Youngmin Choi
Asst Professor
Zicklin School of Business
Department: Bert Wasserman Dept Eco & Fin
Areas of expertise:
Email Address: youngmin.choi@baruch.cuny.edu
> View CV- Biography
- Teaching
- Research and Creative Activity
- Grants
- Honors and Awards
- Service
Education
Ph.D., Finance, Georgia Institute of Technology Atlanta GA
M.S., Quantitative and Computational Finance (QCF), Georgia Institute of Technology Atlanta GA
M.A., Economics, Yonsei University Seoul South Korea
B.S., Mechanical Engineering, Business Administration, Yonsei University Seoul South Korea
| Semester | Course Prefix | Course Number | Course Name |
|---|---|---|---|
| Spring 2023 | FIN | 4610 | Advanced Corporate Finance |
| Spring 2023 | FIN | 4610 | Advanced Corporate Finance |
| Fall 2022 | FIN | 9770 | Corporate Finance |
| Spring 2022 | FIN | 4610 | Advanced Corporate Finance |
| Spring 2022 | FIN | 4610 | Advanced Corporate Finance |
| Spring 2021 | FIN | 4610 | Advanced Corporate Finance |
| Spring 2021 | FIN | 4610 | Advanced Corporate Finance |
| Spring 2020 | FIN | 4610 | Advanced Corporate Finance |
| Spring 2019 | FIN | 4610 | Advanced Corporate Finance |
| Spring 2019 | FIN | 4610 | Advanced Corporate Finance |
| Fall 2018 | FIN | 4610 | Advanced Corporate Finance |
Presentations
Choi, Y., Hovakimian, A., & Won, J. (2024, July 18). Risk Perception and Corporate Investment and Financing Behaviors. China International Conference in Finance (CICF). Shanghai, China
Choi, Y., Hovakimian, A., & Won, J. (2024, September 18). Risk Perceptions and Corporate Investment and Financing Behaviors. Korea-America Finance Association (KAFA) Brown Bag Seminar Series. : Korea-America Finance Association.
Choi, Y., Hovakimian, A., & Won, J. (2022, October 1). Risk Perception and Corporate Investment and Financing Behaviors. Financial Management Association (FMA) annual conference. Atlanta, Georgia: Financial Management Association.
Choi, Y. (2024, December 18). Complementarity of Passive and Active Investment on Stock Price Efficiency. Financial Management Association (FMA) Asia-Pacific Conference. Melbourne, Australia: Financial Management Association (FMA).
Choi, Y. (2024, October 18). Discussion on "Risk-based momentum" by Sophia Li, Peixuan Yuan, and Guofu Zhou. Financial Management Association (FMA) annual conference. Atlanta: Financial Management Association.
Hovakimian, A., Choi, Y., & Won, J. (2024, September 18). Risk Perceptions and Corporate Investment and Financing Behaviors. Korea-America Finance Association (KAFA) Brown Bag Seminar Series. : Korea-America Finance Association.
Chang, Y., Choi, Y., Kim, S., & Park, J. (2022, October 1). Stock Market Return Predictability Dormant in Option Panels. Financial Management Association (FMA) annual conference. Atlanta, Georgia: Financial Management Association.
Hovakimian, A., Choi, Y., & Won, J. (2022, October 1). Risk Perception and Corporate Investment and Financing Behaviors. Financial Management Association (FMA) annual conference. Atlanta, Georgia: Financial Management Association.
Chang, Y., Choi, Y., Kim, S., & Park, J. (2022, July 1). Stock Market Return Predictability Dormant in Options Panels. The 16th International Symposium on Econometric Theory and Applications (SETA 2022). Online: Yonsei University.
Choi, Y. (2024, October 18). Discussion on "Term Structure of Equity Return Volatility" by Wentao Li. Financial Management Association (FMA) annual conference. Atlanta, GA: Financial Management Association.
Choi, Y., Hovakimian, A., & Won, J. (2024, November 18). Risk Perception and Corporate Investment and Financing Behaviors. Conference on Financial Economics and Accounting (CFEA) annual conference. Atlanta, Georgia: Georgia State University.
Chang, Y., Choi, Y., Kim, S., & Park, J. (2024, December 18). Stock Market Return Predictability Dormant in Options Panels. Financial Management Association (FMA) Asia-Pacific Conference. Melbourne, Australia: Financial Management Association (FMA).
Choi, Y. (2021, March 25). Stock Market Return Predictability Dormant in Option Panels. The Korea-American Economic Association Virtual Seminar. : The Korea-American Economic Association.
Choi, Y. (2021, May 28). Stock Market Return Predictability Dormant in Option Panels. Allied Korea Finance Association (AKFA) conference. : Korea Finance Association.
