Browse "MT-Journal Papers(저널논문)" by Author Kang, Jangkoo
Showing results 1 to 60 of 66
| A bias in Jensen's alpha when returns are serially correlated Kang, Jangkoo; Lee, Soonhee, Theoretical Economics Letters, v.3, no.3, pp.188 - 190, 2013 |
| A Comparison of New Factor Models in the Korean Stock Market Kang, Hankil; Kang, Jangkoo; Kim, Wooyeon, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.48, no.5, pp.593 - 614, 2019-10 |
A geometric treatment of time-varying volatilities Han, Chulwoo; Park, Frank C.; Kang, Jangkoo, REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, v.49, no.4, pp.1121 - 1141, 2017-11 |
| Aggregate recruiting intensity and cross-sectional stock returns Bae, Jaewan; Kang, Jangkoo, FINANCE RESEARCH LETTERS, v.48, 2022-08 |
| An Analysis of the Determinants of Inflation-linked Bond Prices in Korea Kang, Jangkoo; Lee, Soonhee, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.47, no.5, pp.605 - 633, 2018-10 |
| An efficient approximation method for American exotic options Chang, Geunhyuk; Kang, Jangkoo; Kim, Hwa-Sung; Kim, In Joon, JOURNAL OF FUTURES MARKETS, v.27, no.1, pp.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 Kang, Jangkoo; Lee, Chang Joo; Lee, Soonhee, JOURNAL OF EMERGING MARKET FINANCE, v.5, no.3, pp.235 - 261, 2006-12 |
| An extended CreditRisk+ framework for portfolio credit risk management Kang, Jangkoo; Chulwoo Han, JOURNAL OF CREDIT RISK, v.4, no.4, pp.63 - 80, 2008-12 |
| An interrelation of time preference and risk attitude: an application to the equity premium puzzle Kang, Jangkoo; Kim, Hwa-Sung, APPLIED ECONOMICS LETTERS, v.19, no.5, pp.483 - 486, 2012 |
| An intertemporal CAPM with higher-order moments Fang, Jeewon; Kang, Jangkoo, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.42, pp.314 - 337, 2017-11 |
| Asset pricing implications of firms' profit sharing Bae, Jaewan; Kang, Jangkoo, PACIFIC-BASIN FINANCE JOURNAL, v.84, 2024-04 |
| Basis-momentum strategies and ranking periods Kwon, Kyung Yoon; Kang, Jangkoo; Yun, Jaesun, FINANCE RESEARCH LETTERS, v.43, 2021-11 |
| Betting against analyst target price Han, Chulwoo; Kang, Jangkoo; Kim, Sun Yung, JOURNAL OF FINANCIAL MARKETS, v.59, 2022-06 |
| Bullish/bearish/neutral strategies under short sale restrictions Bae, Kwangil; Kang, Jangkoo; Lee, Soonhee, JOURNAL OF BANKING & FINANCE, v.71, pp.227 - 239, 2016-10 |
| Call options with concave payoffs: An application to executive stock options Bae, Kwangil; Kang, Jangkoo; Kim, Hwa-Sung, JOURNAL OF FUTURES MARKETS, v.38, no.8, pp.943 - 957, 2018-08 |
| Can commodity futures risk factors predict economic growth? Kang, Jangkoo; Kwon, Kyung Yoon, JOURNAL OF FUTURES MARKETS, v.40, no.12, pp.1825 - 1860, 2020-12 |
| Can fat-tail create the momentum and reversal? Bae, Kwangil; Kang, Hankil; Kang, Jangkoo, APPLIED ECONOMICS, v.52, no.44, pp.4850 - 4863, 2020-09 |
| Challenges and Opportunities in Emerging Financial Markets Kang, Jangkoo; Yun, Chang-Hyun, EMERGING MARKETS FINANCE AND TRADE, v.52, no.11, pp.2451 - 2453, 2016 |
| Common deviation and regime-dependent dynamics in the index derivatives markets Lee, Jaeram; Kang, Jangkoo; Ryu, Doojin, PACIFIC-BASIN FINANCE JOURNAL, v.33, pp.1 - 22, 2015-06 |
| Do actively managed mutual funds exploit stock market mispricing? Lee, Jaeram; Jeon, Hyunglae; Kang, Jangkoo; Lee, Changjun, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.53, 2020-07 |
| Do the production-based factors capture the time-varying patterns in stock returns? Kang, Hankil; Kang, Jangkoo; Lee, Changjun, EMERGING MARKETS REVIEW, v.15, pp.122 - 135, 2013-06 |
