Kyuseok Lee

Geographical diversification, risk and firm performance of US casinos.

Abstract Although geographical diversification is an emerging issue and has been considered a key competitive strategy in the casino industry, an examination of the effects of geographical diversification on casino firms’ risks and firm performances has been sparse. Thus, this study investigates the impact of the degree of geographical diversification on risk measured by the standard deviation of daily stock returns and firm performance measured by Tobins q of publicly traded US casino firms. The results of this study show the trade-off between risk and firm performance associated with the degree of geographical diversification of sampled casino firms. While geographical diversification can reduce risk, at the same time it can diminish firm performance. The findings suggest that when implementing a geographical diversification strategy, managers of casino firms need more elaborate decision making, while they need to develop devices and management capabilities to mitigate problems that deter firm performance.

External shocks and efficiency changes in the US airline industry

The US airline industry has experienced severe turbulence during the recent decade. The September 11 terrorist attack (9/11) was the greatest shock at the beginning of the 2000s. Recently, the dramatic increase in fuel costs emerged as another shock to the industry. To understand the effects of these two major events, this study investigated the cross-sectional efficiency of the US airline industry and its changes using the data envelopment analysis technique. The primary findings suggest that 9/11 affected the network carriers (NCs) more severely than the low-cost carriers (LCCs), while fuel costs more seriously influenced the LCCs than the NCs.

A Wong–Zakai Type Approximation for Multiple Wiener–Stratonovich Integrals

Abstract We present an extension of the Wong-Zakai type approximation theorem for a multiple stochastic integral. Using a piecewise linear approximation w (n) of a Wiener process w, we prove that the multiple integral process where f is a given symmetric function in the space 𝒞([0, T] m ), converge to the multiple Stratonovich integral of f in the uniform L 2-sense.

A Wong–Zakai type approximation for two-parameter processes

We present an extension of the Wong–Zakai approximation theorem for a stochastic differential equation on the plane driven by a two-parameter Wiener process. For an approximation of the two-parameter Wiener process, we use a two-parameter version of the one-parameter piecewise linear approximation. By our approximation to the two-parameter Wiener process we show that the solution of an ordinary differential equation converges, in the uniform L 2-sense, to that of a stochastic differential equation obtained by using Stratonovich integral. *This research was supported (in part) by KOSEF through Statistical Research Center for Complex Systems at Seoul National University.

The Influences of Major Currencies in Foreign Exchange Markets: A Regression‐Based Measure and its Application

Based on the regression explanatory power, we propose a measure of the relative influences of a group of major currencies, including the US dollar, euro, Japanese yen, and UK pound, on the exchange rate behaviors of lesser currencies. Using the measure and 27 sample floating currencies, we empirically examine the cross‐currency and temporal variations in the relative influences of two, three, and four major currencies during the 16‐year post‐euro period of 1999 to 2014.

A financial approach-based measurement of brand equity in the restaurant industry:

Brand equity plays a significant role in the restaurant industry due to the competitive advantage gained by differentiation. It has been identified as a main component of intangible assets that decides the market value of a firm in the industry. Although the importance of brand equity has been well recognized in the restaurant literature, there has been little investigation regarding how to objectively quantify brand equity, especially by using secondary market data. Further, there is no publicly available brand equity data of restaurant firms thus far. For these reasons, this study aims to develop an approach on how to estimate a restaurant’s brand equity not only by utilizing the secondary market data but also by incorporating the unique characteristics of restaurant firms. By proposing a restaurant-specific model to estimate brand equity, this study contributes to the restaurant literature and to the industry as a whole.

Determinants of Short-Term Institutional Trading During Tranquil and Crisis Time

Using institutional trades across 36 countries for the period 2003-2008, this paper investigates the determinants of short-term institutional trading and how they differ across tranquil and crisis times at a weekly frequency. Before the financial crisis of 2007-2008, we find strong evidence of short-term momentum trading at both the stock and market levels. During the crisis, however, short-term momentum trading decreases significantly at both the stock and market levels, whereas medium-term momentum trading tends to increase. Further, during the crisis, institutions prefer to buy significantly larger, lower book-to-market, and higher turnover stocks than they did before the crisis.

Stock Market Integration at Home

Investors are known to exhibit home (local) bias even when they invest in their domestic markets. Since home bias is symptomatic of market segmentation, the ‘home bias at home’ phenomenon raises an important question: How well integrated are domestic financial markets? The answer for this question will have implications for a wide range of financial decision makings, including the cost of capital estimation, asset allocation, and performance evaluation. In the current paper, we address this question by estimating the level and trend of integration of U.S. domestic stock markets. Specifically, for each of our sample states, we construct the state (market) portfolio comprising public firms headquartered within the state and compute R-squares, our measure of integration, from regressing state portfolio returns on national stock market factors. Using weekly returns, we estimate the regression for each year of our sample period 1964-2010. The key findings are: (i) For the majority of sample states, the R-squares exhibits a statistically significant upward trend, implying that U.S. domestic stock markets were not fully integrated and have been integrating during the sample period; (ii) consistent with the previous result, the explanatory power of the state factor over individual stock returns has been decreasing for the majority of states; and (iii) the increasing integration of U.S. domestic stock markets is associated with the decreasing home state bias, suggesting that investors’ pursuit of nation-wide investment opportunities may be a significant driver of domestic financial integration.