Chang Y. Ha 博士

CONTACT INFORMATION

CURRICULUM VITA

Chang Y. Ha

Peking University HSBC Business School
University Town, Nanshan District, Shenzhen, 518055, P.R. China

Phone: +86 755 2603 3651 Mobile: +86 185 6668 3325 E-mail: cyha@phbs.pku.edu.cn

EDUCATION
Ph.D. Finance/Economics, Columbia Business School, Columbia University, New York M. Phil. Finance/Economics, Columbia Business School, Columbia University, New York B.A. Finance, Korea University, Seoul

EMPLOYMENT

Assistant Professor: Finance, Peking University HSBC Business School (PHBS) (2014 – Present)

Assistant Professor: Finance and Accounting, the Lally School of Management, Rensselaer Polytechnic Institute (2007 – 2014)

Teaching Fellow: Department of Statistics, Columbia University
Teaching Fellow: School of International and Public Affairs (SIPA), Columbia University

RESEARCH INTERESTS

Theoretical and Empirical Asset Pricing, Investment Management, Financial Market Institutions, Market Micro-structure, Information Economics, International Finance, Behavioral Finance

TEACHING INTERESTS

Core Finance, Corporate Finance, Investment Management, Fixed Income Securities, Derivative Securities, Theoretical and Empirical Asset Pricing, International Finance, Market Micro- structure, Behavioral Finance

TEACHING AWARD

Best Teaching Award presented for outstanding teaching commitment and dedication to the graduating class of 2013 (based on the evaluation of the entire Lally School graduate student body).

COURSES TAUGHT

  •   Undergraduate: Investment, Managerial Finance, Advanced Corporate Finance, Statistical Analysis (Columbia University), Quantitative and Data Analysis (Columbia University)
  •   Masters: Asset Valuation Theory (PKU, 4.6/5), Behavioral Finance (PKU, 4.6/5), Research Methodologies (PKU, 4.7/5), Quantitative Analysis (Columbia University)
  •   MBA: Investment Management, Financial Management, Advanced Corporate Finance
  •   Masters/Ph.D.: Empirical/Theoretical Asset PricingEXPERIENCEVisiting Professor, Department of Economics, Seoul National University Visiting Professor, Department of Finance, University of Manchester

    Teaching Assistant/Instructor, Graduate level courses in Mathematical Statistics and the Probability Theory, Department of Statistics, Columbia University

    Teaching Assistant, Robert Hodrick, Larry Glosten, Geert Bekaert (Columbia Business School) Research Assistant, Professors Robert Hodrick, John Donaldson, Larry Glosten and Geert Bekaert (Ph.D. Seminar)
    Teaching Assistant, Phil S. Lee (Korea University and the Institute for Corporate/Banking) Teaching Assistant, Barnard College, Financial Economics

    SERVICE ON PH.D. DISSERTION COMMITTEE

    Ray. H. Lim: Ph.D. in Economics, Dept. of Economics, Columbia University Liang Song: Ph.D. in Finance, Lally School of Management and Technology, RPI Zenu Sharma: Ph.D. in Finance, Lally School of Management and Technology, RPI

    MEDIA APPEARANCE

    China Radio International: Discussion interview on the China-Japan-South Korea FTA trilateral agreement negotiations.

RESEARCH PAPERS
“Sticky dividends: A new explanation” (with Hyun Joong Im and Ya Kang): Forthcoming,

Finance Research Letters

This study proposes a generalized partial adjustment model of dividends in which managers set target dividends based on adaptively-formed earnings prospects. We show that firms adjust dividends to their target payouts much faster than previously documented. When managers form future earnings expectations based on a longer time-series of earnings, target dividends tend to become more stable. Thus, actual dividends tend to be more in line with the targets, driving up the speed of adjustment. Our model offers an insight that sticky dividends could be a consequence of managers’ attempts to match dividend payouts with the smooth targets.

“Collective behavior in corporate bankruptcies and business cycle” (with Kwangwon Ahn, Jacqueline B. Dai, and Basak Yakis-Douglas): R&R Physica A

We investigate collective behavior in corporate bankruptcies and its relationship with the business cycle. Using both model-generated and empirical data, we find that there exists collective behavior in firm bankruptcies and that such collective behavior is more prominent during expansions than recessions. Our simulation analysis in the agent-based framework further corroborates that the business cycle is a significant explanatory variable that affects the magnitude of collective behavior in bankruptcies, and the financial fragility of bankrupted firms could be transmitted to other firms via dynamic interactions between firms and the banking system, causing not only aggregate fluctuations but also apparent herding of bankruptcies.

