Selected Publications
l Do Local Newspapers Matter to Institutional Investors? (with Jonathan Sangwook Nam), 2025, Contemporary
Accounting Research 42(3), 1713-1743.
o This
study examines the informational role of local newspapers in institutional
investments. Exploring local newspaper closures across US counties, we document
that institutional investors significantly reduce their holdings in firms
located near the closed newspapers. The post-closure decrease in institutional
holdings is concentrated for non-local or non-hedge fund institutions. In
contrast, institutions that are likely to possess information
advantages—local institutions or hedge funds—do not decrease their holdings
and may even increase them when faced with a lack of local news coverage.
Further analysis reveals that local newspaper closures adversely impact
institutional investors’ ability to predict firms’ stock returns, particularly for
non-local or non-hedge fund institutions. Collectively, we provide novel
evidence suggesting that local newspapers are a key channel through which
institutional investors acquire geographically scattered information.
l
_..Do
Prime Brokers Matter in the Search for Informed Hedge Fund Managers? (with George O. Aragon and Ji-Woong Chung),
2023, Management Science 69(8), 4932-4952.
o Using
the setting of funds of hedge funds (FoFs), we show
that prime brokers (PBs) facilitate investors’ search for informed hedge fund
managers. We find that FoFs exhibit PB bias, a
disproportionate preference for hedge funds serviced by their connected PBs.
This PB bias is stronger when the cost of hedge fund due diligence is higher
relative to capital and when the FoF’s management
firm generates higher prime brokerage fees. PB bias also predicts FoF performance: the highest PB-bias quartile outperforms
the rest by 2.08%–2.45% per annum, after adjusting for differences in their
risks.
l
_..Timescale Betas and the Cross Section of Equity
Returns: Framework, Application, and Implications for Interpreting the
Fama-French Factors
(with Francis In and Tong Suk Kim), 2017, Journal
of Empirical Finance 42, 15-39.
o We
show that standard beta pricing models quantify an asset’s systematic risk as a
weighted combination of a number of different
timescale betas. Given this, we develop a wavelet-based framework that examines
the cross-sectional pricing implications of isolating these timescale betas. An empirical application to the Fama-French model
reveals that the model’s well-known empirical success is largely due to the
beta components associated with a timescale just short of a business cycle (i.e.,
wavelet scale 3). This implies that any viable explanation for the success of
the Fama-French model that has been applied to the Fama-French factors should
apply particularly to the scale 3 components of the factors. We find that a
risk-based explanation conforms closely to this implication.
l
Prime Broker-Level Comovement
in Hedge Fund Returns: Information or Contagion? (with Ji-Woong Chung), 2016, Review
of Financial Studies 29(12), 3321-3353.
o .We document strong comovement
in the returns of hedge funds sharing the same prime broker. This comovement is driven neither by funds in the same family
nor in the same style, and it is distinct from market-wide and local comovement. The common information hypothesis attributes
this phenomenon to the prime broker providing valuable information to its hedge fund clients. The prime broker-level contagion
hypothesis attributes the comovement to the prime
broker spreading funding liquidity shocks across its hedge fund clients. We
find strong evidence supporting the common information hypothesis, but limited
evidence in favor of the prime broker-level contagion hypothesis.
l
_..A Longer Look at the Asymmetric Dependence between Hedge Funds and the
Equity Markets
(with Francis In, Gunky Kim, and Tong Suk Kim), 2010, Journal of Financial and
Quantitative Analysis
45(3), 763-789.
o .This paper reexamines, at
a range of investment horizons, the asymmetric dependence between hedge fund
returns and market returns. Given the current availability of hedge fund data,
the joint distribution of longer-horizon returns is extracted from the dynamics
of monthly returns using the filtered historical simulation; we then apply the
method based on copula theory to uncover the dependence structure therein.
While the direction of asymmetry remains unchanged, the magnitude of asymmetry
is attenuated considerably as the investment horizon increases. Similar horizon
effects also occur on the tail dependence. Our
findings suggest that nonlinearity in hedge fund exposure to market risk is more short term in nature, and that hedge funds provide
higher benefits of diversification, the longer the horizon.
Selected Working Papers
l
_..On the Menu: Mutual Fund Tournaments in Intermediated
Distribution (with Yu
Sung Ha), 2026
o .Using unique data from Korean retail fund
distribution, we demonstrate that so-called mutual fund tournaments can arise
within the menus of common distributors. We find that funds adjust risk based
on their relative standing within a distributor’s menu, rather than within
style categories or fund families. This risk adjustment can be mitigated by
distributor-level policies that delete underperforming funds from the menu, or exacerbated by those that promote top performers.
Further analysis shows that funds also increase fees paid to distributors in
response to poor year-to-date rankings, revealing a distinct, non-risk
dimension of tournaments shaped by intermediated distribution.
l
_..Hedge Fund Awards: Do Investors and Managers Care, and
Should They? (with Hyung-Kyu
Choi and Seongkyu “Gilbert” Park), 2026
o .Using a global sample of hedge fund awards
(HFAs), we show that winners and nominees attract significant investor flows
and that winners draw heightened attention to their Form 13F filings. Yet
neither group subsequently outperforms non-recipients, suggesting that HFAs
function as effective marketing tools that also confer external validation
rather than as reliable signals of future performance. We further show that
award-eligible funds with top midyear performance increase second-half
return smoothing relative to ineligible counterparts, without differentially
shifting risk. Industry recognition thus matters even in this presumably
sophisticated marketplace, eliciting a novel within-year response from top
contenders.
l
_..Does Portfolio Disclosure Make Money Smarter? (with Stig J. Xeno), 2022 (a new version
in progress)
o .Does mandatory portfolio disclosure under SEC
Rule 13F do any good? We find a strong “smart money” effect—investor flows
predict future performance—among 13F-filing hedge funds, but not among
non-filers. A difference-in-differences analysis shows that this predictive
relationship strengthens post-disclosure. The effect is most pronounced for a
firm’s flagship fund and when EDGAR downloads are high, consistent with
disclosure informativeness and investor learning. At the investor level, funds
of funds select better among 13F-filing hedge funds than among non-filers,
earning significantly higher returns. These findings highlight a central
benefit of portfolio disclosure, informing the ongoing debate on 13F regulation.
Click
here for papers
on SSRN
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