Daehwan Kim

Konkuk University

1 Hwayang-dong

Kwangjin-gu

Seoul, 143-701

Korea

SCHOLARLY PAPERS

23

DOWNLOADS
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in Total Papers Downloads

3,232

SSRN CITATIONS

6

CROSSREF CITATIONS

2

Scholarly Papers (23)

1.

Predicting Commodity-Futures Basis Factor Return by Basis Spread

Number of pages: 40 Posted: 01 Sep 2012 Last Revised: 24 Jul 2014
Daehwan Kim
Konkuk University
Downloads 580 (81,794)
Citation 1

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Commodity futures, basis factor, predictability, inverse basis spread, decomposition, return dispersion

2.

Beta and Firm Age

Journal of Empirical Finance, Vol. 58, 2020
Number of pages: 73 Posted: 14 Aug 2016 Last Revised: 15 Dec 2020
University of San Francisco, Konkuk University and Telfer School of Management, University of Ottawa
Downloads 508 (96,527)
Citation 7

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time-varying beta, cost of capital, CAPM, firm age, estimation risk, familiarity

3.

Uses and Misuses of the Black-Litterman Model in Portfolio Construction

Number of pages: 47 Posted: 19 Dec 2012
Ludwig B. Chincarini and Daehwan Kim
University of San Francisco and Konkuk University
Downloads 477 (104,196)

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Black-Litterman, Bayes rule, Portfolio Construction, Econometric techniques, simulations

4.

Maximum Drawdown and Asset Pricing

Number of pages: 37 Posted: 27 Mar 2010 Last Revised: 16 May 2014
Daehwan Kim
Konkuk University
Downloads 381 (135,249)
Citation 3

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Maximum drawdown, Liquidity preference, Rank dependent utility, Downside risk, Expected co-drawdown

5.

Beta vs. Characteristics: Comparison of Risk Model Performances

Number of pages: 35 Posted: 15 Jan 2013 Last Revised: 25 Dec 2013
Daehwan Kim
Konkuk University
Downloads 231 (227,255)

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Beta model, Characteristics model, Beta-characteristics correlation, Beta prices-characteristics prices correlation, Characteristics-matched benchmark

6.

Two Kinds of Value Premiums

Number of pages: 33 Posted: 12 Dec 2010
Daehwan Kim
Konkuk University
Downloads 141 (351,969)

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value premium, forward bias, value diversification, value timing

7.

Is There a Size Effect in the FX Market?

Number of pages: 30 Posted: 16 Feb 2012 Last Revised: 11 Mar 2014
Daehwan Kim and Chi Young Song
Konkuk University and Kookmin University
Downloads 138 (355,906)

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Size effect, currency excess return, market capitalization, forward premium, forward market

8.

Long-Term Foreign Exchange Risk Premia and Inflation Risk

International Review of Financial Analysis, Vol. 78, 2021
Number of pages: 59 Posted: 07 Oct 2020 Last Revised: 10 Feb 2022
Fabio Moneta and Daehwan Kim
Telfer School of Management, University of Ottawa and Konkuk University
Downloads 121 (393,296)

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Foreign exchange risk premia, real interest rates, inflation risk, affine term structure model, inflation volatility

9.

Country Fundamentals and Currency Excess Returns

Journal of East Asian Economic Integration Vol. 18, No. 2 (June 2014) 111-142
Number of pages: 32 Posted: 01 Jul 2014 Last Revised: 06 Nov 2016
Daehwan Kim and Chi Young Song
Konkuk University and Kookmin University
Downloads 114 (410,707)

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Currency Excess Returns, Country Fundamentals, Factor Model, Fundamental Factors, Investment-style Factors

10.

Wages and Knowledge Transfer

Number of pages: 19 Posted: 15 Jul 2003 Last Revised: 16 Aug 2013
Ludwig B. Chincarini and Daehwan Kim
University of San Francisco and Konkuk University
Downloads 111 (418,795)

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Wages, knowledge transfer, employment

11.

Corporate Entertainment Expenses and Corruption in Public Procurement

Number of pages: 58 Posted: 27 Aug 2019 Last Revised: 03 Aug 2020
Sungwon Kang, Daehwan Kim and Gyeonhyeong Kim
Korea Environment Institute, Konkuk University and Seoul National University
Downloads 109 (424,290)

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Public procurement auction, corruption, bribery, antigraft act, corporate entertainment expenses

12.

