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Kang,  Jangkoo Professor 사진
Kang, Jangkoo Professor
Contact Information
  • Office.SUPEX 390
  • Tel.82-2-958-3521
  • E-mail.jkkang@kaist.ac.kr
Research Areas Finance
Biography

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)
    ▶ Asia-Pacific Journal of Financial Studies, Associate editor (2013-)
    ▶ Journal of Futures Markets, Editorial board member (2018- )
    ▶ Journal of Money and Finance, Editor-in-Chief (2019- )

Publications & Research

Publications (patents, etc.)

    ▶ International Journals

    "Weekly momentum in the commodity futures markets," with Kyung Yoon Kwon and Jaesun Yoon, Finance Research Letters, forthcoming.

    "US economic uncertainty and the Korean stock market reaction," with Jaesun Yoon and Kyung Yoon Kwon, Emerging Markets Finance and Trade, forthcoming.

    "The q-Factors and macroeconomic conditions: Asymmetric effects of the business cycles on long and short sides," with Byoung-Kyu Min, Changjun Lee, and Tai-Yong Roh, International Review of Finance, forthcoming.

    "Flow toxity of high-frequency trading and its impact on price volatility: Evidence from the KOSPI200 futures market," with Wooyeon Kim and Kyung Yoon Kwon, Journal of Futures Markets 40, 164-191, 2020.

    "A comparison of new factor models in the Korean stock market," with Hankil Kang and Wooyeon Kim, Asia-Pacific Journal of Financial Studies 48, 593-614, 2019.

    "How about selling commodity futures losers," with Kyung Yoon Kwon, Journal of Futures Markets 39, 1489-1514, 2019.

    "Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns," with Jeewon Jang, Journal of Financial Economics 132, 222-247, 2019.

    "An analysis of the determinants of Inflation-Linked bond prices in Korea," with Soonhee Lee, Asia-Pacific Journal of Financial Studies 47, 605-633, 2018. (Best Paper Award for the 8th KRX security-derivatives papers)

    "Liquidity skewness premium," with Giho Jeong and Kyung Yoon Kwon, North American Journal of Economics and Finance 46, 130-150, 2018.

    "Call options with concave payoffs: An application to executive stock options," with Kwangil Bae and Hwa-Sung Kim, Journal of Futures Markets, 943-957, 2018.

    "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, 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

    "Stock return predictability of the Amihud measure in the Korean stock market and trading volume," with Giho Jung, Korean Journal of Financial Studies, 47:4, 543-577, 2018.

    "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.

    "Predicting bond excess returns in the Korean market," with Hankil Kang, Soonhee Lee, and Eunmee Lee, Asian Review of Financial research, 28:5, 2015.

    "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 : Joo, Sunhee ( shjoo2006@business.kaist.ac.kr )

Faculty & Research

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