화정책 발표 후 정보가 공개되면, 거래를 재개하는 것으로 해석될 수 있다. 세 번째로, 통화정책 발표 시기에 외환선물의 미결제약정이 감소하는 것을 알 수 있었다. 이는 통화정책 발표에 따른 불확실성이 있을 때, 투자자들이 외환선물에 대한 위험을 관리하기 위해 노출된 포지션을 축소한다는 것을 의미한다. 마지막으로, 금융위기 전후의 영향을 비교해보았지만, 중요한 차이점을 찾아내지 못했다. 본 연구는 통화정책 발표 기간에 투자자들이 외환선물의 방향성 투자를 줄이고 정책 발표를 통해 불확실성이 해소된 뒤 거래를 재개하는 양상을 보이는 것을 확인했으며, 이를 통해 한국의 외환선물 시장에서도 통화정책 발표가 미치는 유의한 영향력이 있음을 규명하였다. 또한, 통화정책 발표가 외환시장의 불확실성 증가와 해소에 유의미한 역할을 하고 있음을 지지하는 결과를 찾았다는 점에서 이론적, 실무적 의의가 있다. This study analyses the impact of monetary policy announcements by the Bank of Korea and the U.S. central bank on the prices, volumes, and open interest of four foreign exchange futures listed and traded on the Korea Exchange: dollar futures, yen futures, euro futures, and yuan futures. The study examines whether the prices, volumes, and open interest of the foreign exchange futures differ from other periods in even-numbered weeks (weeks 0, 2, 4, and 6) beginning on the day before, day of, and week of the monetary policy announcements by the Financial Services Commission and the Federal Open Market Committee and the regular meeting dates of the Federal Reserve from 2005 to 2019. The main findings of this study are as follows First, I find that returns on foreign exchange futures slow down around the time of monetary policy announcements. This reflects the tendency of investors to hold off on trading before the information following the monetary policy announcement is released. Second, I observe an increase in foreign exchange futures trading volume on monetary policy announcement days. This could be interpreted as investors resuming trading once the information is released after the monetary policy announcement. Third, I observe a decrease in open interest in foreign exchange futures around monetary policy announcements. This suggests that when there is uncertainty about the monetary policy announcement, investors reduce their exposure to manage their risk on foreign exchange futures. Finally, I compare the effects before and after the financial crisis and do not find any significant differences. I find that investors reduce their directional investments in foreign exchange futures during monetary policy announcements and resume trading after the uncertainty is resolved through the policy announcement, thus confirming the significant impact of monetary policy announcements in the Korean foreign exchange futures market. This study has both theoretical and practical implications as it supports that monetary policy announcements play a significant role in increasing and resolving uncertainty in the foreign exchange market.

Enhancement of Ferroelectric Properties of Superlattice-Based Epitaxial BiFeO₃ Thin Films via Substitutional Doping Effect

Song, Jaesun,Choi, Kyoung Soon,Yoon, Sejun,Sohn, Woonbae,Hong, Seung Pyo,Lee, Tae Hyung,An, Hyunji,Cho, Sam Yeon,Kim, So-Young,Kim, Do Hyun,Kim, Taemin Ludvic,Jeong, Sang Yun,Bark, Chung Wung,Lee, Byo American Chemical Society 2019 The Journal of Physical Chemistry Part C Vol. No.