| Equity Fund Performance Persistence with Investment Style: Evidence from Korea Kang, Jangkoo; Lee, Changjun; Lee, Doowon, EMERGING MARKETS FINANCE AND TRADE, v.47, no.3, pp.111 - 135, 2011 |
| Flow toxicity of high-frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market Kang, Jangkoo; Kwon, Kyung Yoon; Kim, Wooyeon, JOURNAL OF FUTURES MARKETS, v.40, no.2, pp.164 - 191, 2020-02 |
| Foreign investors and the delay of information dissemination in the Korean stock market Kang, Jangkoo; Kwon, Kyung Yoon; Park, Hyoung-jin, PACIFIC-BASIN FINANCE JOURNAL, v.38, pp.1 - 16, 2016-06 |
| How about selling commodity futures losers? Kang, Jangkoo; Kwon, Kyung Yoon, JOURNAL OF FUTURES MARKETS, v.39, no.12, pp.1489 - 1514, 2019-12 |
| How Informed Investors Take Advantage of Negative Information in Options and Stock Markets Kang, Jangkoo; Park, Hyoung-Jin, JOURNAL OF FUTURES MARKETS, v.34, no.6, pp.516 - 547, 2014-06 |
| Human capital quality and stock returns Bae, Jaewan; Kang, Jangkoo, JOURNAL OF BANKING & FINANCE, v.152, 2023-07 |
| Indexing Catastrophe Securities S. Hun Seog; Kang, Jangkoo, KAIST BUSINESS SCHOOL WORKING PAPER , v.2008-003, 2008 |
| Information Effects of Trade Size and Trade Direction: Evidence from the KOSPI 200 Index Options Market Ahn, Hee-Joon; Kang, Jangkoo; Ryu, Doojin, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.39, no.3, pp.301 - 339, 2010-06 |
| Information of employee decisions and stock returns in the Korean stock market Bae, Jaewan; Kang, Jangkoo, INTERNATIONAL REVIEW OF FINANCE, v.23, no.1, pp.206 - 224, 2023-03 |
| INFORMED TRADING IN THE INDEX OPTION MARKET: THE CASE OF KOSPI 200 OPTIONS Ann, HJ (Ann, Hee-Joon); Kang, Jangkoo; Ryu, D (Ryu, Doojun), JOURNAL OF FUTURES MARKETS, v.28, pp.1118 - 1146, 2008-12 |
| Is the Information on the Higher Moments of Underlying Returns Correctly Reflected in Option Prices? Kang, Jangkoo; Lee, Soonhee, JOURNAL OF FUTURES MARKETS, v.36, no.8, pp.722 - 744, 2016-08 |
| Is the zero-leverage policy value-enhancing? Jiang, Wenwen; Kang, Jangkoo; Kim, Hwa-Sung, The Quarterly Review of Economics and Finance, v.93, pp.176 - 189, 2024-02 |
| Liquidity Risk and Expected Stock Returns in Korea: A New Approach Jang, Jeewon; Kang, Jangkoo; Lee, Changjun, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.41, no.6, pp.704 - 738, 2012-12 |
| Liquidity skewness premium Jeong, Giho; Kang, Jangkoo; Kwon, Kyung Yoon, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.46, pp.130 - 150, 2018-11 |
| Macroeconomic risk and the cross-section of stock returns Kang, Jangkoo; Kim, Tong Suk; Lee, Changjun; Min, Byoung-Kyu, JOURNAL OF BANKING FINANCE, v.35, no.12, pp.3158 - 3173, 2011-12 |
| Market versus limit orders of speculative high-frequency traders and price discovery Kang, Jongho; Kang, Jangkoo; Kwon, Kyung Yoon, RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, v.63, 2022-12 |
| Momentum and Earnings Information in the Korean Stock Market Ha, YuSung; Kang, Jangkoo; Kim, SunYung, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.50, no.3, pp.334 - 359, 2021-06 |
| Momentum in International Commodity Futures Markets Kang, Jangkoo; Kwon, Kyung Yoon, JOURNAL OF FUTURES MARKETS, v.37, no.8, pp.803 - 835, 2017-08 |
| Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market Hwang K.; Kang, Jangkoo; Ryu D., INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, v.19, no.1, pp.35 - 46, 2010-02 |
| Precision about manager skill, mutual fund flows, and performance persistence Jeon, Hyunglae; Kang, Jangkoo; Lee, Changjun, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.40, pp.222 - 237, 2017-04 |
