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Faculty Directory강장구 교수

  • Contact Information Office.S390 Tel.02-958-3521 E-mail.jkkang@business.kaist.ac.kr Lab. 재무 이론 및 실증 분석 연구실
  • Academic Groups금융
  • Major재무/금융공학

학력

    ▶ University of Rochester, Ph. D. (Finance)
    ▶ 서울대학교 경영학 석사
    ▶ 서울대학교 경영학 학사 (summa cum laude)

주요경력

    ▶ American Journal of Industrial and Business Management 편집위원 (2011- )
    ▶ Asia-Pacific Journal of Financial Studies 편집위원 (2013- )
    ▶ Scientific Journal of Management Science and Engineering 편집위원 (2013- )
    ▶ KAIST 금융대학원 교수 (2006- )
    ▶ KAIST 테크노경영대학원 교수 (2002 - 2005)
    ▶서울시립대학교 교수 (1997-2001)
    ▶금융공학연구센터장 (2009-2010 )
    ▶선물연구 편집위원장 (2008-2010 )
    ▶ 재무관리연구 편집위원장 (2005)
    ▶ 재무연구, 증권학회지, 선물연구 편집위원 역임.
    ▶ International Review of Financial Analysis 편집위원 (2008-2011 )

산업체자문활동

주요논문 (특허등)

    ▶ 국외학술지

    "State-dependent variations in the expected illiquidity premium," with Jeewon Jang and Changjun Lee, Review of Finance, 21, 2277-2314, 2017.

    "A geometric treatment of time-varying volatilities," with Chulwoo Han and Frank C. Park, Review of Quantitative Finance and Accounting, 49, 1121-1141, 2017.

    "Ultimate consumption risk and investment-based stock returns," with Hankil Kang and Changjun Lee, North American Journal of Economics and Finance, 42, 473-486, 2017.

    "An Intertemporal CAPM with Higher-Order Moments," with Jeewon Jang, North American Journal of Economics and Finance, 42, 314-337, 2017.

    "Momentum in international commodity futures markets," with Kyung Yoon Kwon, Journal of Futures Markets, 37, 803-835, 2017.

    "PIN, Adjusted PIN, and PSOS: Difference of Opinion in the Korean Stock Market," with Kyong Shik Eom and Kyung Yoon Kwon, Asia-Pacific Journal of Financial Studies, 46, 463-490, 2017.

    "Precision about manager skill, mutual fund flows, and performance persistence", with Hyunglae Jeon and Changjun Lee, North American Journal of Economics and Finance, 40, 222-237, 2017.

    "Which Traders Contribute Most to Price Discovery? Evidence from the KOSPI 200 Options Market," with Hankil Kang and Soonhee Lee, Emerging Markets Finance and Trade, 52, 2335-2347, 2016.

    "Bullish/Bearish/Neutral Strategies under Short Sale Restrictions," with Soonhee Lee and Kwangil Bae, Journal of Banking and Finance, 71, 227-239, 2016.

    "Foreign investors and the delay of information dissemination in the Korean stock market," with Kyung Yoon Kwon and Hyoung-Jin Park, Pacific-Basin Finance Journal, 38, 1-16, 2016.

    "Is the Information on the Higher Moments of Underlying Returns Correctly Reflected in Option Prices?," with Soonhee Lee, Journal of Futures Markets, 36:8, 722-744, 2016.

    "Common deviation and regime-dependent dynamics in the index derivatives markets," with Jaeram Lee and Doojin Ryu, Pacific-Basin Finance Journal 33, 1-22, 2015.

    "State-dependent illiquidity premium in the Korean stock market," with Jeewon Jang and Chanjun Lee, Emerging Markets Finance and Trade, 51, 400-417, 2015.

    "Implied pricing kernels: An alternative approach for option valuation," with Doojin Ryu and Sangwon Suh, Journal of Futures Markets, 35:2, 127-147, 2015.

    "Momentum and foreign investors: Evidence from the Korean stock market, with Kyung Yoon Kwon and Hyoung-Jin Park, Emerging Markets Finance and Trade, 50:S5, 157-172, 2014.

    "Determinants and Market Implications of Differentiated Dividends in Korea," with Bobae Choi and Doowon Lee, International Journal of Managerial Finance, 10:4, 453-469, 2014.

