The theory of ε-contamination utility builds upon the intuition that decision makers pay extra attention to the worst outcome and overweight its occurrence. Thus, the theory is highly relevant to applied research involving downside risk. The existing theory, however, assumes utility to be...

Utilizing unique features of chonsei housing contracts popular in South Korea, we conduct a new test of the presence of credit constraints. We extend a theory to characterize the impact on nondurable and durable consumption of a liquidity reduction arising from chonsei deposit increases. The...

When the number of assets (N) exceeds the number of time periods (T), the sample co-variance matrix is singular, and the portfolio optimization problem cannot be solved via traditional mean-variance algebra. In such a case, the Moore–Penrose (MP) generalized inverse becomes handy: In this...

We investigate a hitherto unexplored aspect of the hot money phenomenon: the effect of hot money at the individual stock level. In the South Korean stock market, foreign capital flow right before the global financial crisis can be characterized as hot money. A larger increase in foreign...

This paper reports significant momentum profits among style portfolios of multiple asset classes. Previous studies have demonstrated style momentum within equity markets. The findings of this paper show that style momentum is not merely an equity market phenomenon, but a cross-asset phenomenon....

This study examines how the health of North Korean refugees affect the speed of their integration into the South Korean society. Previous studies, mostly of refugees in Europe and North America, have documented that refugees’ poor health delays their integration into host countries. We extend...

We present a Gordon-growth-model-based formula for wealth-income ratios. The Gordon formula shows negative (positive) correlation between wealth-income ratios and saving (growth) rates, contrary to conventional understanding of the relationship. The Gordon formula also shows an important role of...

This paper aims to determine factors causing the stagnation of Korean firms' fixed investment after the global financial crisis, using panel data for the period of 1999-2016. Fixed investment remained sensitive to cash flow and Tobin's q although their effects decreased after the global...

Purpose – Since the introduction of martial arts in the global community through a variety of international sport events, the sport of Taekwondo (TKD) has grown rapidly. Although the magnitude of the TKD market has increased, few systematic studies have been conducted to understand TKD...