<P>Although there is considerable interest in BiFeO<SUB>3</SUB> owing to its versatile physical properties, which make it suitable for a wide range of applications, its high leakage current is a significant limitation. Among various methods for reducing the leakage current, substitution with transition-metal or rare-earth elements is widely recognized as the most effective approach. Herein, to enable in-depth studies of the physical properties of BiFeO<SUB>3</SUB>, high-quality epitaxial BiFeO<SUB>3</SUB> thin films with a low leakage current must be formed. However, owing to the difficulty of controlling the element doping when pulsed laser deposition is used for epitaxial thin-film growth, studies on substitutional doping based on epitaxial BiFeO<SUB>3</SUB> thin films have not been systematically carried out. In this regard, we establish an innovative approach for overcoming the high leakage current of BiFeO<SUB>3</SUB> by fabricating artificially engineered superlattice-based epitaxial BiFeO<SUB>3</SUB> thin films in which there is a significant reduction of the leakage current. The control of the element doping in epitaxial BiFeO<SUB>3</SUB> thin films is easily regulated precisely at the atomic-scale level. The results of this study strongly suggest that superlattice-based epitaxial BiFeO<SUB>3</SUB> thin films can be a cornerstone for exploring the reliable fundamental physical properties of substitutional doping in epitaxial BiFeO<SUB>3</SUB> thin films.</P> [FIG OMISSION]</BR>

Nonequilibrium Deposition in Epitaxial BiVO₄ Thin Film Photoanodes for Improving Solar Water Oxidation Performance

Song, Jaesun,Choi, Kyoung Soon,Seo, Min Ji,Jo, Yong-Ryun,Lee, Jongmin,Kim, Taemin Ludvic,Jeong, Sang Yun,An, Hyunji,Jang, Ho Won,Kim, Bong-Joong,Jeon, Cheolho,Lee, Sanghan American Chemical Society 2018 Chemistry of materials Vol.30 No.16

<P>To improve the photoelectrochemical performance of photoelectrodes, various modifications such as the doping of electron donors, morphology control, and adoption of catalysts have been widely implemented, among which the formation of type-II heterojunctions has been recognized as an effective method to significantly improve the charge transport efficiency of photoelectrodes. In this regard, we report on an in situ high-quality epitaxial BiVO<SUB>4</SUB>/Bi<SUB>4</SUB>V<SUB>2</SUB>O<SUB>11</SUB> type-II heterojunction thin-film photoanode fabricated by using pulsed laser deposition on the basis of only one BiVO<SUB>4</SUB> ceramic target using the transition between BiVO<SUB>4</SUB> and Bi<SUB>4</SUB>V<SUB>2</SUB>O<SUB>11</SUB> crystalline phases. Herein, for the first time, we report on the structural and chemical transition between monoclinic BiVO<SUB>4</SUB> (010) and orthorhombic Bi<SUB>4</SUB>V<SUB>2</SUB>O<SUB>11</SUB> (001) crystalline phases by simply controlling the oxygen partial pressure. Subsequently, the growth of epitaxial BiVO<SUB>4</SUB>/Bi<SUB>4</SUB>V<SUB>2</SUB>O<SUB>11</SUB> heterojunction thin film is achieved by controlling only the oxygen partial pressure based on band alignment. At 1.23 <I>V</I><SUB>RHE</SUB>, the photocurrent density of heterojunction BiVO<SUB>4</SUB>/Bi<SUB>4</SUB>V<SUB>2</SUB>O<SUB>11</SUB> structure is also significantly higher than that of the epitaxial BiVO<SUB>4</SUB> thin film owing to the effective charge transfer of the Bi<SUB>4</SUB>V<SUB>2</SUB>O<SUB>11</SUB> thin film. This study strongly suggests that the nonequilibrium deposition of epitaxial BiVO<SUB>4</SUB> thin films can propose a new paradigm in the structural design of photoanodes.</P> [FIG OMISSION]</BR>

Template-engineered epitaxial BiVO₄ photoanodes for efficient solar water splitting

Song, Jaesun,Cha, Jaeseong,Lee, Mi Gyoung,Jeong, Hye Won,Seo, Sehun,Yoo, Ji Ae,Kim, Taemin Ludvic,Lee, Jongmin,No, Heesung,Kim, Do Hyun,Jeong, Sang Yun,An, Hyunji,Lee, Byoung Hun,Bark, Chung Wung,Park Royal Society of Chemistry 2017 Journal of Materials Chemistry A Vol.5 No.35

