This study analyzes the impact of a newly emerging type of anti-money laundering regulation that obligates cryptocurrency exchanges to report suspicious transactions to financial authorities. We build a theoretical model for the reporting decision structure of a private bank or cryptocurrency...

We examine whether stock-level options information drives mutual fund performance. Our paper is motivated by existing studies indicating that options prices or implied volatilities predict stock returns. We find that stock-implied volatility innovations forecast mutual fund performance....

The COVID-19 pandemic has led global investors to draw a parallel between pandemics and climate risk, focusing their attention on climate risk. We examine COVID-19’s effect on investors’ awareness of climate risk by analyzing novel trading data for Korean listed firms that include investor...

We develop a life-cycle OLG model with heterogeneous characteristics for population share, work probability, survival rate, labor productivity, subjective discount rate, and intertemporal elasticity of substitution. We can observe the deviations in financial decisions and asset accumulation...

This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset allocation. Based on machine learning and model averaging approaches, we integrate the drivers’ predictive information to forecast market volatilities. Using various evaluation...

This study develops a life-cycle model to predict an overlapping generations economy comprising heterogeneous agents. In the proposed model, ex-ante heterogeneity involves the work probability, survival rate, subjective discount rate, and intertemporal elasticity of substitution. We observe...