KAIST 경영대학 경영공학부 교수 > 교수 & 연구 >KAIST COLLEGE OF BUSINESS
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강장구 교수 사진
강장구 교수
Contact Information
  • Office.S390
  • Tel.02-958-3521
  • E-mail.jkkang@kaist.ac.kr
Research Areas 재무/금융공학
Biography

학력

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

주요경력

    ▶ 금융연구 수석 편집위원장 (2019- )
    ▶ Journal of Futures Markets 편집위원 (2018- )
    ▶ Asia-Pacific Journal of Financial Studies 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, 금융연구, 선물연구, 경영과학회지 편집위원 역임.
    ▶ International Review of Financial Analysis 편집위원 (2008-2011 )
Publications & Research

주요논문 (특허등)

    ▶ 국외학술지

    "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. (제8회 KRX 증권,파생상품 우수논문 선정)

    "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, 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

    "한국 주식시장에서의 Amihud 측도의 주식수익률 예측과 거래량," 공저자: 정기호, 한국증권학회지, 47:4, 543-577, 2018.

    "한국 주식시장에서의 실적 발표기간의 단기 반전 효과," 공저자:정기호, 재무관리연구, 35:3, 245-280, 2018.

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

    "한국 채권 초과수익률 예측요인에 관한 연구," 공저자: 강한길, 이순희, 이은미, 재무연구, 28:2, 163:195, 2015.

    "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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