Daehwan Kim

Konkuk University

1 Hwayang-dong

Kwangjin-gu

Seoul, 143-701

Korea

SCHOLARLY PAPERS

20

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2,141

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (20)

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 467 (63,654)
Citation 1

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

2.

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 School of Management and Konkuk University
Downloads 362 (86,021)

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

3.

Beta and Firm Age

Number of pages: 68 Posted: 14 Aug 2016 Last Revised: 10 Jun 2019
University of San Francisco School of Management, Konkuk University and Telfer School of Management, University of Ottawa
Downloads 341 (92,103)
Citation 1

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

4.

Maximum Drawdown and Asset Pricing

Number of pages: 37 Posted: 27 Mar 2010 Last Revised: 16 May 2014
Daehwan Kim
Konkuk University
Downloads 281 (113,740)
Citation 2

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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 199 (160,162)

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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 123 (239,837)

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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 115 (252,024)

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

8.

Wages and Knowledge Transfer

Rydex Working Paper
Number of pages: 19 Posted: 15 Jul 2003 Last Revised: 16 Aug 2013
Ludwig B. Chincarini and Daehwan Kim
University of San Francisco School of Management and Konkuk University
Downloads 91 (295,276)

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Wages, knowledge transfer, employment

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 80 (319,515)

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

10.

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 41 (440,156)

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

11.

Bribery and Allocation Efficiency: Evidence From Public Procurement Auctions in Korea

Number of pages: 40 Posted: 27 Aug 2019
Sungwon Kang, Daehwan Kim and Gyeonhyeong Kim
Korea Environment Institute, Konkuk University and Seoul National University
Downloads 15 (577,256)

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12.

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 10 (610,278)

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13.

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 8 (623,855)

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

14.

ε-Contamination with Unbounded Utility

Number of pages: 26 Posted: 29 Aug 2019
Daehwan Kim
Konkuk University
Downloads 8 (623,855)

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15.

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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16.

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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17.

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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18.

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

19.

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

20.

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: 808
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 School of Management and Konkuk University
Downloads 792

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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 16

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