Probability of Price Crashes, Rational Speculative Bubbles, and the Cross-Section of Stock Returns

Jeewon Jang,Jankoo Kang 한국재무학회 2016 한국재무학회 학술대회 Vol.2016 No.11

A recent paper by Conrad, Kapadia, and Xing (2014) shows that stocks with high probability for extreme positive payoffs (jackpots) earn low returns subsequently. We find that stocks with high probability for extreme negative returns (crashes) earn abnormally low average returns, and that the cross-sectional return predictability of crash probability subsumes completely the jackpot effect. The most distinctive features of the crash effect we find are that the underperformance of stocks with high crash probability is clear regardless of the stocks’ institutional ownership, and it is not associated with variations in investor sentiment. We also find that institutional demand for stocks with high crash probability increases until their prices arrive at the peak of overvaluation. Our evidence contradicts the presumption that sophisticated investors are always willing to trade against mispricing, and suggests that the crash effect we find may arise partially from rational speculative bubbles, not entirely from sentiment-driven overpricing.

State-Dependent Variations in Expected Illiquidity Premium

Jeewon Jang,Jangkoo Kang,Changjun Lee 한국재무학회 2013 한국재무학회 학술대회 Vol.2013 No.05

Recent theories of state-dependent variations in market liquidity suggest strong variations in expected illiquidity premium across economic states. Adopting a two-state Markov switching model, we find that while illiquid stocks are more strongly affected by economic conditions than liquid ones during recessions, the differences in expected returns are relatively weak during expansions. As a result, the expected illiquidity premium displays strong state-dependent variations, and its countercyclical pattern is consistent with theoretical argument based on timevarying liquidity risk premium. Overall, our results provide a strong relation between the expected illiquidity premium and the real business cycle.

Liquidity Risk and Expected Stock Returns in Korea : A New Approach

Jeewon Jang,Jangkoo Kang,Changjun Lee 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.05

We propose a simple way to capture the multidimensionality of liquidity. Our analysis indicates that existing liquidity measures have considerable asset specific components, which justifies our new approach. Constructing a two-factor model with the market and liquidity factor proposed in this paper, we find that our two-factor model well explains the cross-section of stock returns in Korea during 1987~2010, describing the liquidity premium, size and value effects that the CAPM and Fama-French three-factor model fail to explain. Our results also show that the role of liquidity risk on expected stock returns is especially pronounced during the post-Asian financial crisis period.

State-Dependent Illiquidity Premium in the Korean Stock Market

Jeewon Jang,Jangkoo Kang,Changjun Lee 한국재무학회 2014 한국재무학회 학술대회 Vol.2014 No.05

We study the relation between the illiquidity premium and economic states in the Korean stock market. We find that aggregate market liquidity improves following real economic expansions and expansive monetary states and worsens after economic recessions and restrictive monetary states. The improved liquidity in the expansion/expansive state generates a huge illiquidity premium, while an illiquidity premium does not exist in the recession/restrictive state. As a result, the observed illiquidity premium displays strong state-dependent variations. Our empirical results indicate that a significant unconditional illiquidity premium in the Korean stock market arises due to an astonishing illiquidity premium in the expansion/expansive state.

An Intertemporal CAPM with Higher-Order Moments

Jeewon Jang,Jangkoo Kang 한국재무학회 2015 한국재무학회 학술대회 Vol.2015 No.05

We propose an intertemporal asset pricing model that incorporates both preference for higherorder moments and stochastic investment opportunities, extending traditional theories based exclusively on mean and variance of asset returns. Our model encompasses a wide range of existing models, including the three-moment static CAPM. We also provide empirical evidence to support our theory that systematic skewness is negatively priced in the crosssection of U.S. stock returns, indicating a risk-return-skewness trade-off. In addition, we show that an extra return premium is required for accepting the higher systematic risk associated with a rise in risk aversion. Our findings suggest that asset pricing anomalies such as value, momentum, and failure probability puzzles can be partially explained by our model.