“On the Cross-border Difference in Stock Listing Practice of Holding Company and Subsidiaries” (with Jun Koo Kang)

There exists a stark contrast across the countries in the stock listing practice of holding companies and their subsidiaries. While the U.S. has the stocks of holding companies, not their subsidiaries, listed on the exchange, some others allow both holding companies and their subsidiaries listed together. In this paper we first investigate where this difference originated from. Because each country has different listing practice in effect, we naturally seek to answer the following questions: “What led to the different listing regulations in different countries?”, “What implications do different listing practices have on informational efficiency and investors‟ welfare?”, “Is there an optimal stock listing for a holding company and its subsidiaries?”, “What aspects of holding companies/subsidiaries are significantly associated with the listing practice in international markets?

“Uncertainty, Major Investments, and Capital Structure Dynamics” (with HJ Im, Ya Kang, and Janghoon Shon): To be submitted to Review of Financial Studies.

This study examines the effects of uncertainty on firms’ capital structure dynamics. We find that high-uncertainty firms have substantially lower target leverage while those firms’ leverage adjustment speeds increase only if they are over-levered. We show that when facing large investment needs, over-levered firms with high uncertainty converge to their targets substantially faster to avoid bankruptcy whereas those with low uncertainty tend to deviate from their targets due to the transitory debt financing of the investments, thereby reconciling two opposing leverage dynamics documented in the literature. On the other hand, under-levered firms with high uncertainty converge to their targets more slowly than those with low uncertainty due to the

increased value of the option to wait and see. Further investigation of the leverage adjustment behavior of over- and under-levered firms in relation to uncertainty provides evidence that bankruptcy threat, agency costs, and real option channels account for various aspects of leverage dynamics.

“Who wags the Dog?” (with Dong-Hyun Ahn)

Abstract: While it is established that the market risk premium is a major factor explaining the cross-section of equity returns, we explore in this study characteristics of the firms that mostly affect the market returns in order to identify the types of idiosyncratic information about those firms and relate them to potential risk factors. We put in perspective such major events of individual firms as earnings announcement to explore whether there still remains statistically significant information unaccounted for even after all the well-recognized risk factors are taken into account.

“International Term Structure of Interest Rates and Current Account” (with Ray H. Lim):

Abstract: Using the trade balance measure that proxies for the current account we examine the effect of current account factor on the term structure in international setting. Using the Generalized Method of Moments we estimate the term structure with inflation, output gap, and current account factors in a No-Arbitrage VAR framework. Lim (2007) finds that the model accurately matches the first and second moments of the U.S. yields and the U.S. term structure is better explained by a model with current account factor. Base on the conjecture that the superior forecasting and moment matching performance of the posited model is mainly due to the fact that the current account contains the information about the expected inflation and output gap and that this model outperforms the one without the current account factor in forecasting and matching the moments of U.S. yields we look into whether the current account also plays a significant role in explaining the international term structure, and further, the behavior of foreign exchange rate. The model accurately matches the first and second moments of the U.S. yields. The market prices of risks corresponding to the four factors are all significant. In particular, responses from the current account shock imply an inter-temporal substitution effect. A Chi-square test shows that the over- identifying restrictions are not rejected. Most important of all, a Likelihood Ratio test implies that the current account factor plays an important role in explaining bond yields in the U.S.

“Term Structure Specifications and the Relative Performance of Current Account: Implications on Forward Premium Anomaly”

Abstract: Based on the results in Ha and Lim (2007), I examine how well the suggested macro- economic variable of current account explains the yield behavior of various countries. In particular, this paper aims to gain new insight into the possible efficiency boost of the variable that may come from its interaction with the more versatile yield factor model than the affine class. Bayesian estimation technique is extensively utilized for estimating both the linear and non-linear term structure models and look into how the explanatory power of the current account variable changes across the different yield models and also across the different countries.

“International Stochastic Co-movement of Interest Rates and Implications on Forward Premium Puzzle”:

Abstract: Much of the term structure modelers’ efforts have focused on mitigating the trade-off between matching the various moments of yields in conditional sense. When we deal with the multiple markets that are not tightly integrated, this tension could well be amplified. In fact, recent evolutions in international financial market have observed diverse heteroskedastic co- movement of the two country interest rates in which conditional negative correlations are not rare. In this paper we first show that the existing affine class of international term structure theories cannot accommodate this feature without violating the positivity of the nominal interest rates.

We suggest an international extension of a quadratic term structure model (QTSM), which incorporates common/local state variable framework, as an alternative that can allow for sign- switching correlations among interest rates. Using Markov Chain Monte Carlo(MCMC) we estimate the model parameters and latent state variables. Empirical performance of the international quadratic model (IQTSM) in explaining conditional correlations of the two country yields are examined using a panel of the US and Japanese yield data observed monthly from January 1985 to May 2002.