<▼1><P>The photoelectrochemical properties of template-engineered epitaxial BiVO4 photoanodes have been enhanced approximately 10 times that of bare BiVO4.</P></▼1><▼2><P>Bismuth vanadate (BiVO4) has attracted significant attention as a promising photoanode material for hydrogen production <I>via</I> photoelectrochemical (PEC) water splitting because of its narrow optical band gap and suitable band edge positions for water oxidation. However, the actual photoactivity of BiVO4 is considerably limited by its poor electron transport and slow water oxidation kinetics. Although several studies have been carried out to improve its photo-efficiency <I>via</I> the enhancement of electron transport and water oxidation kinetics, only a few studies have reported the growth of epitaxial BiVO4 to explore the fundamental properties of BiVO4 for PEC water splitting because extremely flat epitaxial films exhibit poor photo-efficiency because of their low surface-active area. However, studies of epitaxial BiVO4 still have the potential to provide new routes for improving its photo-efficiency. In this study, the growth of epitaxial BiVO4 is investigated using a thin γ-WO3 template layer deposited on a SrTiO3(001) substrate covered by a SrRuO3 (SRO) bottom electrode using pulsed laser deposition. Consequently, at 1.23 V <I>vs.</I> the RHE (reversible hydrogen electrode), the photocurrent density of epitaxial BiVO4 on the γ-WO3 template layer (2.20 mA cm<SUP>−2</SUP>) is approximately 10 times that of bare BiVO4, related to the effective charge transfer by the γ-WO3 intermediate layers and the subsequent increase in the surface-active area of epitaxial BiVO4. These results strongly suggest that epitaxial BiVO4 grown using a template layer can be a cornerstone for the in-depth understanding of the fundamental properties of BiVO4 for PEC water splitting.</P></▼2>

Domain-engineered BiFeO3 thin-film photoanodes for highly enhanced ferroelectric solar water splitting

Song, Jaesun,Kim, Taemin Ludvic,Lee, Jongmin,Cho, Sam Yeon,Cha, Jaeseong,Jeong, Sang Yun,An, Hyunji,Kim, Wan Sik,Jung, Yen-Sook,Park, Jiyoon,Jung, Gun Young,Kim, Dong-Yu,Jo, Ji Young,Bu, Sang Don,Jang Springer-Verlag 2018 NANO RESEARCH Vol.11 No.2

<P>In photoelectrochemical (PEC) water splitting, charge separation and collection by the electric field in the photoactive material are the most important factors for improved conversion efficiency. Hence, ferroelectric oxides, in which electrons are the majority carriers, are considered promising photoanode materials because their high built-in potential, provided by their spontaneous polarization, can significantly enhance the separation and drift of photogenerated carriers. In this regard, the PEC properties of BiFeO3 thin-film photoanodes with different crystallographic orientations and consequent ferroelectric domain structures are investigated. As the crystallographic orientation changes from (001)(pc) via (110)(pc) to (111)(pc), the ferroelastic domains in epitaxial BiFeO3 thin films become mono-variant and the spontaneous polarization levels increase to 110 mu C/cm(2). Consequently, the photocurrent density at 0 V vs. Ag/AgCl increases approximately 5.3-fold and the onset potential decreases by 0.180 V in the downward polarization state. It is further demonstrated that ferroelectric switching in the (111)(pc) BiFeO3 thin-film photoanode leads to an approximate change of 8,000% in the photocurrent density and a 0.330 V shift in the onset potential. This study strongly suggests that domain-engineered ferroelectric materials can be used as effective charge separation and collection layers for efficient solar water-splitting photoanodes.</P>

Enhanced Photocatalytic Performance Depending on Morphology of Bismuth Vanadate Thin Film Synthesized by Pulsed Laser Deposition

