Daejin Kim. Ph.D Candidate in Finance, Owen Graduate School of Management, Vanderbilt University, Nashville, TN, (Expected)

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1 Daejin Kim st Ave. South Nashville, TN Phone: (615) Homepage: Education - Graduate Studies Ph.D Candidate in Finance,,, Nashville, TN, (Expected) M.S., Department of Statistics, Stanford University, Stanford, CA, Undergraduate Studies B.B.A., Department of International Trade, College of Business Administration, Korea University, Seoul, Korea, Research Interests Market Microstructure, Investments, Empirical Asset Pricing, Derivatives, Financial Econometrics, Mergers and Acquisitions, Fixed Income Markets, Mutual Funds and Hedge Funds, ETF Research Papers Working Papers 1. "The price impact under the risk-averse market maker", 2012 (Job Market Paper) 2. "The behavior of merger arbitrage investors: the role of market making and price discovery", "Lobbying activities and Mergers and Acquisitions", "Target leverage ratio and the adjustment speed of leverage", 2009 Work in Progress 1. "The volatility of ETF and NAV: no trading effect", 2012

2 Daejin Kim 2 Research and Teaching Experience -, Teaching Experience TA for Derivatives Markets, Professor Robert E. Whaley, 2012 Spring TA for Equities Markets, Professor Robert E. Whaley, 2011 Fall TA for Financial Economics II, Professor Nicolas P.B. Bollen, 2010 Fall Research Experience RA for Professor Robert E. Whaley, RA for Professor Nicolas P.B. Bollen, RA for Professor Ronald W. Masulis, RA for Professor Alexei V. Ovtchinnikov, Work Experience Fixed Income Fund Manager, Bond Portfolio Team, Kyobo Investment Trust Management Company, Seoul, Korea, Bond Fund Manager, Bond Portfolio Management Team, Hyundai Investment Trust Company, Seoul, Korea, Military Public Service Personnel, Minister of Information and Communication, Seoul, Korea, Graduate Level Course Work At Microeconomic Theory I&II, Macroeconomic Theory I, Econometrics, Time Series Econometrics, Nonparametric Econometrics, Microeconometrics, Asset Pricing Theory, Corporate Finance, Corporate Governance, Auctions Mechanism Design At Stanford University Probability Theory, Stochastic Processes, Statistical Inference, Financial Mathematics, Statistical Methods in Finance, Statistical Modeling in Financial Markets, Computation and Simulation in Finance

3 Daejin Kim 3 Membership American Finance Association, 2010-Present Financial Management Association, 2011-Present Honors and Awards Financial Market Research Center Grant,, Nashville, TN, AFA Student Travel Grants, American Finance Association Meeting, Colorado, Denver, 2011 Owen Graduate School Fellowship,, Nashville, TN, 2007-Present Honors scholarships with semester high honors, Korea University, Seoul, Korea, 1993,1996, 1998 Skills Programming Languages: C/C++ Statistical and Mathematical Software: SAS, Stata, R, Matlab, Gauss, Mathematica Databases: CRSP, Compustat, SDC Platinum, TAQ, I/B/E/S, RiskMetrics, Thomson Reuters, Bloomberg, Datastream, Capital IQ References - Hans R. Stoll (Committee Chair) The Anne Marie and Thomas B. Walker Jr. Professor of Finance Phone: (615) hans.stoll@owen.vanderbilt.edu - Robert E. Whaley Valere Blair Potter Professor of Management in Finance Phone: (615) Bob.Whaley@owen.vanderbilt.edu