Although our model has much more parsimonious structure with only half the number of state variables used in our benchmark model, it produces results that match those in previous studies. The implications on forward premium anomaly are also derived endogenously from the estimated model and compared with the results from the benchmark model. The behavior of risk premia salient in the US-Japan exchange rate data was captured nearly as well with our proposed model with the term structure model employed in the current research in front line. The quadratic structure of risk premium and admissibility of negative correlations are expected to be another set of important ingredients to accounting for time series behavior of bond yields and currency prices. We investigate further if the results obtained for US vs. Japan data is to be extended to the behavior of yields of other countries such as England and Germany. Forward premium implications are also obtained and compared.

“Multiple Market Insider Trading with Asymmetric Information: Equilibrium Characteristics and Implications to Market Maker’s Pricing Strategy”:

Abstract: In this paper we examine how the market maker’s pricing scheme affects the equilibrium characteristics and the behavior of the informed traders of the dual markets where the informational asymmetry is extant. The particular pricing rule considered in this study impounds the information contained in the order flows of both markets. We show that the suggested pricing strategy counterbalances effectively, and perfectly indeed, the insiders’ attempts to further exploit their private information by combining it with the publicly available information.
The market maker has an incentive to simultaneously price multiple securities. In particular, the market maker can be more effective in warding the insiders off the arbitrage profits by choosing the securities with higher correlations.
We further extend the model to a dynamic setting to show there exists a unique sequential equilibrium whose characteristics are generalizations of the static game. We show that the market characteristics in equilibrium depend not only on the market priors but also on the stock value correlation. That is, the correlation serves as informational discount factor in characterizing the equilibrium.
As the trading interval becomes uniformly small the sequential equilibrium converges to continuous auction equilibrium. Several key findings from convergence results include that the equilibrium market depth in general needs not be constant. Our analysis shows that it may well be decreasing as the trading approaches to the terminal time.

“Multiple Market Insider Trading under Asymmetric Information”

Abstract: This paper analyzes the optimal trading behavior of the informed traders of multiple security markets where cross investment is allowed as a strategy choice. Covariance measure is extensively utilized as the representation of asymmetric information structure between the traders to obtain a fairly simple form of equilibrium characterization. The result shows, among other things, that, for two securities having non-zero correlation, there exists a unique Nash equilibrium at which trading in both markets is a dominant strategy for both traders. Unlike previous research the covariance structure of the liquidation values of the stocks is shown to be critical in understanding the behavior of the heterogeneously informed traders. Part of the results in previous research is confirmed to be limiting cases of our model and important market characteristics are examined and compared. The analysis also offers a strategy suggestion for noise traders.

“Bond Risk Premiums and the Term Structure Models: Is it a Model or a Factor?” (with Sung J. Cho)

Abstract: There has been ongoing debate on the existence of an additional factor for the U.S. Treasury yield behavior. This paper is the first attempt in the field to explore the two opposing views on the significance of the bond market factor. Utilizing the non-linear risk premium implied by quadratic term structure model, we investigate whether the proposed excess return factor is a statistical artifact, or indeed robust enough to continue to survive outside the affine world of yield determination. We construct a new Treasury yield data set for the current research, for the readily available data are not compatible with the time series evolution of underlying factors. The „Single-Factor Model‟ by Cochrane (2005) is formally tested in the context of quadratic yield model. Return Predictability aspect is also considered to highlight the interdependence between the yield nonlinearity and the additional factor.

“Insider Trading and Investor Sentiment” (with Tong Li)

Abstract: This paper provides evidence that corporate insiders consider investors’ sentiment toward their firms in their trades. Using turnover ratio and option implied volatility as proxies for firm-specific sentiment, we show that insiders in low-sentiment firms are more likely to purchase their own stocks than those in high-sentiment firms. This role of firm-specific sentiment for insider trading behavior remains significant in the presence of other contributing factors as well as in various subsamples sorted on firm characteristics. Moreover, insider purchases in low- sentiment firms and sales in high-sentiment firms are more profitable. These results suggest that insiders attempt to exploit the misvaluation of their own firms based on the public information about firm-specific investor sentiment.

HONORS AND AWARD
Best Teaching Award, Lally School of Management, RPI
Doctoral Fellowship, Graduate School of Business, Columbia University Outstanding Honor at Graduation, Korea University
Scholarship for Academic Excellence, Korea University, Seoul

Highest Honor for Academic Excellence, Korea University, Seoul

REFERENCES: Available upon request