.jpg)
Biography
Education
- ▶ Ph.D., Ohio State University, 1989
Career
- ▶ KAIST, KAIST graduate school of management, professor 1995 - currently
▶ San Diago State University 1989 - 1995
Publications & Research
Publications (patents, etc.)
- 1. "Dynamic Non-Myopic Portfolio Behavior," Journal: Review of Financial Studies, 1996 Co-author: Edward Omberg
2. "Project and Firm Valuation, Foreign-Exchange Exposure, and Accounting Methods with an Option to Liquidate," Journal: Advances in International Banking and Finance, 1996, Volume 2, p. 63-98 Co-author: Edward Omberg
3. "Contingent Claims Valuation of Optional Calling Plan Contracts in Telephone Industry," Journal: International Review of Financial Analysis, 2002, 11/4, p. 433-448, Co-author: Hyun-Woo Choi, In Joon Kim
4. "Performance of a Nonparametric Multivariate Nearest Neighbor Model in the Prediction of Stock Index Returns," Asia Pacific Management Review, 2002, 7/1, co-authors: Chong-Hun Yoon, Hoe Kyung Lee
5. "Credit Default Swap Valuation with Counterparty Default Risk and Market Risk," Journal of Risk, 6/2, Winter 2003/4, p. 49-80, Co-author: Mi Ae Kim
6. "Default Correlation Dynamics with Business Cycle and Credit Quality Changes," Journal of Derivatives, Fall 2005, 13/1, p. 8-27, Co-author: Mi Ae Kim
7. "Bankruuptcy Prediction Using a Discrete-Time Duration Model Incorporating Temporal and Macroeconomic Dependencies," Journal of Forecasting, September 2008, 27/6, p.493-506, Co-authors: Chae Woo Nam and Hoe Kyung Lee
8. "Option-Implied Risk Preferences: An Extension to Wider Classes of Utility Functions," Journal of Financial Markets, May 2006, Volume 9/Issue 2, p.180-198, Co-author: Byung Jin Kang
9. "Empirical risk aversion functions-estimates and assessment of their reliability," International Journal of Financial Analysis, December 2008, 17/5, p.p. 1123-1138, Co-author: Byung Jin Kang
10. "Information Content of Volatility Spreads," Journal of Futures Markets, June 2010, 30/6, p.p. 533-558, Co-authors: Byung Jin Kang and Sun-Joong Yun
11. "A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market," Journal of Financial and Quantitative Analysis, June 2010, 45/3, p.p. 763-789, Co-authors: Byoung Uk Kang, Francis In, Gunky Kim
12. "The Effect of Changes in Index Constitution: The Evidence from the Korean Stock Market," International Review of Financial Analysis, September 2010, 19/4, p.p. 258-269, Co-author: Joo Young Yun
13. "Future labor income growth and the cross-section of equity returns," Journal of Banking and Finance, January 2011, 35/1, p.p. 67-81, Co-authors: Byoung Kyu Min, Dongcheol Kim
14. "Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency," Studies in Nonlinear Dynamics and Econometrics (SSCI), January 2011, Co-authors: Jihyun Lee, Hoe Kyung Lee
15. "The Information Content of Changes in Index Composition," Asia-Pacific Journal of Financial Studies (SSCI), April 2011, Vol. 40, Issue 2, p.285-316, Co-author: Joo Young Yun
16. "Macroeconomic Risk and the Cross-Section of Stock Returns," Journal of Banking and Finance (SSCI), December 2011, 35/12, p.p. 3158-3173, Co-authors: Jangkoo Kang, ChangJun Lee, Byoung- Kyu Min
17. "Are Good-News Firms Riskier than Bad-News Firms?" Journal of Banking and Finance (SSCI), May 2012, 36/5, p.p. 1528-1535, Co-author: Byoung Kyu Min
[Domestic Journals]
1. "The Effects of Introducing Stock Index Futures on the Stock Market Volatility: An Empirical Evidence in Korea," Korean Journal of Futures and Options, December 1997, Vol. 5, p.59-84
Co-author: In Joon Kim, Gun Youb Park
2. "The Relationship between Price Changes and Volume: The Impact of Market Microstructure," The Journal of Korean Securities Association, May 1999, Vol. 24, p.273-299
Co-author: In Joon Kim, Won Tark Doh
3. "A Study on the Initial Value Discontinuity Problem in the Numerical Analysis of Options," Korean Journal of Futures and Options, January 2000, Vol. 7, p.21-39
Co-author: Suk Joon Byun
4. "The Price Discovery of the Stock Index Futures and the Stock Index: A Cointegration Approach," Korean Journal of Futures and Options, January 2000, Vol. 7, p.89-115
Co-author: Sol Kim
5. "An Empirical Study on the Stochastic Processes of KOSPI200," Korean Journal of Futures and Options, November 2000, Vol. 8, p.1-26
Co-author: In Joon Kim, Ki Cheon Chang
6. "An Application of Survival Analysis for Firm Failure Prediction," Journal of the Korea Money and Finance Association, December 2000, Vol. 5, No. 2, p.29-61
Co-author: Hoe Kyung Lee, Chae Woo Nam
7. "An Empirical Study on the Arbitrage Trading using Volatility Forecasts: Based on KOSPI200 Stock Index Options," Korean Journal of Futures and Options, May 2001, Vol. 9, No. 1, p.1-24
Co-author: In Joon Kim, Sang Jin Lee
8. "An Empirical Study on Valuation of Convertible Bonds with Adjustable Conversion Price," Korean Journal of Futures and Options, November 2001, Vol. 9, No. 2, p.195-216
Co-author: In Joon Kim, Yong Lee
9. "Maximum Likelihood Estimation of Term Structure of Interest Rates and Bond Portfolio Strategies," Korean Journal of Futures and Options, November 2001, Vol. 9, No. 2, p.243-264
Co-author: In Joon Kim, Sang Koo Lee
10. "Long Memory in the Volatility of Korean Stock Returns," Korean Journal of Futures and Options, November 2002, Vol. 10, No. 2, p.4-114
Co-author: Jihyun Lee, Hoe-Kyung Lee
11. "An Empirical Analysis on Trading strategy of KTB and KTF Using the Two Factors CIR Term Structure Model," Korean Journal of Futures and Options, May 2005, Vol. 13, No. 1, p.73-99
Co-author: Yoon Keun Lee, Jung-Soon Hyun
12. "Alternative Measures to Test the Stability of Implied Probability Density Functions," Studies in Financial Engineering, March 2008, Vol. 7, No. 1, p.171-206.
Co-author: Byung Jin Kang
13. "A Study on Risk Averseness of Investors in the KOSPI200 Index Options Market," Korean Journal of Futures and Options, November 2008, Vol. 16, No. 2, p.1-35.
Co-author: Sunjung Yoon, Byung Jin Kang
14. "An Examination of International Portfolio Diversification Benefits for Korean Investors," Korean Journal of Futures and Options, February 2010, Vol. 18, No. 1, p.101-127
Co-author: Byoung-Kyu Min
Research Areas
- ▶ Financial Engineering Portfolio Theory, Derivatives Pricing, Investment Analysis