Chang, Y., Choi, Y., Kim, S., & Park, J. (2024, November 18). Stock Market Return Predictability Dormant in Options Panels. FMA Conference on Derivatives and Volatility. Chicago, IL: Financial Management Association.
Choi, Y. (2021, September 17). Market Returns Dormant in Option Panels. Econometric Research in Finance Workshop 2021. : Warsaw School of Economics.
Choi, Y. (2021, July 9). Complementarity of Passive and Active Investment on Stock Price Eciency. China International Conference of Finance (CICF) Annual Conference. Shanghai, China and virtual: Chinese Association of Finance.
Choi, Y. (2020, October 19). Market Returns Dormant in Option Panels. Financial Management Association (FMA) Annual Meeting. : FMA.
Choi, Y. (2020, August 7). Complementarity of Passive and Active Investment on Stock Price Efficiency. Midwest Finance Association (MFA) Annual Meeting. Virtual meeting: Midwest Finance Association (MFA).
Choi, Y. (2020, April 30). Market Returns Dormant in Option Panels. Brown Bag Research Seminar. Baruch College: Department of Economics and Finance, Baruch College.
Choi, Y. (2019, March 29). Complementarity of Passive and Active Investment on Stock Price Efficiency. Triple Crown Conference. Rutgers University: Baruch College / Rutgers University / Temple University.
Choi, Y., Chang, Y., Kim, S., & Park, J. (2019, July 15). Market Returns Dormant in Option Panels. Annual Conference of Asia-Pacific Association of Derivatives (APAD). Seoul, South Korea: Korea Derivative Association.
Choi, Y. (2019, November 30). Complementarity of Passive and Active Investment on Stock Price Efficiency. Yeshiva University Research Seminar. Yeshiva University: Yeshiva University, Economics Department.
Choi, Y., & Lee, S. S. (2018, November 20). Security Analysts' Efficiency Contribution and Impact on Stock and Option Markets. Brown Bag Research Seminar. Baruch College: Department of Economics and Finance, Baruch College.
Choi, Y. (2018, October 12). Complementarity of Passive and Active Investment on Stock Price Efficiency. Financial Management Association (FMA) Annual Conference. San Diego, CA: Financial Management Association.
Choi, Y., & Lee, S. S. (2018, October 12). The Role of Efficient Analysts in Stock and Option Markets. Financial Management Association (FMA) Annual Conference. San Diego, CA: Financial Management Association (FMA).
Choi, Y. (2018, September 23). Complementarity of Passive and Active Investment on Stock Price Efficiency. Northern Finance Association (NFA) Annual Conference. Quebec, Canada: Northern Finance Association.
Research Currently in Progess
Choi, Y.(n.d.). Complementarity of Passive and Active Investment on Stock Price Efficiency.
I investigate the collective impact of passive and active investment on stock price efficiency using a quasi-natural experiment. I document an improvement in efficiency due to an exogenous increase in passive investment, specifically in stocks widely held by actively managed funds. These active funds are compensated with higher realized returns after an exogenous increase in passive investment. I use the reconstitution of Russell indexes as an instrument. My findings suggest that active funds seek out inefficient stocks and ultimately experience superior returns due to the improvement in efficiency from passive investment. An increase in analyst following and a decrease in analyst forecast dispersion are identified as economic channels of the efficiency improvement. Overall, my results highlight the complementary role of passive and active investment on price discovery due to symbiotic nature of their existence.
Choi, Y., & Lee, S. S.(n.d.). Realized Skewness for Information Ambiguity.
We propose realized skewness constructed using high-frequency data as a measure of information ambiguity. We show a significant decrease in realized skewness around analysts' earnings forecasts and recommendation releases, indicating that ambiguity-averse investors respond to intangible information asymmetrically. We document that negative realized skewness predicts subsequent lower returns around information releases after controlling for return continuations. A zero-net investment strategy incorporating our finding achieves a Sharpe ratio of 1.766 with 0.83% of monthly average returns. Our finding suggests ambiguity-averse investors not only respond negatively but also under-react to hard-to-interpret news releases.
Choi, Y., & Lee, S. S.(n.d.). Back to Basics: Security Analysts as Information Intermediaries.
This paper focuses on the fundamental role of security analysts as information intermediaries. Using a signal-to-noise volatility ratio constructed using two different frequencies of intraday data, we document that, on average, a security analyst's recommendation revision contributes to stock price efficiency. However, we find significant heterogeneity in the impacts on stock and options markets, depending on the efficiency contribution. In particular, we find that only a highly efficiency-contributing revision generates significant stock price reactions in the anticipated directions. Furthermore, the issuance of a highly efficiency-contributing revision resolves uncertainty about a firm and reduces the risk of stock price jumps.
Choi, Y., Chang, Y., Kim, S., & Park, J.(n.d.). Stock Market Returns Dormant in Option Panels.