4 Daejin Kim 4 - Nicolas P.B. Bollen E. Bronson Ingram Professor of Finance Phone: (615) Nick.Bollen@owen.vanderbilt.edu - Jacob S. Sagi Vanderbilt FMRC Associate Professor of Finance Phone: (615) Jacob.Sagi@owen.vanderbilt.edu Secretary: Teresa Stephens (Teresa.Stephens@owen.vanderbilt.edu) Research Abstracts 1. "The price impact under the risk-averse market maker", (Job Market Paper) Abstract : The price impact function when market makers are competitive and risk-averse is investigated. Using Kyle(1985) s framework, this paper develops a unified price impact model that incorporates the characteristics of risk-averse market makers and the existence of asymmetric information. The single period model suggests that the price impact reflects both adverse information and inventory holding costs. In the dynamic model, the price schedule is a linear function of the current order imbalance as well as the lagged order imbalance. The coefficient on the current order imbalance measures the price impact while the coefficient on the lagged order imbalance can be interpreted as the price reversal. The price change consists of the permanent change associated with the asset s information and the temporary change related to the inventory effect due to the dealer s risk-averse attitude. The temporary price impact incurred by dealer s risk aversion causes a price reversal and disappears in the following period. The first order serial covariance of price changes is shown to be negative and is proportional to both the price impact and the price reversal parameters. These results suggest that price impact and the bid-ask spread share both adverse information and inventory costs. 2. "The behavior of merger arbitrage investors: the role of market making and price discovery" Abstract : The risk associated with holding merger arbitrage portfolios is analyzed by using Huang and Stoll(1994) bid-ask spread decomposition model. Merger arbitrage investors are compensated for both the informational risk associated with uncertainty about the deal completion and the portfolio managing cost until deal completion date by holding undiversified portfolios. These compensations to merger arbitrage investors are analogous to bid-ask spread compositions of the market makers. Using the state space model with

5 Daejin Kim 5 Kalman filter algorithm, information components in bid-ask spreads of both stocks decrease after the announcement. Moreover, the inventory component for the target stock increases significantly after the merger announcement while that for the bidder stock is not changed. In a multivariate time series analysis, the Granger-causality test shows that the bid-ask spread of each stock helps to predict the future movement of merger arbitrage spread, and the unexpected shock to the merger arbitrage spread affects each stock s bidask spread permanently. Finally, how each stock reflects new information arrival in the merger market is investigated through informational share of Hasbrouck(1995) by using the vector error correction model. The informational share of each stock after merger announcement is quite similar to the proportion of market value of each stock to the sum of two firm values prior to the announcement, implying that merger arbitrage investors help to form the efficient price. 3. "Lobbying activities and Mergers and Acquisitions" Abstract : The corporation lobbying activity is studied by using firms in the M&A market. I investigate whether the lobbying activity can increase the shareholder value of the merging firm. The average cumulative announcement return for lobbying firms is lower than for non-lobbying firms suggesting the lobbying activity is not related to increasing shareholder values. Moreover, I find that firms with spending in lobbying seem to have powerful CEOs. Moreover, firms with lobbying during the merger period pay more cash compensation to the CEO after the merger, but do not affect the CEO turnover. These results suggest that corporate lobbying activity is related to another type of the CEO entrenchment rather than to the valuable firm investment to increase the shareholder wealth. 4. "Target leverage ratio and adjustment speed of leverage" Abstract : This paper suggests a new way of estimating the target leverage ratio and the speed of adjustment. Assuming that the leverage ratio follows the mean reverting stochastic process in Cox et al.(1985), the mean reverting parameter and the speed of adjustment parameter are estimated by using the quasi-maximum likelihood method. The estimation results show that the leverage ratio seems to follow the mean reverting process. The estimated mean reverting level is higher than the simple mean of leverage ratio. The estimated speed of adjustment is much faster than that reported in the previous literature. In the cross-sectional analysis, the non-debt tax shield, tangibility, existence of long-term credit rating, cash flow volatility, and initial leverage level are closely related to the estimated mean reverting level. Moreover, the adjustment speed is negatively related to the firm size, the profitability, cash holdings, cash flow volatility, and dividend payout and is positively related to sales, the short term debt use and the long-term credit rating. These results suggest that the estimated parameters seem to reflect characteristics of the target leverage ratio and the financing cost well. Last updated: September 22, 2012 Daejin Kim