자산 가격결정 실증 연구의 최근 동향과 시사점

장지원 ( Jeewon Jang ) 한국금융연구원 2020 금융연구 Vol.34 No.3

이 논문은 최근 10년간 자산 가격결정 분야에서 기대수익률의 횡단면에 대한 실증 연구가 어떻게 진행되어 왔는지 검토하고, 향후 연구의 진행 방향에 대한 시사점을 도출한다. 전반부는 여러 횡단면 이상현상들과 이를 설명하기 위해 경쟁적으로 등장한 새로운 요인 모형들을 다룬다. 후반부에서는 이상현상의 범람과 고차원성에 관한 논제를 다룬다. 구체적으로, 데이터 스누핑, 다중 가설검정, 거래 비용, 차원 축소 및 모형 선택의 문제에 대한 최근 연구 내용을 소개하고 그 관련성을 설명한다. This paper reviews recent studies on empirical asset pricing, focusing on papers published during the last decade. Over the past 50 years, what determines the cross-section of the expected stock returns is one of research questions that have received the most attention in the asset pricing field. While Fama and French (1993) three-factor model has been known to well summarize the cross-section of stock returns as of the 1990s, a wide variety of cross-sectional anomalies have accumulated since then and remained unexplained by the three-factor model. Given a “zoo” of hundreds of characteristics known as significant predictors of the cross-section of stock returns in the literature, the need for an alternative factor model that can account for more anomalies has been increasingly clear. At the same time, researchers have been confronted by multidimensional challenges in empirical studies. In the first half, I review well-known cross-sectional anomalies whose robustness have been well verified by subsequent studies and several new factor models recently proposed to accommodate those cross-sectional patterns. These alternative factor models can be classified into two categories, one that combines the investment or profitability factors with the existing market, size, and value factors and the other that consists of mispricingrelated factors motivated by the behavioral concepts that a couple of common factors drive mispricing and anomalies. In the second half, I survey recent studies that address the “factor zoo” and high-dimensionality. I present four important issues: (i) data snooping, (ii) multiple hypothesis testing, (iii) trading costs, and (iv) dimension reduction and model selection. Several papers provide out-of- sample tests or replication studies to examine the possibility of numerous anomalies being a result of data snooping. Multiple hypothesis testing methods become popular recently as a formal and statistical precaution against the data snooping bias. Meanwhile, the need for different empirical methods is rapidly increasing to address the high-dimensional nature of empirical tasks. Many recent studies attempt new statistical techniques of dimension reduction to find a parsimonious factor model that performs the best out-of-sample. Although the number of new factors is increasing and the use of complex statistical techniques is inevitable, researchers should bear in mind that the end goal of asset pricing studies is to understand economic mechanisms behind asset pricing factors. Economic interpretability is the most important particularly for factors discovered by a purely statistical approach.

IBD 구조적 특징을 이용한 MySQL InnoDB의 레코드 복구 기법

장지원 ( Jeewon Jang ),정두원 ( Doowon Jeoung ),이상진 ( Sang Jin Lee ) 한국정보처리학회 2017 정보처리학회논문지. 컴퓨터 및 통신시스템 Vol.6 No.2

MySQL 데이터베이스는 현재 데이터베이스 시장 점유율에서 2위를 차지하고 있다. 특히 InnoDB 스토리지 엔진은 MySQL 5.5 버전부터 디폴트 스토리지 엔진으로 사용되어 왔으며, 많은 기업에서 InnoDB 스토리지 엔진으로 MySQL 데이터베이스를 사용하고 있다. 디지털 포렌식 분야에서 InnoDB 스토리지 엔진에 대한 구조적 특징과 로그에 관한 연구는 꾸준히 진행되어 왔으나, 삭제된 데이터에 대해 레코드 단위로 복구하는 방법에 대해서는 연구되지 않았다. 기업 조사 시 데이터베이스 관리자가 사전에 증거 인멸을 목적으로 데이터를 훼손하는 경우가 많으므로 이를 복구하는 것은 포렌식 수사 과정에서 중요하다. 본 논문에서는 MySQL InnoDB 스토리지 엔진의 구조를 분석하여 삭제된 데이터를 레코드 단위로 복구하는 기법을 제안하고 제작한 도구를 활용하여 이를 검증한다. 이는 디지털 포렌식 관점에서 데이터베 이스 안티포렌식 행위에 대해 대비할 수 있으며, MySQL InnoDB 데이터베이스와 관련된 사건 발생시, 고의로 삭제된 데이터를 복구하는 데 활용할 수 있다. MySQL database is the second place in the market share of the current database. Especially InnoDB storage engine has been used in the default storage engine from the version of MySQL5.5. And many companies are using the MySQL database with InnoDB storage engine. Study on the structural features and the log of the InnoDB storage engine in the field of digital forensics has been steadily underway, but for how to restore on a record-by-record basis for the deleted data, has not been studied. In the process of digital forensic investigation, database administrators damaged evidence for the purpose of destruction of evidence. For this reason, it is important in the process of forensic investigation to recover deleted record in database. In this paper, We proposed the method of recovering deleted data on a record-by-record in database by analyzing the structure of MySQL InnoDB storage engine. And we prove this method by tools. This method can be prevented by database anti forensic, and used to recover deleted data when incident which is related with MySQL InnoDB database is occurred.