    "How Informed Investors Take Advantage of Negative Information in Options and Stock Markets," with Hyoung-Jin Park, Journal of Futures Markets, 34:6, 516-547, 2014. (Best Paper Award in the 9th annual Asia-Pacific Association of Derivatives Conference, 2013)

    "Retail investors and the idiosyncratic volatility puzzle: evidence in the Korean stock market," with Eunmee Lee and Myounghwa Sim, Asia-Pacific Journal of Financial Studies, 43:2, 516-547, 2014.

    "Do the production-based factors capture the time-varying patterns in stock returns?" with Hankil Kang and Changjun Lee, Emerging Markets Review, 15:4, 122-135, 2013.

    "A bias in Jensen's alpha when returns are serially correlated," with Soonhee Lee, Theoretical Economics Letters, 3:3, 188-190, 2013

    "Liquidity risk and expected stock returns in Korea: A new Approach," with Jeewon Jang and Changjun Lee, Asia-Pacific Journal of Financial Studies, 41:6, 704-738, 2012.

    "An Interrelation of time preference and risk attitude: An application to the equity premium puzzle, " with Hwa-Sung Kim, Applied Economics Letters,19:5, 483-486, 2012.

    "Comment to "A new simple square root option pricing model"," with Hwa-Sung Kim and Jeongwoo Shin, Journal of Futures Markets, 32:2, 191-198, 2012.

    "Equity fund performance persistence with investment style: Evidence from Korea," with Changjun Lee and Doowon Lee, Emerging Markets Finance and Trade, 41:3, 111-135, 2011.

    "Macroeconomic risk and the cross-section of stock returns," with Tong Suk Kim, Changjun Lee, and Byoung-Kyu Min, Journal of Banking and Finance, 35, 3158-3173, 2011.

    "Pricing Basket and Asian Options under the Jump-Diffusion Process," with Kwangil Bae and Hwa-Sung Kim, Journal of Futures Markets, 31:9, 830-854, 2011.

    "Tick size, market structure, and market quality," with Kee H. Chung and Joon-Seok Kim, Review of Quantitative Finance and Accounting, 36:1, 57-81, 2011.

    "Which trades move asset prices? An analysis of futures trading data," with Doojin Ryu, Emerging Markets Finance and Trade, 46:S1, 7-22, 2010. (Best Paper Award in Eurasia Business and Economic Society (EBES))

    "Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market," with Keunho Hwang and Doojin Ryu, International Review of Financial Analysis 19, 35-46, 2010.

    "The Information Effects of Trade Size and Trade Direction:Evidence from the KOSPI 200 Index Options Market," with Hee-Joon Ahn and Doojin Ryu, Asia-Pacific Journal of Financial Studies 39, 301-339, 2010.

    "An extended CreditRisk+ framework for portfolio credit risk management," with Chulwoo Han, Journal of Credit Risk, 63-80, 4:4, Winter 2008/2009.

    " Informed trading in the Index Option Market: the Case of KOSPI 200 Options," with Hee-Jun Ahn and Doojin Ryu, Journal of Futures Markets, 28:12, 1118-1146, 2008.

    "The dynamics of trades and quote revisions across stock, futures, and option markets," with Hyoung-Jin Park, Review of Pacific Basin Financial Markets and Policies, 11:2, 227-254, 2008.

    "The information content of net buying pressure: Evidence from the KOSPI200 index option market," with Hyoung-Jin Park, Journal of Financial Markets, 11:1, 36-56, 2008.

    "Efficient value-at-risk estimation for mortgage-backed securities," with Chulwoo Han and Frank C. Park, Journal of Risk, 9:3, 37-61, 2007.

    "An efficient approximation method for American exotic options," with Geunhyuk Chang, Hwa-Sung Kim, and In Joon Kim, Journal of Futures Markets, 27:1, 29-59, 2007.

    "An empirical investigation of the lead-lag relations of returns and volatilities among the KOSPI200 spot, futures, and options markets and their explanations," with Soonhee Lee and Chang Joo Lee, Journal of Emerging Market Finance, 5:3, 236-261, 2006.

    "Private benefits of control and firm leverage: An analysis of Korean firms," with Joon-Seok Kim, Review of Quantitative Finance and Accounting 27:4, 439-463, 2006.

    "Tests of alternative models for the pricing of Korean Treasury Bond futures contracts," with Hyoung-Jin Park, Pacific Basin Finance Journal, 14:4, 410-425, 2006.

    "Pricing counterparty default risks: Applications to FRNs and vulnerable options," with Hwa-Sung Kim, International Review of Financial Analysis, 14:3, 376-392, 2005.

