Browse "School of Management Engineering(경영공학부)" byAuthorKang, Jangkoo

Showing results 1 to 60 of 72

1
A bias in Jensen's alpha when returns are serially correlated

Kang, Jangkooresearcher; Lee, Soonhee, Theoretical Economics Letters, v.3, no.3, pp.188 - 190, 2013

2
A Comparison of Empirical Performance : Pricing models vs pricing Kernels

Kang, Jangkooresearcher; Ryu, Doojin, 2008년 한국 파생상품학회 추계 학술연구 발표회, 한국파생상품학회, 2008-11-28

3
A Comparison of New Factor Models in the Korean Stock Market

Kang, Hankil; Kang, Jangkooresearcher; Kim, Wooyeon, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.48, no.5, pp.593 - 614, 2019-10

4
A geometric treatment of time-varying volatilities

Han, Chulwoo; Park, Frank C.; Kang, Jangkooresearcher, REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, v.49, no.4, pp.1121 - 1141, 2017-11

5
An Analysis of the Determinants of Inflation-linked Bond Prices in Korea

Kang, Jangkooresearcher; Lee, Soonhee, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.47, no.5, pp.605 - 633, 2018-10

6
An efficient approximation method for American exotic options

Chang, Geunhyuk; Kang, Jangkooresearcher; Kim, Hwa-Sung; Kim, In Joonresearcher, JOURNAL OF FUTURES MARKETS, v.27, no.1, pp.29 - 59, 2007

7
An empirical investigation of option valuation and hedging methodology: Option pricing models and pricing kernels

Kang, Jangkooresearcher; Ryu, Doojin, Asia-Pacific Association of Derivatives, 2010

8
An empirical investigation of the lead-lag relations of returns and volatilities among the KOSPI200 spot, futures, and options markets and their explanations

Kang, Jangkooresearcher; Lee, Chang Joo; Lee, Soonhee, JOURNAL OF EMERGING MARKET FINANCE, v.5, no.3, pp.235 - 261, 2006-12

9
An extended CreditRisk+ framework for portfolio credit risk management

Kang, Jangkooresearcher; Chulwoo Han, JOURNAL OF CREDIT RISK, v.4, no.4, pp.63 - 80, 2008-12

10
An interrelation of time preference and risk attitude: an application to the equity premium puzzle

Kang, Jangkooresearcher; Kim, Hwa-Sung, APPLIED ECONOMICS LETTERS, v.19, no.5, pp.483 - 486, 2012

11
An intertemporal CAPM with higher-order moments

Fang, Jeewon; Kang, Jangkooresearcher, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.42, pp.314 - 337, 2017-11

12
Asymmetric Dynamics of Quoted Prices and Trades in the Informed Dissemination Process

Kang, Jangkooresearcher; Lee, Soonhee; Park, Hyoung-Jin, 한국증권학회 학술발표회, Korean Securities Association, 2008-02

13
Bullish/bearish/neutral strategies under short sale restrictions

Bae, Kwangil; Kang, Jangkooresearcher; Lee, Soonhee, JOURNAL OF BANKING & FINANCE, v.71, pp.227 - 239, 2016-10

14
Call options with concave payoffs: An application to executive stock options

Bae, Kwangil; Kang, Jangkooresearcher; Kim, Hwa-Sung, JOURNAL OF FUTURES MARKETS, v.38, no.8, pp.943 - 957, 2018-08

15
Can commodity futures risk factors predict economic growth?

Kang, Jangkooresearcher; Kwon, Kyung Yoon, JOURNAL OF FUTURES MARKETS, v.40, no.12, pp.1825 - 1860, 2020-12

16
Can fat-tail create the momentum and reversal?

Bae, Kwangil; Kang, Hankil; Kang, Jangkooresearcher, APPLIED ECONOMICS, v.52, no.44, pp.4850 - 4863, 2020-09

17
Challenges and Opportunities in Emerging Financial Markets

Kang, Jangkooresearcher; Yun, Chang-Hyun, EMERGING MARKETS FINANCE AND TRADE, v.52, no.11, pp.2451 - 2453, 2016

18
Common deviation and regime-dependent dynamics in the index derivatives markets

Lee, Jaeram; Kang, Jangkooresearcher; Ryu, Doojin, PACIFIC-BASIN FINANCE JOURNAL, v.33, pp.1 - 22, 2015-06

19
Commonality and relative difference in financial assets : prices, trading profits, and investment = 금융 자산들의 공통성과 상대적 차이에 대한 연구 : 자산 가격, 거래 이익, 자산 투자를 중심으로link

Lee, Jaeram; 이재람; et al, 한국과학기술원, 2016

20
Do actively managed mutual funds exploit stock market mispricing?

Lee, Jaeram; Jeon, Hyunglae; Kang, Jangkooresearcher; Lee, Changjun, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.53, 2020-07

