Chanho Yee

Working Papers

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

• • Revise & Resubmit at The Economic Journal

  • A test for detecting whether forecasts are over- or underreacting to new information, developed by Coibion and Gorodnichenko (2015), is widely used in the macroeconomics and finance literature, but it might have been misinterpreted until now simply because the variable is constructed incorrectly.

"Residual-Risk Concentration and the Reliability of Value-Weighted Portfolio Returns" (solo-authored, submitted)

• By definition, value-weighted portfolios give large weights to large stocks. Consequently, those portfolios might actually be driven by idiosyncratic shocks of large stocks, which compromise the findings on return anomalies or trading strategies. 

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

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

  • 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)

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

• • Firms can choose either to build intangible capital internally or buy externally.  Internal building firms are more exposed to systematic risk, and their expected return is higher.

"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)

Work in Progress

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

"Global Comovement, Local Persistence: Stablecoin-Implied Exchange Rates Across Markets" (with Hayeon Park)

"Exchange-Rate Risk and Global Bank Retrenchment" (solo-authored)

"Dollar Liquidity Without Dollar Duration: Geopolitical Risk and the Maturity Structure of Treasury Demand" (solo-authored)

Published/Forthcoming

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

• • Global Finance Journal, 71 (2026)

  • Diagnostic expectations need not imply overreaction: this paper shows when the same forecast-error and return patterns can arise from investor underreaction instead.

  • 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)

  • Asymmetric market closures reshape when traders choose to trade, producing synchronized spikes in volume, volatility, and cross-asset correlations across the trading day.

  • 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)

  • Accelerators help startups grow sales and use assets more efficiently, but the gains stop short of improving profitability.