유준욱 교수

Direct real estate returns are correlated with shifts in weather patterns, which are proxied by changes in four moments of distribution for differences in average and maximum daily temperatures, deviations from optimal temperatures and climate risk index reported by Germanwatch. Changes in the volatility of daily temperatures are inversely correlated with direct real estate returns. The volatility effect appeared to be marginal in 1996-2007, but it became more pronounced in 2010-2017. Other mome

ABSTRACT In multi‐task environments, the efficiency of aggregating managerial performance information and the degree of customization/standardization are closely related. Aggregation without information loss (i.e., statistically sufficient) requires at least as many measures as there are effective tasks (which arise through a task aggregation process analogous to that applied to homogeneous activities in activity‐based costing) and can be used uniformly for evaluation across similar jobs. Aggreg

Abstract Shareholder valuations are economically significantly and statistically negatively correlated with the length of 10 K filings or their digital file sizes, whereas annual reports posted on corporate websites are uninformative. Firms with longer 10 K filings are likely to experience slower growth, lower profitability, experience free cash flow problems, and write off goodwill and intangible assets from past acquisitions. Lengthy filings are more damaging than suggested by three‐year perfo

This article examines impact of climate risks on premium paid in cross-border acquisitions. Results suggest that acquirors from high climate risk geographies tend to offer larger premiums. The results are driven by transactions, in which majority stakes exchange hands, and premium for control is paid to target firm shareholders. There is mild evidence that premiums for control are also higher for targets in low climate risk nations.

This study analyzes the minimum dimension of statistically sufficient aggregation when performance measures are joint-normally distributed. Statistically sufficient aggregates incur no loss of information during the aggregation process and provide robustness to performance evaluation systems. This study shows that there is no one-dimensional statistically sufficient aggregate in a multi-task setting.

Aggregating performance measures considerably reduces the complexity of a performance evaluation system. This dissertation analyzes the nature and characteristics of the aggregation of performance measures in institutional settings of multiple tasks and multiple periods. In multi-task settings, the number of tasks restricts the feasibility of a statistically sufficient aggregation and the nature of an economically sufficient aggregation. Statistical sufficiency of aggregation can be achieved onl

This study explicitly calculates the relative incentive rate in an N-period contract with multiple tasks. The inter-temporal covariance risk, as well as the within-period risk premium, prevents the first best allocation of effort from being endogenously achieved even if the first best allocation is feasible. The inter-temporal covariance risk reduces the effective sensitivity of a performance measure, and thus the performance measure with a bigger inter-temporal covariance risk is assigned a wea

This study explicitly calculates the relative incentive rate in an N-period contract with multiple tasks. The inter-temporal covariance risk, as well as the within-period risk premium, prevents the first best allocation of effort from being endogenously achieved even if the first best allocation is feasible. The inter-temporal covariance risk reduces the effective sensitivity of a performance measure, and thus the performance measure with a bigger inter-temporal covariance risk is assigned a wea

Growing tax competition among national governments in the presence of capital mobility distorts equilibrium in the international corporate tax market. This paper is related to the literature that examines impact of international tax policies on corporate accounting statements. Employing international firm-level data, this study revisits the race-to-the-bottom hypothesis and documents that tax exemptions lowering effective tax rates relative to statutory rates increase pre-tax returns. This findi

Heavy taxation of interest income becomes a structural driver of property prices in a low-interest-rate environment. Inflation-adjusted price appreciation in 1996-2017 is approximately 200 basis points higher in 14 countries allowing no exemptions on interest income than in 37 countries that tax interest income at favorable rates or provide exemptions. Results for average returns over long-term periods are confirmed in models with annual frequencies, city-level data, and in a sample of 39 OECD c

Growing tax competition among national governments in the presence of capital mobility distorts equilibrium in the international corporate tax market. This paper is related to the literature that examines impact of international tax policies on corporate accounting statements. Employing international firm-level data, this study revisits the race-to-the-bottom hypothesis and documents that tax exemptions lowering effective tax rates relative to statutory rates increase pre-tax returns. This findi

Abstract This study employs the LEN model in analyzing aggregations and disaggregate use of inter‐temporally correlated performance measures in two‐period agencies with limited commitment. The optimal disaggregate use where an agent's incentive is on basic measures suffers information loss to depend on agency particulars. Induced action is restricted by the subsequent period action, and limited commitment leads to fostering late optimal effort inducement. Performance measure aggregation yields i

Abstract In the setting of the market portfolio, the impacts of preferential corporate income tax treatments through the valuational reduction for risk are opposite to and offset the impacts through the expected proceeds. This suggests that focusing on the absolute valuation of tax‐favored firms results in the undermeasurement of implicit taxes on returns on investments in tax‐favored firms and the relative valuation with reference to fully taxed (i.e., tax‐disfavored) benchmark firms be used. I

Large acquisitions in the United States by Canadian firms lower growth prospects and profitability of Canadian companies. Results are driven by post-acquisition performance of the largest Canadian industries, including oil & gas, mining and precious metals, which together account for almost 40 percent of Canadian firms with asset size above 100 million reported in Compustat research files. Cross-border acquisitions of firms in high tech industries do not improve performance of Canadian firms