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
as funds compete for investor flows 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 or exacerbated by distributor-level policies,
such as deleting underperforming funds from the menu or promoting top
performers. Further analysis shows that risk adjustment is not the only
strategic response: funds also adjust fees paid to distributors in response to
poor year-to-date rankings.
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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