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Dongcheol Kim,Haejung Na 한국재무학회 2014 한국재무학회 학술대회 Vol.2014 No.11
Previous researches focus on examining only the relation between cross-sectional earnings forecast dispersion and stock returns and on providing explanations for the negative dispersionreturn relation. This paper attempts to examine how time-series mean forecast dispersion is distinct in the relation to stock returns from the cross-sectional forecast dispersion effect. We find that contrary to the standard analyst dispersion effect, there is a strong positive relation between time-series mean forecast dispersion and stock returns. We also find that time-series mean forecast dispersion apparently contains systematic risk components and that such risk is priced in stock returns.
Investor Sentiment, Anomalies, and the Macroeconomy
Dongcheol Kim,Haejung Na 한국재무학회 2015 한국재무학회 학술대회 Vol.2015 No.05
This paper examines whether the results supporting a recent story that sentiment-related overpricing is the source of a variety of asset pricing anomalies are still maintained after separating out the effect of macroeconomic conditions. We find that after adjusting for the effect of several macroeconomic variables in the proxy for investor sentiment, the results are no longer consistent with the sentimentrelated overpricing story. These results indicate that the anomalies are not necessarily attributed to sentiment-related overpricing but rather to macroeconomic conditions.
Cross-Sectional and Intertemporal Forecast Dispersions, Risk, and Stock Returns
Dongcheol Kim,Haejung Na 한국재무학회 2014 한국재무학회 학술대회 Vol.2014 No.05
Previous researches focus on examining only the relation between cross-sectional earnings forecast dispersion and stock returns and on providing explanations for the negative dispersionreturn relation. This paper attempts to examine not only the relation between time-series forecast dispersion and stock returns, but also whether time-series and cross-sectional forecast dispersions contain systematic risk components, and whether such risk is priced in stock returns. We find that there is a strong positive relation between time-series forecast dispersion and stock returns. We also find that time-series forecast dispersion apparently contains systematic risk components and that such risk is priced in stock returns, while cross-sectional dispersion does not. In other words, dispersion in analysts' forecasts is informative intertemporally in terms of pricing ability but not cross-sectionally.
Financial distress, short sale constraints, and mispricing
Kim, Dongcheol,Lee, Inro,Na, Haejung Elsevier 2019 Pacific-Basin finance journal Vol.53 No.-
<P><B>Abstract</B></P> <P>This paper specifically examine how the extent of the distress puzzle differs according to the degree of mispricing and short sale constraints. We find that the distress puzzle observed for overpriced stocks, not for underpriced stocks, becomes insignificant after adjustment for short sale constraints due to an asymmetric pricing effect of short sale constraints only on the short-leg side of distress. However, after adjustment for arbitrage risk, the distress puzzle remains unchanged. These results indicate that the distress puzzle is mainly attributable to short sale constraints, rather than other limits-to-arbitrages such as arbitrage risk, which has a bi-lateral pricing effect on both short-leg and long-leg sides of distress. To mitigate a possible endogeneity problem relation among financial distress, mispricing, and short sale constraints, we measure these variables with different timing.</P> <P><B>Highlights</B></P> <P> <UL> <LI> The effect of short sale constraints on the distress puzzle is examined with mispricing. </LI> <LI> Financial distress, short sale constraints, and mispricing are measured in a different timing. </LI> <LI> A possible endogeneity problem among the three key variables is considered. </LI> <LI> The asymmetric pricing effect of short sale constraints on the puzzle is specifically measured. </LI> </UL> </P>
Does Corporate Social Responsibility Reduce Information Asymmetry?
Jinhua Cui,Hoje Jo,Haejung Na 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.08
In this article, we examine the empirical association between corporate social responsibility (CSR) and information asymmetry by investigating their causal, simultaneous, and endogenous effects. Employing a large and extensive U.S. sample during 1991-2010, we find an inverse association between CSR engagement and the level of information asymmetry after controlling for various firm characteristics. Based on the simultaneous equation approach, we further find that CSR activities reduce information asymmetry more than information asymmetry decreases CSR activities. Furthermore, after controlling for endogeneity based on dynamic panel generalized method of moment (GMM), we still find an inverse relation between CSR engagement and information asymmetry. We interpret these results to support the stakeholder-theory based information-asymmetry-reduction explanation that considers CSR engagement as a vehicle to reduce asymmetric information between managers and noninvesting stakeholders, but not the agency-theory based over-investment hypothesis that views CSR as a waste of valuable resources at the cost of shareholders and considers firm’s CSR engagement making information environment more opaque.
Validation of the Korean Version of the Anosognosia Questionnaire for Dementia
Gi Hwan Byeon,Woo Jin Kim,Min Soo Byun,Jun Ho Lee,So Yeon Jeon,Kang Ko,Kiyoung Sung,Dongkyun Han,Haejung Joung,Younghwa Lee,Gijung Jung,Han Na Lee,Dahyun Yi,Dong Young Lee 대한신경정신의학회 2021 PSYCHIATRY INVESTIGATION Vol.18 No.4
Objective Anosognosia is a common phenomenon in individuals with dementia. Anosognosia Questionnaire for dementia (AQ-D) is a well-known scale for evaluating anosognosia. This study aimed to establish a Korean version of the AQ-D (AQ-D-K) and to evaluate the reliability and validity of the AQ-D-K in patients with Alzheimer’s disease (AD) dementia. Methods We translated the original English version of AQ-D into Korean (AQ-D-K). Eighty-four subjects with very mild or mild AD de-mentia and their caregivers participated. Reliability of AQ-D-K was assessed by internal consistency and one-month test-retest reliability. Construct validity and concurrent validity were also evaluated. Results Internal consistencies of the AQ-D-K patient form and caregiver form were high (Cronbach alpha 0.95 and 0.93, respectively). The test-retest reliability of AQ-D-K measured by intra-class correlation coefficient was 0.84. Three factors were identified: 1) anosognosia of instrumental activity of daily living; 2) anosognosia basic activity of daily living; and 3) anosognosia of depression and disinhibition. AQ-D-K score was significantly correlated with the clinician-rated anosognosia rating scale (ARS), center for epidemiological studies-de-pression scale (CES-D) and state-trait anxiety inventory (STAI). Conclusion The findings suggest that the AQ-D-K is a reliable and valid scale for evaluating anosognosia for AD dementia patients us-ing Korean language. Psychiatry Investig 2021;18(4):324-331