PDF 파일의 페이지단위 복구 기법

장지원 ( Jeewon Jang ),방승규 ( Seung Gyu Bang ),한재혁 ( Jaehyeok Han ),이상진 ( Sang Jin Lee ) 한국정보처리학회 2017 정보처리학회논문지. 컴퓨터 및 통신시스템 Vol.6 No.1

안티 포렌식 기법 중 하나인 데이터 삭제 기법은 그 행위의 단순함에 비해 포렌식 분석 관점에서의 그 영향력은 상당하다. 학계에서는 데이터 삭제 기법에 대응하여 지속적으로 삭제된 파일 복구 기법에 대해 연구하였으며, 대표적으로 파일시스템 기반 파일 복구 기법과 파일 포맷 기반 복구 기법이 존재한다. 파일이 삭제되고 난 후 해당 파일의 메타데이터가 파일시스템 상에 존재한다면, 이를 이용하여 손쉽게 파일을 복구할 수 있으나, 메타데이터가 존재하지 않는 경우엔 시그니처 기반 카빙 기법을 이용하여 파일을 복구하거나 파일 포맷에 기반한 복구기법을 적용해야 한다. 이때 파일 포맷에 기반한 복구기법은 파일 구조에 대한 분석과 복구 가능한 기법이 제시되어야 한다. 본 논문은 PDF 파일의 구조적 특성에 기반한 삭제된 PDF 파일의 페이지 단위 복구 기법을 제시한다. 해당 기법은 PDF 파일의 1개 페이지를 구성하는 Page Object의 태그 값을 이용한다. 각 태그 값을 일종의 시그니쳐로서 활용하여 Object를 추출하며, 추출된 Object들을 분석하여 PDF파일의 메타데이터를 재조합한 후 페이지 단위로 재구성한다. 페이지 단위로 복구한다는 것은 삭제된 PDF 파일이 온전하지 않더라도 PDF 파일을 구성했던 일부 페이지라도 복구할 수 있음을 의미한다. 해당 기법을 이용하면 온전하지 않은 상태의 PDF파일에 대한 복구가 가능하다. 이는 디지털 포렌식 분석 관점에서 기존보다 더 많은 데이터를 복구하는데 활용될 수 있다. The influence of the data deletion method which is one of anti-forensic techniques is substantial in terms of forensic analysis compared to its simplicity of the act. In academic world, recovery techniques on deleted files have been continuously studied in response to the data deletion method and representatively, the file system-based file recovery technique and file format based recovery technique exist. If there`s metadata of deleted file in file system, the file can be easily recovered by using it, but if there`s no metadata, the file is recovered by using the signature-based carving technique or the file format based recovery technique has to be applied. At this time, in the file format based recovery technique, the file structure analysis and possible recovery technique should be provided. This paper proposes the page recovery technique on deleted PDF file based on the structural characteristics of PDF file. This technique uses the tag value of page object which constitutes one page of PDF file. Object is extracted by utilizing each tag value as a kind of signature and by analyzing extracted object, the metadata of PDF file is recombined and then it`s reconfigured page by page. Recovering by page means that even if deleted PDF file is damaged, even some pages consisting of PDF file can be recovered. Generally, if the file system based file is not recoverable, deleted file is recovered by applying the signature based carving technique. The technique which we proposed in this paper can recover PDF files that are damaged. In the digital forensic perspective, it can be utilized to recover more data than previously.

