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Office: SUPEX 390
MBA, Seoul National University, 1988
BBA, Seoul National University, 1986 (summa cum laude)
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- )
American Journal of Industrial and Business Management, Editorial board member (2011- )
"Liquidity risk and expected stock returns in Korea: A new Approach," with Jeewon Jang and Changjun Lee, Asia-Pacific Journal of Financial Studies, forthcoming.
"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 (accepted), 2008.
"The information content of net buying pressure: Evidence from the KOSPI200 index option market," with Hyoung-Jin Park, Journal of Financial Markets (accepted), 2006.
"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.
"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.