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Kang,  Jangkoo Professor 사진

Faculty DirectoryKang, Jangkoo Professor

  • Contact Information Office.SUPEX 390 Tel.82-2-958-3521 E-mail.jkkang@business.kaist.ac.kr Lab.
  • Academic GroupsFinance
  • MajorFinance

Education

    ▶ Ph.D., University of Rochester, 1997
    ▶ MBA, Seoul National University, 1988
    ▶ BBA, Seoul National University, 1986 (summa cum laude)

Career

    ▶ KAIST Graduate school of Finance & Accounting, Assiatant, Associate & Full Professor (2006-)
    ▶ KAIST Graduate school of Management, Assiatant Professor (2002 - 2005)
    ▶ The University of Seoul, Assiatant Professor(1997-2001)
    ▶ Korean Journal of Futures and Options, Editor (2008-2010 )
    ▶ International Review of Financial Analysis, Editorial board member (2008-2012)
    ▶ American Journal of Industrial and Business Management, Editorial board member (2011- )
    ▶ Asia-Pacific Journal of Financial Studies, Associate editor (2013-)
    ▶ Scientific Journal of Management Science and Engineering, Editorial board member (2013- )

Industry Advisory Activities

Publications (patents, etc.)

    ▶ International Journals

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

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

    "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, 183-222, 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.

    "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.

    "Macroeconomic risk and the cross-section of stock returns," with Tong Suk Kim, Changjun Lee, and Byoung-Kyu Min, Journal of Banking and Finance, 35:12, 3158-3173, 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 anlysis 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, 39:3, 301-339, 2010.

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


    ▶ Korean Journals

    "The best PIN model in the Korean stock market," with Kyong Shik Eom and Kyung Yoon Kwon, Asian Review of Financial Research, 29:3, 425-436, 2016..

    "Does the difference of implied volatility over historical volatility affect ELW returns? A Korean evidence," With Jongho Kang and Soonhee Lee, Korean Journal of Financial Studies, 44:4, 615-636, 2015.

    "Stock market liquidity as a predictor of the real economy," with Jeewon Jang, Asian Review of Financial Research, 28:1, 71-108, 2015.

    "Lottery-like stocks and the cross-section of expected stock returns in the Korean stock market," with Myounghwa Sim, Asian Review of Financial Research, 27:2, 297- 332, 2014.

    "Asymmetric price impacts and the cross-section of stock returns in the Korean stock market," with Myounghwa Sim, Korean Journal of Financial Studies, 43:2, 327-358, 2014.

    "Retail investor sentiment and stock returns," with Kyung Yoon Kwon and Myounghwa Sim, Korean Journal of Financial Management, 30:3, 35-68, 2013.

    "A construction of the Korean stock database and its applications," with Dukhyun Lee, Changjun Lee, and Jejoon Choi, Asian Review of Financial Studies, 26:3, 311-351, 2013.

    "Investment styles and performance persistence of equity funds in Korea using Sharpe’s style analysis," with Changjun Lee, Korean Journal of Financial Studies, 39:2, 307-339, 2010.

    "An empirical analysis on the determinants of Credit Default Swap spreads," with Joonhong Min and Changjun Lee, Journal of Money and Finance, 24:2, 99-128, 2010.

    "How valuable are the commodity assets to investors?," with Jah Yeun Wang and Changjun Lee, Korean Journal of Futures and Options, 18:2, 19-41, 2010.

    "A study on the empirical performance of GARCH-type models in the KOSPI 200 options market," with Doojin Ryu, Korean Journal of Financial Studies, 38:2, 137-176, 2009.

    "Information transmission between cash and futures markets through quote revisions and order imbalances," with Hyoung-Jin Park and Soonhee Lee, Korean Journal of Financial Management, 25:4, 117-144, 2008.

    "A study on empirical pricing kernels: A case of the KOSPI 200 options," with Byung Chun Kim, Doojin Ryu, and Jaesun Yun, The Korean Journal of Finance, 21:3, 91-137, 2008.

    "An empirical study on the information effect of abnormal order imbalances," with Hyoung-Jin Park, Korean Journal of Finance 21, 65-100, 2008.

    "On the effects of official intervention announcements on the foreign exchange markets," with Hyiung-Jin Park and Seong-Sub Byun, Korean Journal of Money and Finance, 11:2, 35 - 65, 2006.

    ▶ 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.

Research Areas

    ▶ Asset Pricing, Corporate Finance, Financial Markets
Contact : We, Chungin ( chunginwe@business.kaist.ac.kr )

Faculty & Research

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