극단적 투자성과에 대한 회피 성향과 주식 수익률의 횡단면

장지원(Jeewon Jang) 한국증권학회 2016 한국증권학회지 Vol.45 No.5

한국 주식시장에서 과거 일정기간의 일별 실현 수익률을 바탕으로 개별 주식의 역사적 왜도 및 첨도를 추정할 때, 고유첨도에 따라 정렬된 포트폴리오 수익률은 유의한 횡단면 차이를 나타내는 반면 고유왜도, 체계적 왜도 및 체계적 첨도는 수익률의 횡단면과 뚜렷한 관계를 보이지 않는다. 고유변동성과 고유첨도를 기준으로 구성한 이중정렬 포트폴리오 수익률을 관찰한 결과 고유변동성이 높은 주식이 과대평가되며 고유첨도가 높은 주식은 과소평가되는 것을 발견하며, 이와 같은 가격오류를 이용한 매수-매도 전략은 월평균 1.70%의 높은 수익률을 나타낸다. 또한 고유첨도에 따른 포트폴리오 수익률의 차이는 고유변동성 상위 표본에서 더욱 강하게 드러난다. 고유첨도와 주식 수익률의 양의 횡단면 관계는 개별 주식 수익률의 횡단면 회귀분석을 통해 다양한 특성변수들의 영향력을 통제한 후에도 여전히 유의하다. 본 연구의 결과는 주식시장의 일부 투자자들이 극단적 투자성과에 대한 회피 성향을 가져 고유첨도가 높은 주식에 대한 투자를 줄이고자 하기 때문에 발생하는 현상으로 해석된다. Using historical estimates of skewness and kurtosis based on daily realized stock returns, we find that stocks with high idiosyncratic kurtosis earn higher returns subsequently on average, while none of idiosyncratic skewness, systematic skewness, and systematic kurtosis is significantly related to the cross-section of stock returns in the Korean stock market. By constructing double-sorted portfolios based on idiosyncratic volatility and idiosyncratic kurtosis, we find that the trading strategy buying stocks with high kurtosis and low volatility that are relatively underpriced and selling stocks with low kurtosis and high volatility that are relatively overpriced yields a monthly return of 1.70% on average. The positive cross-sectional relation between idiosyncratic kurtosis and subsequent returns is much stronger for stocks with high idiosyncratic volatility. The cross-sectional relation is not accounted for by various firm characteristics, nor risk factors. Our findings suggest that stocks with high idiosyncratic kurtosis can be underpriced and earn relatively high returns subsequently, since a group of investors is averse to high kurtosis and thus they are not willing to pay for stocks with high kurtosis.

CRISPR-Cap: multiplexed double-stranded DNA enrichment based on the CRISPR system

Lee, Jeewon,Lim, Hyeonseob,Jang, Hoon,Hwang, Byungjin,Lee, Joon Ho,Cho, Junhyuk,Lee, Ji Hyun,Bang, Duhee Oxford University Press 2019 Nucleic acids research Vol.47 No.d1

<P><B>Abstract</B></P><P>Existing methods to enrich target regions of genomic DNA based on PCR, hybridization capture, or molecular inversion probes have various drawbacks, including long experiment times and low throughput and/or enrichment quality. We developed CRISPR-Cap, a simple and scalable CRISPR-based method to enrich target regions of dsDNA, requiring only two short experimental procedures that can be completed within two hours. We used CRISPR-Cap to enrich 10 target genes 355.7-fold on average from <I>Escherichia coli</I> genomic DNA with a maximum on-target ratio of 81% and high enrichment uniformity. We also used CRISPR-Cap to measure gene copy numbers and detect rare alleles with frequencies as low as 1%. Finally, we enriched coding sequence regions of 20 genes from the human genome. We envision that CRISPR-Cap can be used as an alternative to other widely used target-enrichment methods, which will broaden the scope of CRISPR applications to the field of target enrichment field.</P>