21
Do Day-traders Destabilize the Market? : The Case of the KOSPI200 Futures Market

Kang, Jangkooresearcher; Kim, In Joon; Lee, Wol Goo; Moon, Haeeun, 한국증권학회 KSA(Korean Secutiyies Association) 학술발표회, pp.1 - 34, 한국증권학회, 2005

22
Do day-traders destabilize the market? The case of the KOSPI200 futures market

Kang, Jangkooresearcher; Kim, In Joon; Lee, Wol Goo; Moon, Haeeun, Asia-Pacific Association of Derivatives, pp.1 - 34, 2005-06

23
Do the production-based factors capture the time-varying patterns in stock returns?

Kang, Hankil; Kang, Jangkooresearcher; Lee, Changjun, EMERGING MARKETS REVIEW, v.15, pp.122 - 135, 2013-06

24
Does the Chen-Zhang model capture the time-varying patterns in stock returns?

Kang, Jangkooresearcher; Lee, Changjun; Kang, Hankil, 재무관련 5개 통합학회, 2010

25
Equity Fund Performance Persistence with Investment Style: Evidence from Korea

Kang, Jangkooresearcher; Lee, Changjun; Lee, Doowon, EMERGING MARKETS FINANCE AND TRADE, v.47, no.3, pp.111 - 135, 2011

26
Essays on alternative investments = 대체투자에 대한 연구link

Yun, Jaesun; Kang, Jangkoo; et al, 한국과학기술원, 2020

27
Essays on credit expansion, analyst forecasts, and expected stock returns = 신용확대, 애널리스트 예측과 주식의 기대수익률에 대한 연구link

Kim, Sun Yung; Kang, Jangkoo; et al, 한국과학기술원, 2019

28
Essays on firm optimal decision-making through a life-cycle and the residual momentum = 기업의 최적화 의사결정에 따른 생애주기 및 잔차모멘텀 전략에 관한 연구link

Lee, Eunmee; Kang, Jangkoo; et al, 한국과학기술원, 2019

29
Essays on high frequency market microstructure = 고빈도 시장 미시구조에 관한 연구link

Kim, Wooyeon; Kang, Jangkoo; et al, 한국과학기술원, 2020

30
Essays on the market microstructure and behavioral biases = 시장 미시구조와 행태적 편향에 관한 연구link

Jeong, Giho; Kang, Jangkoo; et al, 한국과학기술원, 2019

31
Flow toxicity of high-frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market

Kang, Jangkooresearcher; Kwon, Kyung Yoon; Kim, Wooyeon, JOURNAL OF FUTURES MARKETS, v.40, no.2, pp.164 - 191, 2020-02

32
Foreign investors and the delay of information dissemination in the Korean stock market

Kang, Jangkooresearcher; Kwon, Kyung Yoon; Park, Hyoung-jin, PACIFIC-BASIN FINANCE JOURNAL, v.38, pp.1 - 16, 2016-06

33
How about selling commodity futures losers?

Kang, Jangkooresearcher; Kwon, Kyung Yoon, JOURNAL OF FUTURES MARKETS, v.39, no.12, pp.1489 - 1514, 2019-12

34
How Informed Investors Take Advantage of Negative Information in Options and Stock Markets

Kang, Jangkooresearcher; Park, Hyoung-Jin, JOURNAL OF FUTURES MARKETS, v.34, no.6, pp.516 - 547, 2014-06

35
Indexing Catastrophe Securities

S. Hun Seog; Kang, Jangkooresearcher, KAIST BUSINESS SCHOOL WORKING PAPER , v.2008-003, 2008

36
Indexing Catastrophe Securities

Seog, S. Hunresearcher; Kang, Jangkooresearcher, 한국선물학회 학술발표회, pp.1 - 24, Korean Association of Futures and Options, 2004-12

37
Information Effects of Trade Size and Trade Direction: Evidence from the KOSPI 200 Index Options Market

Ahn, Hee-Joon; Kang, Jangkooresearcher; Ryu, Doojin, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.39, no.3, pp.301 - 339, 2010-06

38
INFORMED TRADING IN THE INDEX OPTION MARKET: THE CASE OF KOSPI 200 OPTIONS

Ann, HJ (Ann, Hee-Joon); Kang, Jangkooresearcher; Ryu, D (Ryu, Doojun), JOURNAL OF FUTURES MARKETS, v.28, pp.1118 - 1146, 2008-12

39
Investment behavior and performance of sophisticated investors : mutual funds and high-frequency traders = 뮤추얼펀드 및 고빈도거래자의 투자 행태와 성과에 관한 연구link

