Jangkoo Kang

Education

• Ph.D., University of Rochester, 1997
• MBA, Seoul National University, 1988
• BBA, Seoul National University, 1986 (summa cum laude)

Career

• KAIST Graduate school of Finance & Accounting, Assiatant, Associate & Full Professor (2006-)
• 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 (2008-2012)
• Asia-Pacific Journal of Financial Studies, Associate editor (2013-)
• Journal of Futures Markets, Editorial board member (2018- )
• Journal of Money and Finance, Editor-in-Chief (2019- )

Publications & Research

*Publications *

International Journals

• "Can commodity futures risk factors predict economic growth?," with Kyung Yoon Kwon, Journal of Futures Markets, forthcoming.
• "Can fat-tail create the momentum and reversal?," with Kwangil Bae and Hankil Kang, Applied Economics, 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.
• "Weekly momentum in the commodity futures markets," with Kyung Yoon Kwon and Jaesun Yoon, Finance Research Letters 35 (July, article 101306), 1-8, 2020.
• "Do actively managed mutual funds exploit stock market mispricing?," with Jaeram Lee, Hyunglae Jeon and Changjun Lee, North American Journal of Economics and Finance 53 (July, article 101189), 1-18, 2020.
• "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. (Best Paper Award for the 8th KRX security-derivatives papers)
• "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, 183-222, 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.
• "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, 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.

*Korean Journals *

• "Stock return predictability of the Amihud measure in the Korean stock market and trading volume," with Giho Jung, Korean Journal of Financial Studies, 47:4, 543-577, 2018.
• "The best PIN model in the Korean stock market," with Kyong Shik Eom and Kyung Yoon Kwon, Asian Review of Financial Research, 29:3, 425-436, 2016.
• "Predicting bond excess returns in the Korean market," with Hankil Kang, Soonhee Lee, and Eunmee Lee, Asian Review of Financial research, 28:5, 2015.
• "Does the difference of implied volatility over historical volatility affect ELW returns? A Korean evidence," With Jongho Kang and Soonhee Lee, Korean Journal of Financial Studies, 44:4, 615-636, 2015.
• "Stock market liquidity as a predictor of the real economy," with Jeewon Jang, Asian Review of Financial Research, 28:1, 71-108, 2015.
• "Lottery-like stocks and the cross-section of expected stock returns in the Korean stock market," with Myounghwa Sim, Asian Review of Financial Research, 27:2, 297- 332, 2014.
• "Asymmetric price impacts and the cross-section of stock returns in the Korean stock market," with Myounghwa Sim, Korean Journal of Financial Studies, 43:2, 327-358, 2014.
• "Retail investor sentiment and stock returns," with Kyung Yoon Kwon and Myounghwa Sim, Korean Journal of Financial Management, 30:3, 35-68, 2013.
• "A construction of the Korean stock database and its applications," with Dukhyun Lee, Changjun Lee, and Jejoon Choi, Asian Review of Financial Studies, 26:3, 311-351, 2013.
• "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.

*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.