Essays on the Financial and Labor Markets : 주식시장과 노동시장에 관한 연구

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경영대학 경영학과
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서울대학교 대학원
Elasticity of Intertemporal SubstitutionUnemployment VolatilityMomentumPublic News
학위논문 (박사)-- 서울대학교 대학원 : 경영학과 경영학전공, 2015. 8. 조재호.
This thesis consists of two essays on the financial and labor market. The first chapter studies how the elasticity of intertemporal substitution (EIS) influences labor market fluctuations in the labor search and matching model with both extensive and intensive margins of labor supply. With the curvature of utility, the countercyclical marginal utility of consumption induces the flow value of unemployment to be procyclical, and the stock returns to be countercyclical. The former effect reduces unemployment volatility by weakening wage rigidity. In contrast, the latter effect magnifies unemployment volatility by discounting higher future payoffs from hiring at a lower discount rate, if wages do not absorb all of productivity shocks. The higher EIS reduces the procyclicality of the flow value of unemployment, and reinforces the countercyclicality of the stock returns. We quantitatively show that a high level of the EIS is required to resolve the unemployment volatility puzzle.

The second chapter investigates why the positive momentum profit does not exist in the Korean stock market by examining how stock prices respond to public news. Even though the entire set of stocks does not show positive post holding period returns, stocks with news headlines have significantly positive momentum profits, which are mainly driven by return drifts of bad performers with news. However, good performers with public news, as well as those without news, present return reversal in Korea, which is opposite to the case of the U.S.(see \cite{Chan2003}). This difference explains the absence of momentum in Korea. The asymmetric reaction of stock price to news is ignored by major theories on the momentum. Further analyses indicate that transactional frictions can be more plausible explanation for this phenomenon than the incentive of managers to disclose bad news slowly.
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College of Business Administration/Business School (경영대학/대학원)Dept. of Business Administration (경영학과)Theses (Ph.D. / Sc.D._경영학과)
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