| PRICING BASKET AND ASIAN OPTIONS UNDER THE JUMP-DIFFUSION PROCESS Bae, Kwangil; Kang, Jangkoo; Kim, Hwa-Sung, JOURNAL OF FUTURES MARKETS, v.31, no.9, pp.830 - 854, 2011-09 |
| Pricing counterparty default risks: Applications to FRNs and vulnerable options Kang, Jangkoo; Kim H.-S., INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, v.14, no.3, pp.376 - 392, 2005 |
| Pricing credit spread options under a Markov chain model with Stochastic default rate Kang, Jangkoo; Kim, HS, JOURNAL OF FUTURES MARKETS, v.24, pp.631 - 648, 2004-07 |
| Private benefits of control and firm leverage: An analysis of Korean firms Kang, Jangkoo; Kim J.-S., REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, v.27, no.4, pp.439 - 463, 2006-12 |
| Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns Jang, Jeewon; Kang, Jangkoo, JOURNAL OF FINANCIAL ECONOMICS, v.132, no.1, pp.222 - 247, 2019-04 |
| Retail Investors and the Idiosyncratic Volatility Puzzle: Evidence from the Korean Stock Market Kang, Jangkoo; Lee, Eunmee; Sim, Myounghwa, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.43, no.2, pp.183 - 222, 2014-04 |
| State-Dependent Variations in the Expected Illiquidity Premium Jang, Jeewon; Kang, Jangkoo; Lee, Changjun, REVIEW OF FINANCE, v.21, no.6, pp.2277 - 2314, 2017-10 |
| Tests of alternate models for the pricing of Korean Treasury bond futures contracts Kang, Jangkoo; Park H.-J., PACIFIC BASIN FINANCE JOURNAL, v.14, no.4, pp.410 - 425, 2006-09 |
| The dynamics of trades and quote revisions across stock, futures, and option markets Kang, Jangkoo; Park H.-J., REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES, v.11, no.2, pp.227 - 254, 2008-06 |
| The effects of jump risks associated with the default rate on credit spreads Ahn, Chang Mo; Kang, Jangkoo; Kim, Hwa-Sung, JOURNAL OF RISK, v.7, no.3, pp.95 - 110, 2005-04 |
| The information content of net buying pressure: Evidence from the KOSPI 200 index option market Kang, Jangkoo; Park, Hyoung-Jin, JOURNAL OF FINANCIAL MARKETS, v.11, no.1, pp.36 - 56, 2008-02 |
| The Momentum Strategies and Salience: Evidence from the Korean Stock Market Sim, Myounghwa; Kang, Jangkoo; Kim, Hee-Eun; Lee, Eunmee, EMERGING MARKETS FINANCE AND TRADE, v.58, no.11, pp.3177 - 3190, 2022-09 |
| The negative hiring rate premium on stock returns in the Korean stock market Bae, Jaewan; Kang, Jangkoo, PACIFIC-BASIN FINANCE JOURNAL, v.73, 2022-06 |
| The q-Factors and Macroeconomic Conditions: Asymmetric Effects of the Business Cycles on Long and Short Sides* Min, Byoung-Kyu; Kang, Jangkoo; Lee, Changjun; Roh, Tai-Yong, INTERNATIONAL REVIEW OF FINANCE, v.20, no.4, pp.897 - 921, 2020-12 |
| The reference dependency of short-term reversal Goh, Jihoon; Jeong, Giho; Kang, Jangkoo, INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, v.78, pp.195 - 211, 2022-03 |
| The role of labor in cash holdings: Evidence from the supply-side impact of COVID-19 Bae, Jaewan; Kang, Jangkoo, ECONOMICS LETTERS, v.224, 2023-03 |
| Tick size, market structure, and market quality Chung, K.H.; Kang, Jangkoo; Kim, J.-S., REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, v.36, no.1, pp.57 - 81, 2011 |
| Ultimate consumption risk and investment-based stock returns Kang, Hankil; Kang, Jangkoo; Lee, Changjun, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.42, pp.473 - 486, 2017-11 |
| US Economic Uncertainty and the Korean Stock Market Reaction Yun, Jaesun; Kang, Jangkoo; Kwon, Kyung Yoon, EMERGING MARKETS FINANCE AND TRADE, v.57, no.10, pp.2946 - 2976, 2021-08 |
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