    "The effects of jump risks of the default rate on credit spreads," with Chang Mo Ahn and Hwa-Sung Kim, Journal of Risk, 7:3, 95-110, 2005.

    "Pricing credit spread options under a Markov chain model with stochastic default rate," with Hwa-Sung Kim, Journal of Futures Markets, 24:7, 631-648, 2004.


    ▶ 국내학술지

    "The best PIN model in the Korean stock market," 공저자: 엄경식, 권경윤, 재무연구, 29:3, 425-436, 2016..

    "내재변동성과 역사적 변동성 차이가 국내 ELW 수익률에 미치는 영향 분석," 공저자:강종호, 이순희, 한국증권학회지, 44:4, 615-636, 2015.

    "주식시장 유동성의 실물경기변동 예측력에 관한 연구," 공저자:장지원, 재무연구, 28:1, 71-108, 2015.

    "복권 성향의 주식에 대한 선호와 주식수익률의 횡단면," 공저자:심명화, 재무연구, 27:2, 297- 332, 2014.

    "한국 주식시장의 매도, 매수 유동성 비대칭에 대한 연구," 공저자:심명화, 증권학회지, 43:2, 327-358, 2014.

    "개인투자자의 투자심리와 주식수익률," 공저자: 권경윤, 심명화, 재무관리연구, 30:3, 35-68, 2013.

    "투자자의 권리변동을 반영한 수정주가 구축 및 활용방안에 대한 연구," 공저자: 이덕현, 이창준, 최제준, 재무연구, 26:3, 311-351, 2013.

    "펀드특성과 성과에 관한 연구," 공저자: 오봉록, 김솔, 이글, 류두진, 기업경영연구, 18:2, 21-40, 2011.

    "CDS 스프레드의 결정요인에 대한 연구," 공저자: 민준홍, 이창준, 금융연구 (금융학회지), 24:2, 99-128, 2010.

    "Sharpe의 방법론을 이용한 한국 주식형 펀드의 운용스타일 및 성과분석," 공저자:이창준, 증권학회지, 39:2, 307-339, 2010.

    "상품자산 편입이 투자자의 편익에 미치는 영향," 공저자: 왕제연, 이창준, 선물연구, 18:2, 19-41, 2010.

    "옵션시장에서 GARCH계열 모형들의 성과 비교에 관한 연구," 공저자:류두진, 증권학회지, 38:2, 137-176, 2009. (증권학회 우수논문상 수상)

    "Information transmission between cash and futures markets through quote revisions and order imbalances," 공저자:박형진, 이순희, 재무관리연구, 25:4, 117-144, 2008.

    "실증적 추계할인율에 대한 연구: KOSPI200옵션시장을 중심으로," 공저자:김병천, 류두진, 윤재선, 재무연구 21:3, 91-137, 2008.

    "대규모 주문불균형의 가격효과에 대한 실증분석," 공저자:박형진, 안재율, 재무연구, 21:1, 65-100, 2008.

    "중앙은행의 구두개입이 원/달러시장에 미치는 영향에 관한 실증분석," 공저자: 박형진, 변성섭, 금융학회지, 11:2, 35 - 65, 2006. (금융학회 우수논문상 수상)

    "채권자의 의사결정과정을 반영한 신용스프레드 평가모형에 대한 연구: Merton 모형의 확장을 중심으로", 공저자: 류두진, 황근호, 금융안정연구, 7:2, 96-132.

    "칼만필터를 이용한 이자율 기간구조와 부도위험 추정," 공저자: 김성환, 한철우, 선물연구, 13:2, 1-26, 2005.

    "한국선물거래소의 국채선물의 가격추정: Black-Karasinski 모형의 응용," 공저자: 이정진, 선물연구, 10:2, 1-23, 2002.

    "Transaction costs, social control system, social knowledge: An ntegrating framework," 공저자: 손정훈, 전략경영연구, 3:1, 61-84, 2001.

    ▶ Book Chapters

    "Volatility Decomposition of the Asian Equity Markets," with Jimmy Hong and Doowon Lee, in Asian Capital Market Development and Integration: Challenges and Opportunities, published by Asian Development Bank (ADB), Korea Capital Market Institute (KCMI), and Peterson Institute for International Economics (PIIE), forthcoming.

연구분야

    Asset Pricing; Financial Markets; Corporate Finance
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