Health and Labor Market Outcomes of North Korean Refugees in South Korea

Number of pages: 40 Posted: 01 Feb 2023 Last Revised: 30 May 2023
Hye-Seung Wee and Daehwan Kim
National Health Insurance Service - Department of International Relations & Cooperation and Konkuk University
Downloads 72 (550,849)

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North Korean refugees, health and integration, labor market outcome, National Health Insurance Service of Korea data, health screening

A Gordon Growth Formula for Wealth-Income Ratios

Number of pages: 27 Posted: 23 Dec 2022 Last Revised: 25 May 2023
Daehwan Kim and Jeffrey H. Nilsen
Konkuk University and American University in Bulgaria
Downloads 49 (678,625)

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wealth-income ratios, Gordon growth model, correlation between wealth-income ratios and saving rates, labor share

A Gordon Growth Formula for Wealth-Income Ratios

Number of pages: 28 Posted: 01 Jun 2023
Daehwan Kim and Jeffrey Nilsen
Konkuk University and American University in Bulgaria
Downloads 15 (962,837)

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wealth-income ratios, Gordon growth model, correlation between wealth-income ratios and saving rates, labor share

14.

Mean-Variance Efficiency of Reserve Portfolios

Seoul Journal of Economics, Vol. 24, No. 4, pp. 593-612, 2011
Number of pages: 20 Posted: 06 Dec 2011
Daehwan Kim and Jai-Won Ryou
Konkuk University and Konkuk University
Downloads 60 (605,236)

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reserve portfolio, mean-variance efficiency, liquid portfolio, hedging portfolio

15.

Declining Fixed Investment and Increasing Financial Investment of Korean Corporations

East Asian Economic Review Vol. 23, No. 4 (December 2019) 353-379, DOI: 10.11644/KIEP.EAER.2019.23.4.367
Number of pages: 27 Posted: 10 Jan 2020
Daehwan Kim, Sunhee Kwon and Jai-Won Ryou
Konkuk University, Daejin University, Department of Global Economics and Konkuk University
Downloads 49 (664,336)

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Stagnant Fixed Investment, Financial Investment, Cash Flow, Tobin’s q, Global Financial Crisis

16.

ε-Contamination with Unbounded Utility

Number of pages: 26 Posted: 29 Aug 2019
Daehwan Kim
Konkuk University
Downloads 42 (707,729)

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17.

Testing the Presence of Credit Constraints from Consumption Responses to Housing Deposit Changes

Number of pages: 39 Posted: 29 Aug 2019
Daehwan Kim and Jeffrey H. Nilsen
Konkuk University and American University in Bulgaria
Downloads 34 (764,039)

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18.

On the Use of the Moore–Penrose Generalized Inverse in the Portfolio Optimization Problem

Finance Research Letters, Vol. 22, 2017
Posted: 29 Aug 2019
Daehwan Kim and Miyoung Lee
Konkuk University and Konkuk University

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19.

Hot Money and Cross-Section of Stock Returns During the Global Financial Crisis

International Review of Economics & Finance, Vol. 50, 2017
Posted: 29 Aug 2019
Daehwan Kim and Seiichiro Iwasawa
Konkuk University and Nagoya University - The NUCB Graduate School

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20.

Cost-Benefit Analysis of Seawalls in South Korea: A Bottom-Up Assessment

Coastal Management, 44(6), 1-16, 2016
Posted: 27 Aug 2019
Daehwan Kim, Dong-Ki Min and Kwangwoo Cho
Konkuk University, Konkuk University - Department of Economics and Korea Environment Institute

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21.

Value Premium Across Countries

Posted: 16 Feb 2012
Daehwan Kim
Konkuk University

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Inter-country variation in value premium, earnings-yield spread, return dispersion, earnings-growth spread

22.

Is Currency Hedging Necessary for Emerging-Market Equity Investment?

Posted: 16 Feb 2012
Daehwan Kim
Konkuk University

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currency hedging, emerging market, carry profit

23.

Cross-Asset Style Momentum

Posted: 23 Apr 2010 Last Revised: 21 Jun 2016
Daehwan Kim
Konkuk University

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Style momentum, multiple asset classes, underreaction, excess comovement, performance chasing

Other Papers (2)

Total Downloads: 905
1.

Another Look at the Information Ratio

Number of pages: 20 Posted: 17 Dec 2006
Ludwig B. Chincarini and Daehwan Kim
University of San Francisco and Konkuk University
Downloads 873

Abstract:

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Information Ratio, Fundamental Law of Active Management, Linear Regression

2.

Cross-Ownership and Internal Capital Markets

Number of pages: 23 Posted: 16 Jan 2006
Taeyoon Sung and Daehwan Kim
Yonsei University, School of Economics and Konkuk University
Downloads 32

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internal capital market, cross-ownership, efficiency, capital budget, operating budget