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 mutual 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
their 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 game in town: funds also adjust 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
_..Does Portfolio Disclosure Make Money Smarter? (with Stig J. Xeno), 2026
(a new version in progress)
o .Does
mandatory portfolio disclosure under SEC Rule 13F do any good? We find a strong
“smart money” effect—where flows predict future performance—among 13F-filing
hedge funds, but not among non-filing hedge funds. A difference-in-differences
analysis shows that this predictive relationship strengthens post-disclosure.
The effect is particularly pronounced for a firm’s flagship fund and following
high EDGAR downloads. At the investor level, funds of funds earn significantly
higher returns from their allocations to disclosing funds, reflecting superior
selection enabled by portfolio transparency. These findings highlight a central
benefit of portfolio disclosure, directly informing the ongoing debate on 13F
regulation.
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 document that award winners and
nominees attract significant investor flows without exhibiting subsequent
outperformance. These results suggest that HFAs function effectively as
marketing tools, while raising questions about the sophistication of capital
allocation in the hedge fund industry. Crucially, we uncover a novel,
within-year pattern of return manipulation: award-eligible top performers
engage in significantly more return smoothing in the second half of the year
compared to non-eligible peers. This strategic smoothing is distinct from
midyear risk-shifting and points to potential distortions in the return data
reported by eligible funds, particularly after strong year-to-date returns.
Click
here for papers on SSRN
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