Daehwan Kim

Konkuk University

1 Hwayang-dong

Kwangjin-gu

Seoul, 143-701

Korea

SCHOLARLY PAPERS

21

DOWNLOADS
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2,382

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (21)

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 498 (67,323)
Citation 1

Abstract:

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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 School of Management, Konkuk University and Telfer School of Management, University of Ottawa
Downloads 391 (89,850)
Citation 2

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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 School of Management and Konkuk University
Downloads 391 (89,850)

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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 309 (116,986)
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 205 (176,234)

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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 (270,091)

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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 118 (280,063)

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

8.

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 School of Management and Konkuk University
Downloads 91 (331,434)

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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 82 (353,201)

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

10.

Long-Term Foreign Exchange Risk Premia and Inflation Risk

Number of pages: 59 Posted: 07 Oct 2020
Fabio Moneta and Daehwan Kim
Telfer School of Management, University of Ottawa and Konkuk University
Downloads 57 (428,834)

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

11.

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 43 (483,673)

Abstract:

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

12.

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 36 (515,498)

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

13.

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 15 (643,435)

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14.

ε-Contamination with Unbounded Utility

Number of pages: 26 Posted: 29 Aug 2019
Daehwan Kim
Konkuk University
Downloads 12 (665,324)

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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 11 (672,646)

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

16.

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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17.

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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18.

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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19.

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

20.

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

21.

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: 828
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 811

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 17

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