Chanho Yee

Working Papers

On the Impact of Variable Construction on Tests of Forecast-Error Predictability (with Hayeon Park), 2026

• • Revise & Resubmit at The Economic Journal

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

Built or Bought? The Source of Intangible Investment and Expected Returns (with Hayeon Park), 2026.

• • Submitted

  • Firms can choose either to build intangible capital internally or buy externally.  Internally building firms face more 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), 2025

• • 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)

Parallel Dollar Markets and the Trading Clock: Intraday Price Discovery between Stablecoins and FX (with Hayeon Park)

Portfolio Drift and Global Bank Credit Reallocation

Geopolitical Risk, Treasury Demand, and Reserve Asset Accessibility (with Ahjin Choi)

Publications

[5] Residual-Risk Concentration and the Reliability of Value-Weighted Portfolio Returns, 2026. Financial Management, Forthcoming

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

[4] Equity Market Information Windows and  Intraday Cryptocurrency Trading in Korea, 2026. Economic Analysis (Bank of Korea), 32 (3), Internet Appendix

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

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

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

[3] Fundamental Persistence and Diagnostic Expectations, 2026. Global Finance Journal, 71 

• • The regression test that concludes the agents are overreacting need not imply overreaction: this paper shows when the same forecast-error and return patterns can arise from investor underreaction instead, given low persistence in variables.

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

[2] Trading Pattern Synchronization in Multi-asset Market, 2025. International Review of Economics and Finance, 104

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

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