Heung-Joo Park

Abstract BitMEX is the largest unregulated bitcoin derivatives exchange, listing contracts suitable for leverage trading and hedging. Using minute‐by‐minute data, we examine its price discovery and hedging effectiveness. We find that BitMEX derivatives lead prices on major bitcoin spot exchanges. Bid–ask spreads, interexchange spreads, and relative trading volumes are important determinants of price discovery. Further analysis shows that BitMEX derivatives have positive net spillover effects, ar

Incorporating environmental, social, and governance (ESG) criteria is essential for promoting sustainability in business and is considered a set of principles that can increase a firm's value. This research proposes a strategy using text-based automated techniques to rate ESG. For autonomous classification, data were collected from the news archive LexisNexis and classified as E, S, or G based on the ESG materials provided by the Refinitiv-Sustainable Leadership Monitor, which has over 450 metri

Abstract This study examines the relationship between stock liquidity and corporate cash holdings and explores a new economic mechanism driving this relationship. Using a regression discontinuity design approach based on the annual reconstitution of the Russell 1000/2000 indices, we find that stock liquidity has a positive causal effect on corporate cash holdings. This effect is more pronounced for firms with more investment opportunities. These results suggest that enhanced stock liquidity incr

Abstract This study examines whether financial constraints and board governance play substitution roles in lowering agency concerns in corporate cash holdings. Using four firm‐specific characteristics of financial constraints and 28 forward‐looking board governance standards, we find that board governance mitigates agency concerns in cash holdings more significantly for financially less‐constrained firms. Consistently, financially less‐constrained firms increase the level of board governance and

While the incorporating ESG indicator is recognized as crucial for sustainability and increased firm value, inconsistent disclosure of ESG data and vague assessment standards have been key challenges.To address these issues, this study proposes an ambiguous text-based automated ESG rating strategy.Earnings Call Transcript data were classified as E, S, or G using the Refinitiv-Sustainable Leadership Monitor's over 450 metrics.The study employed advanced natural language processing techniques such

Abstract We investigate and robustly show that transient institutional ownership (IO) has a positive effect on the level and value of corporate cash holdings. Further, using a regression discontinuity design exploiting the Russell 1000/2000 index reconstitution as an exogenous shock to transient IO, we show that the effects of transient IO on cash holdings are causal. Additionally, our analysis shows that transient institutions exacerbate debtholder–shareholder conflicts, thereby increasing the