Jeon, Hyunglae; 전형래; et al, 한국과학기술원, 2016

40
Investor Performance and Trade Size: Which Trades Move Futures Prices?

Kang, Jangkooresearcher; Ryu, Doojin, EBES, 2009

41
Is the Information on the Higher Moments of Underlying Returns Correctly Reflected in Option Prices?

Kang, Jangkooresearcher; Lee, Soonhee, JOURNAL OF FUTURES MARKETS, v.36, no.8, pp.722 - 744, 2016-08

42
Liquidity Risk and Expected Stock Returns in Korea: A New Approach

Jang, Jeewon; Kang, Jangkooresearcher; Lee, Changjun, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.41, no.6, pp.704 - 738, 2012-12

43
Liquidity skewness premium

Jeong, Giho; Kang, Jangkooresearcher; Kwon, Kyung Yoon, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.46, pp.130 - 150, 2018-11

44
Macroeconomic risk and the cross-section of stock returns

Kang, Jangkooresearcher; Kim, Tong Sukresearcher; Lee, Changjun; Min, Byoung-Kyu, JOURNAL OF BANKING FINANCE, v.35, no.12, pp.3158 - 3173, 2011-12

45
Momentum in International Commodity Futures Markets

Kang, Jangkooresearcher; Kwon, Kyung Yoon, JOURNAL OF FUTURES MARKETS, v.37, no.8, pp.803 - 835, 2017-08

46
New factor models in the Korean stock market = 한국 주식시장에서의 새로운 요인 모형에 관한 연구link

Kim, Wooyeon; 김우연; et al, 한국과학기술원, 2016

47
On Additional Credit Spreads Caused by Jump Risks of the Default Rate

Ahn, Chang Mo; Kang, Jangkooresearcher; Kim, Hwa-Sung, 한국증권학회 4차 정기학술발표회, pp.1 - 20, 한국증권학회, 2003-10

48
On Incentives of Executive Stock Options

Bae, Kwangil; Kang, Jangkooresearcher; Kim, Hwa-sung, Asia-Pacific Association of Derivatives, 2010

49
Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market

Hwang K.; Kang, Jangkooresearcher; Ryu D., INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, v.19, no.1, pp.35 - 46, 2010-02

50
Precision about manager skill, mutual fund flows, and performance persistence

Jeon, Hyunglae; Kang, Jangkooresearcher; Lee, Changjun, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.40, pp.222 - 237, 2017-04

51
PRICING BASKET AND ASIAN OPTIONS UNDER THE JUMP-DIFFUSION PROCESS

Bae, Kwangil; Kang, Jangkooresearcher; Kim, Hwa-Sung, JOURNAL OF FUTURES MARKETS, v.31, no.9, pp.830 - 854, 2011-09

52
Pricing counterparty default risks: Applications to FRNs and vulnerable options

Kang, Jangkooresearcher; Kim H.-S., INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, v.14, no.3, pp.376 - 392, 2005

53
Pricing credit spread options under a Markov chain model with Stochastic default rate

Kang, Jangkooresearcher; Kim, HS, JOURNAL OF FUTURES MARKETS, v.24, pp.631 - 648, 2004-07

54
Private benefits of control and firm leverage: An analysis of Korean firms

Kang, Jangkooresearcher; Kim J.-S., REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, v.27, no.4, pp.439 - 463, 2006-12

55
Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns

Jang, Jeewon; Kang, Jangkooresearcher, JOURNAL OF FINANCIAL ECONOMICS, v.132, no.1, pp.222 - 247, 2019-04

56
Retail Investors and the Idiosyncratic Volatility Puzzle: Evidence from the Korean Stock Market

Kang, Jangkooresearcher; Lee, Eunmee; Sim, Myounghwa, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.43, no.2, pp.183 - 222, 2014-04

57
State-Dependent Variations in the Expected Illiquidity Premium

Jang, Jeewon; Kang, Jangkooresearcher; Lee, Changjun, REVIEW OF FINANCE, v.21, no.6, pp.2277 - 2314, 2017-10

58
Tests of alternate models for the pricing of Korean Treasury bond futures contracts

Kang, Jangkooresearcher; Park H.-J., PACIFIC BASIN FINANCE JOURNAL, v.14, no.4, pp.410 - 425, 2006-09

59
The dynamics of trades and quote revisions across stock, futures, and option markets

Kang, Jangkooresearcher; Park H.-J., REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES, v.11, no.2, pp.227 - 254, 2008-06

60
The effects of jump risks associated with the default rate on credit spreads

Ahn, Chang Mo; Kang, Jangkooresearcher; Kim, Hwa-Sung, JOURNAL OF RISK, v.7, no.3, pp.95 - 110, 2005-04

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