This paper offers a novel approach in identifying the relationship between the option prices and market risk premium using functional predictive regression. We provide evidence that the predictability of the aggregate market return can be greatly improved by utilizing the identified linkage between the cross-section of option prices and the cross-section of individual stock returns. Applying our framework into the option panel data on S&P 500 and the realized returns of individual stocks in S&P 500 over our sample period from January 1996 to December 2015, we achieve a remarkable performance in predicting S&P 500 index monthly returns, yielding 4.02% (5.26%) of in-sample (out-of-sample) R^2. Using the adaptive-lasso, we find that the information in risk-neutral density which contributes to the this stark improvement in the predictability is not spanned by the information in the existing predictors.
Choi, Y., Hovakimian, A., & Won, J.(n.d.). Risk Perception and Corporate Investment and Financing Behaviors. In Progress.
Using a recently developed measure of financial market risk perceptions, we show that market risk perceptions affect firm-level corporate investment and financing. While multiple channels drive these results, we find evidence that firms cater to investors’ preferences. When perceived risk is low, firms tend to choose more leveraged capital structures and increase their capital expenditures to take advantage of overvaluation associated with higher risk and more investment. When perceived risk is high, firms tend to deleverage and reduce capital expenditures to avoid undervaluation associated with higher risk and more investment.
Choi, Y., & Lee, S. S.(n.d.). Seasonality in Stock Returns and Jumps. In Progress.
The seasonality in the cross-section of expected stock returns has been a prevailing phenomenon in the financial markets. This paper aim to examine how much jumps in stock prices attributes to the well-documented phenomenon.
Choi, Y., & Noh, J.(n.d.). High-frequency trader, information, and jumps in stock prices. In Progress.
Choi, Y., Lee, S. S., & Kim, S.(n.d.). Systematic Jumps and Arbitrage Portfolios. In Progress.
Choi, Y., & Kim, S.(n.d.). Predicting Bond Returns from Term Structure. In Progress.
| Title | Funding Agency Sponsor | Start Date | End Date | Awarded Date | Total Funding | Status |
|---|---|---|---|---|---|---|
| Realized Skewness for Information Ambiguity | PSC CUNY 52 | 07/01/2021 | 06/30/2022 | 04/15/2021 | 6000 | Completed |
| Market Returns Dormant in Option Panels | PSC-CUNY 51 | 07/01/2020 | 12/31/2022 | 04/17/2020 | 6000 | Completed |
| Security Analysts' Efficiency Contribution and Impact on Stock and Option Markets | PSC-CUNY 50 | 07/01/2019 | 12/31/2022 | 04/15/2019 | 6000 | Completed |
| Complementarity of Passive and Active Investment on Stock Price Efficiency | PSC CUNY 53 | 07/01/2022 | 12/31/2023 | 04/15/2022 | 6000 | Funded - In Progress |
| Honor / Award | Organization Sponsor | Date Received | Description |
|---|---|---|---|
| PSC-CUNY Research Award | Research Foundation, CUNY | 2022-07-01 | |
| PSC-CUNY Research Award | Research Foundation, CUNY | 2021-07-01 | |
| PSC-CUNY Research Award | Research Foundation, CUNY | 2020-07-01 | |
| PSC-CUNY Research Award | Research Foundation, CUNY | 2019-07-01 | PSC-CUNY seeks to enhance the University's role as a research institution, further the professional growth and development of its faculty, and provide support for the established and junior scholar. |
| Doctoral Student Travel Grant | Korea-America Finance Association | 2016 | |
| Doctoral Student Travel Grant | American Finance Association (AFA) | 2016 | |
| Doctoral Fellowship | Scheller College of Business, Georgia Institute of Technology | 2012 | 2012-2016 |
College
| Committee Name | Position Role | Start Date | End Date |
|---|---|---|---|
| Ph.D. Recruitment committee | Committee Member | Present | |
| Zicklin Graduate Curriculum Committee | Committee Member | Present | |
| Ph.D. Recruitment committee | Committee Member | Present | |
| Faculty recruiting committee | Committee Member | 3/31/2021 | |
| Faculty recruiting committee | Committee Member | 3/31/2020 | |
| Faculty recruiting committee | Committee Member | 3/31/2020 |
Professional
| Organization | Position Role | Organization State | Organization Country | Start Date | End Date | Audience |
|---|---|---|---|---|---|---|
| Advances in Econometrics | Reviewer, Journal Article | Bingley | United Kingdom | 7/21/2021 | 6/1/2022 | International |
| Asia-Pacific Journal of Financial Studies | Reviewer, Journal Article | 3/24/2021 | 4/23/2021 | |||
| Journal of Banking and Finance | Reviewer, Journal Article | United States | 2/1/2018 | 9/30/2018 |