Da-hea Kim
Sungkyunkwan University · 経済学
研究室紹介
Professor Da-hea Kim's research lab specializes in asset pricing, market microstructure, and investor sentiment, with a focus on how sentiment and informed trading in options and equity markets affect stock return predictability and risk-return trade-offs. The lab investigates the interplay between retail and institutional trading behavior, option market dynamics, and volatility risk premiums, using high-frequency and unique transaction-level data from emerging and developed markets. A key research direction involves analyzing the cross-sectional implications of options trading across strikes and maturities, particularly through the lens of implied volatility term structures and volatility smirk. The lab also explores how information asymmetry and market inefficiencies manifest in derivative markets and propagate to underlying equities.
Research Overview
Research Output Trend
Figures are computed from collected data and may differ slightly.
Selected Papers
14We study the effect of investor sentiment on the relation between the option to stock volume ratio (O/S) and future stock returns. Relative option volume has return predictability under short sale constraints. For this reason, we expect and find a stronger O/S‐return relation during high sentiment periods than during low sentiment periods. We find that Baker and Wurgler's Investor Sentiment Index affects the O/S‐return relation after controlling for consumer sentiment indices and economic enviro
This research studies the effect of stock-level investor sentiment on individual stock returns’ mean-variance relation. Using unique buy and sell volume data of retail investors in Korean stock market, we find that a positive mean-variance relation is undermined among high-sentiment stocks, but holds among low-sentiment stocks. We adopt buy-sell imbalances of retail investors for individual stocks as a measure of stock-level investor sentiment. Further, our findings provide empirical evidence of
Previous research highlights the importance of two distinct types of informed trading in the options market: trading on the price direction of underlying stocks, and trading on their uncertainty. Surprisingly, however, the studies considering these in a unified framework are scant.This study attempts to fill the gap. We predict that when both directional and volatility information could motivateoptions trading, the return predictability of options volume hinges onthe shape of the volatility smir
Abstract This study investigates the cross‐sectional implication of informed options trading across different strikes and maturities. We explore the term structure perspective of the one‐way information transmission from options markets to stock markets by adopting well‐known option‐implied volatility measures to examine stock return predictability. Using equity options data for U.S. listed stocks spanning 2000–2013, we find that the shape of the long‐term implied volatility curve exhibits extra
We investigate the well-documented underperformance of delta-hedged option portfolios in relation to ex ante moments of the stock market's return distribution. Using a sample of Standard and Poor's 500 index options, we find that delta-hedged option gains decrease with ex ante volatility, in support of a negative volatility risk premium. Moreover, the delta-hedged gains are negatively associated with skewness and kurtosis of call options, but positively associated with the higher moments of put
Kennedy’s disease (KD) or bulbospinal muscular atrophy is an uncommon x-linked recessive genetic disorder. Its diagnosis is challenging due to its wide array of clinical manifestations and difficulty distinguishing it from other motor neuron diseases. Thus, diagnosis is confirmed through DNA testing. 52-year-old male patient presented to the hospital with chronic low back pain (LBP) and muscle weakness. The patient had mild weakness in some proximal muscles, increased deep tendon reflex. Lumbar