Search Results - "CHUNG, KEE H."

Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program by Chung, Kee H., Lee, Albert J., Rösch, Dominik

“…Using limit order books across all US exchanges, we show that while liquidity for small orders (e.g., the quoted and effective spreads) decreases, liquidity…”
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Corporate Governance and Liquidity by Chung, Kee H., Elder, John, Kim, Jang-Chul

“…We investigate the empirical relation between corporate governance and stock market liquidity. We find that firms with better corporate governance have…”
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Volatility and the cross-section of corporate bond returns by Chung, Kee H., Wang, Junbo, Wu, Chunchi

“…This paper examines the pricing of volatility risk and idiosyncratic volatility in the cross-section of corporate bond returns for the period of 1994–2016…”
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Conservatism and representativeness heuristic in peer reviews: Evidence from the finance literature 1946–2020 by Chung, Kee H., Lee, Choonsik

“…This paper explores whether journal referees take into account the author's scholarly credentials in their decisions using the stochastic process underlying…”
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COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading by Chung, Kee H., Chuwonganant, Chairat

“…This paper shows that the COVID-19 pandemic is associated with a decrease in liquidity and increases in price efficiency and informed trading before the NYSE…”
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Corporate Governance and Institutional Ownership by Chung, Kee H., Zhang, Hao

“…In this study we examine the relation between corporate governance and institutional ownership. Our empirical results show that the fraction of a company’s…”
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Uncertainty, market structure, and liquidity by Chung, Kee H., Chuwonganant, Chairat

“…In this study we show that market uncertainty [measured by the Chicago Board Options Exchange Market Volatility Index (VIX)] exerts a large market-wide impact…”
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Tick size and price efficiency: Further evidence from the Tick Size Pilot Program by Chung, Kee H, Chuwonganant, Chairat

“…This paper examines whether larger tick sizes improve or hinder price efficiency for small‐capitalization stocks using data from implementing and terminating…”
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A simple approximation of intraday spreads using daily data by Chung, Kee H., Zhang, Hao

“…This study examines the relation between the bid-ask spread from the daily CRSP data and the bid-ask spread from the intraday TAQ data. We show that the…”
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Hedge Fund Activism and Corporate M&A Decisions by Wu, Szu-Yin (Jennifer), Chung, Kee H.

“…This paper shows that hedge fund activism is associated with a decrease in mergers and acquisitions (M&A) and offer premiums and an increase in stock and…”
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Foreign ownership and stock market liquidity by Lee, Jieun, Chung, Kee H.

“…In this study we analyze how the price impact of trades and the bid-ask spread are related to foreign stock ownership using data from 20 emerging markets. We…”
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Voting methods for director election, monitoring costs, and institutional ownership by Chung, Kee H., Lee, Choonsik

“…We show that firms that employ the majority voting method for director election exhibit higher institutional ownership than firms that employ the plurality…”
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Market volatility and stock returns: The role of liquidity providers by Chung, Kee H., Chuwonganant, Chairat

“…This study shows that market volatility affects stock returns both directly and indirectly through its impact on liquidity provision. The negative relation…”
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Preopening price indications and market quality: Evidence from NYSE Rule 48 by Chung, Kee H., Chuwonganant, Chairat, Kim, Youngsoo

“…In this article, we explore the role of preopening price signals in price discovery and liquidity. NYSE Rule 48 suspends the responsibility of designated…”
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Corporate Governance and the Informational Efficiency of Prices by Lee, Choonsik, Chung, Kee H., Yang, Sean

“…We explore the relation between corporate governance and the informational efficiency of prices (IEP). We find that IEP increases with the quality of corporate…”
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Hidden liquidity, market quality, and order submission strategies by Lee, Albert J., Chung, Kee H.

“…Using exogenous changes in hidden liquidity from the Tick Size Pilot Program, we show that hidden liquidity on lit venues has significant effects on various…”
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Corporate innovation, likelihood to be acquired, and takeover premiums by (Jennifer) Wu, Szu-Yin, Chung, Kee H.

“…We analyze the effect of a firm's innovation activities on its likelihood to be acquired and the takeover premium using a large sample of M&A transactions. We…”
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Trade duration, informed trading, and option moneyness by Chung, Kee H., Park, Seongkyu “Gilbert”, Ryu, Doojin

“…This study shows the relationship between the price impact of a trade and the duration between trades by extending a trade indicator microstructure model…”
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Antitakeover Statutes and Internal Corporate Governance by Lee, Choonsik, Chung, Kee H.

“…Manuscript Type Empirical Research Question/Issue This paper examines the relation between internal corporate governance and the market for corporate control…”
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Information Asymmetry and Corporate Cash Holdings by Chung, Kee H., Kim, Jang-Chul, Kim, Young Sang, Zhang, Hao

“…This study analyzes the effect of information asymmetry on corporate cash holdings. Using various measures of information asymmetry, this study shows that…”
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