Chanho Yee

Working Papers

"Equity Market Information Windows and  Intraday Cryptocurrency Trading in Korea" (solo-authored, under review)

• • Trading volumes and return volatilities of Bitcoin and Ethereum show spikes when the US and Korean stock markets open. I empirically test the pattern and propose a market microstructure model to explain this phenomenon.

  • Previously titled as "Information Spillover and Intraday Comovement between Stock and Crypto Asset Markets"

  • Best Paper Award, Graduate Student Session, Korea’s Allied Economic Associations Annual Meeting, 2023

  • Presentations: International Conference of the Japan Economic Policy Association 2023 (Osaka, Japan), Korea’s Allied Economic Associations Annual Meeting 2023 (Seoul, Korea)

"Identity Is Not Identification: Present-Value Decompositions and the Discount-Rate Label" (solo-authored)

• Internet Appendix

"Overreaction or Mechanical Bias? The Impact of Variable Construction on Tests of Expectation Formation" (with Hayeon Park, under review)

• • Testing whether the forecasts are over-/under-reacting to the new information developed by Coibion and Gorodnichenko (2015) is widely used in the behavioral finance literature, and it might be misinterpreted simply because the variable is constructed wrongly.

"The Unintended Consequences of Value-weighting" (solo-authored)

• Return factors are computed by aggregating the individual stocks through value-weighting, which composes more of large stocks. Consequently, factor returns and anomalies might actually be mostly of idiosyncratic shocks of large stocks. 

"CAPM Beta vs. Cash-flow Beta: An Insight from an Equity Term Structure Model" (with Dong-Hyun Ahn)

• • Semi-finalist for the Best Paper in Investment & Asset Pricing, FMA 2025

  • Presentations: FMA 2025 (Vancouver, Canada), Australasian Finance and Banking Conference 2024 (Sydney, Australia)

"Offshore Stablecoin Issuance and Korea's Crypto-Dollar Premium" (solo-authored, submitted)

Work in Progress

"Built or Bought? The Source of Intangible Capital and the Stock Returns" (with Hayeon Park)

"Hot Today, Cold Tomorrow: Selection Dynamics in ETFs" (with Hayeon Park)

"Stablecoin Issuance and Local Crypto-Dollar Premia: International Evidence" (solo-authored)

Published/Forthcoming

[3] "Fundamental Persistence and Diagnostic Expectations" (Solo-authored)

• • Forthcoming at Global Finance Journal

  • Presentations: Joint Conference with the Allied Korea Finance Associations 2025

[2] "Trading Pattern Synchronization in Multi-asset Market" (solo-authored)

• • International Review of Economics and Finance, 104 (2025)

  • Presentations: Primary Asian Meeting of Econometrics Society 2024 (Hangzhou, China)

[1] "Do accelerators matter for innovative firms’ financial performance? Empirical evidence from Korea"  (with Jongmin Choi)

• • Technology Analysis & Strategic Management, 37 (1), 49-64 (2025)