Browsing by Author "Shin, Sean Seunghun"

Filter results by typing the first few letters
Now showing 1 - 3 of 3
  • Bitcoin Daily Returns: the Day-of-the-Week Effect and the Significance of Momentum and Google Trend
    (2017) Hänninen, Lauri
     School of Business | Bachelor's thesis
    In this paper, I study the day-of-the-week effect on Bitcoin returns for the period from 2011 through late 2017. Under the trading time hypothesis, returns should be the same for each day of the week. Additionally, I examine how five-day momentum and previous day change in Google trends explain Bitcoin daily returns and return differences between weekends and weekdays. The results show that daily returns are statistically positive on every weekday from Monday to Friday. On the weekends, daily returns are slightly positive, but not at a significant level. Furthermore, I find that the momentum effect is strong during the weekdays but not on the weekends, and previous day change in Google trend does not affect daily returns in a significant manner. My findings indicate that weaker weekend returns cannot be entirely explained by the momentum and Google trend interaction variables.
  • Does product market competition affect corporate governance?: Evidence from corporate takeovers
    (2020-12) Oh, Frederick Dongchuhl; Shin, Sean Seunghun
     A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
    We examine the extent to which shareholders strategically allow a weak governance structure in response to increasing competition pressures in the product market. We treat acquisitions by rival firms as shocks that increase threats in a competitive product market. We find that firms adopt greater entrenchment provisions when there are greater competition threats. Moreover, firms with high institutional ownership–especially by dedicated investors–and board independence within the compensation committee are particularly aggressive, which is consistent with our theory that aggressive behavior represents a strategic decision by shareholders. Finally, we find positive relationship between the adoption of entrenchment provisions and firm’s future performance, but only for the adoption under relatively severe competitive pressures.
  • Size anomalies and tail risk in European bank stock returns
    (2017) Halme, Rasmus
     School of Business | Bachelor's thesis
    I provide new evidence on a size anomaly in European bank stock returns. Consistent with Gandhi and Lustig (2015), the largest European commercial bank stocks, ranked by either total assets or market capitalization, have significantly lower risk-adjusted returns. I argue that the anomaly is explained by implicit government guarantees absorbing tail risk from large banks. However, contrary to Park and Kim’s (2016) findings in the U.S., a tail risk factor constructed from the cross-section of stock returns does not properly capture the size-dependent return difference.