Jeong, Sang Yun,Choi, Kyoung Soon,Shin, Hye-Min,Kim, Taemin Ludvic,Song, Jaesun,Yoon, Sejun,Jang, Ho Won,Yoon, Myung-Han,Jeon, Cheolho,Lee, Jouhahn,Lee, Sanghan American Chemical Society 2017 ACS APPLIED MATERIALS & INTERFACES Vol.9 No.1

<P>We have fabricated high quality bismuth vanadate (BiVO4) polycrystalline thin films as photoanodes by pulsed laser deposition (PLD) without a postannealing process. The structure of the grown films is the photocatalytically active phase of scheelite-monoclinic BiVO4 which was obtained by X-ray diffraction (XRD) analysis. The change of surface morphology for the BIVO4 thin films depending on growth temperature during synthesis has been observed by scanning electron microscopy (SEM), and its-influence on Water splitting performance was investigated-r The current density of the BiVO4 film grown on a glass substrate covered With fluorite-doped tin oxide (FTO) at 230 degrees C, was as high as 3.0 mA/cm(2) at 1.23 V versus the potential of the reversible hydrogen electrode (V-RHE) under AM 1.5G illumination, which is the highest value so far in previously reported BiVO4 films grown by physical vapor deposition (PVD), methods. We expect that doping of transition metal or decoration of oxygen evolution catalyst (OEC) in our BiVO4 film might further enhance the performance.</P>

한국 주식시장의 일간 승자/패자 효과

강장구(Jangkoo Kang),윤재선(Jaesun Yun) 한국증권학회 2020 한국증권학회지 Vol.49 No.4

일간 수익률 상위나 하위를 기록한 종목들은 투자자들의 많은 관심을 받게 된다. Kumar, Ruenzi와 Ungeheuer는 미국 주식시장에서 이러한 종목들이 과대평가되고, 따라서 미래에 낮은 수익을 얻는 것을 최근 연구에서 보고하고 있다. 본 연구는 한국 주식시장에서도 이와 같은 일간 승자/패자 효과가 나타남을 보인다. 일간 승자와 패자였던 종목을 매도하고, 한번도 승자나 패자였던 적이 없는 종목을 매수하는 전략은 유의한 양의 수익을 얻는다. 또한, 일간 승자/패자 효과가 고유변동성 이상현상이나 MAX 효과에 대한 새로운 설명을 제시함을 보인다. 한번도 승자나 패자였던 적이 없는 종목에서는 고유변동성 이상현상과 MAX 효과가 사라지고, 고유변동성 이상현상이나 MAX 효과를 통제한 후에도 일간 승자/패자 효과는 여전히 존재하는 것으로 나타났다. 이와 같은 결과는 일간 승자/패자 효과가 고유변동성 이상현상이나 MAX 효과를 일으키는 근원임을 시사한다. 마지막으로, 일간 승자종목과 패자종목을 주로 거래하는 투자자는 개인투자자이며, 기관투자자나 외국인 투자자는 해당 종목에 대한 거래를 유의하게 줄이는 것을 보인다. In their working paper, Kumar, Ruenzi, and Ungeheuer (KRU) document that stocks ranked as daily winners or losers in the previous month underperform unranked stocks during the month after the ranking. KRU explain that the ranked stocks experience a large increase in investor attention, which leads to temporary overpricing and subsequent under-performance. Following KRU, we investigate whether the same effect exists in the Korean stock market and find a robust daily winners and losers effect. First, stocks that were both daily winners and losers in a given month underperform those that were neither daily winners nor losers during the following months. Second, stocks that were never a daily winner or loser during the previous month do not exhibit the idiosyncratic volatility puzzle or the MAX effect. Moreover, the underperformance of ranked stocks is robust after controlling for the idiosyncratic volatility and the MAX effect. We suggest that the overpricing caused by excessive attention to daily winners and losers may be the main driver of the idiosyncratic volatility puzzle and the MAX effect. Lastly, we find that retail investors buy daily winners and losers, while both institutional investors and foreign investors decrease trades in the ranked stocks.