Sang Baum Kang

Illinois Institute of Technology - Stuart School of Business

Assistant Professor of Finance

565 W Adams St

Room 454

Chicago, IL

United States

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 49,623

in Total Papers Downloads

962

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (8)

1.

Commodity Variance Risk Premia and Expected Futures Returns: Evidence from the Crude Oil Market

Number of pages: 58 Posted: 24 Jul 2013 Last Revised: 13 Aug 2015
Sang Baum Kang and Xuhui (Nick) Pan
Illinois Institute of Technology - Stuart School of Business and University of Oklahoma
Downloads 421 (78,099)
Citation 2

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Mean-Variance; Variance Risk Premia; Futures Return; Predictability; Crude Oil

2.

Investors’ Reaction to the Government Credibility Problem: A Real Option Analysis of Emission Permit Policy Risk

Number of pages: 44 Posted: 26 Jan 2012 Last Revised: 03 Sep 2015
Sang Baum Kang and Pascal Letourneau
Illinois Institute of Technology - Stuart School of Business and University of Wisconsin - Whitewater
Downloads 282 (122,350)
Citation 2

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government credibility, climate change policy, emission trading, real option, compound option, least squares Monte-Carlo simulation

3.

Co-Simulation of Risk Factors in Power Markets

Number of pages: 18 Posted: 06 Jun 2015
Jialin Zhao and Sang Baum Kang
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology - Stuart School of Business
Downloads 164 (204,362)
Citation 3

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Co-simulation, temperature, electricity load, electricity prices

4.

The Incremental Expected Shortfall-Based Pricing: Application to a Cost-Effective Hedge of an Electricity Price-Volume Quanto Risk

Number of pages: 35 Posted: 14 Mar 2016
Sang Baum Kang, Michael Ong and Jialin Zhao
Illinois Institute of Technology - Stuart School of Business, Michael K. Ong Risk Advisory and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 52 (427,432)

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Hedging Evaluation, Quanto Contracts, Financial Risk Management

5.

Do the Basis and Other Predictors of Futures Return Also Predict Spot Return with the Same Signs and Magnitudes? Evidence from the LME

Number of pages: 87 Posted: 28 Jan 2019 Last Revised: 14 Sep 2019
Jian Jia and Sang Baum Kang
Illinois Institute of Technology - Stuart School of Business and Illinois Institute of Technology - Stuart School of Business
Downloads 42 (466,581)

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futures return predictability, spot return predictability, basis, commodity, industrial metal

6.

A New Approach to Evaluating the Cost-Efficiency of Complex Hedging Strategies: An Application to Electricity Price–Volume Quanto Contracts

Journal of Energy Markets, Vol. 12, No. 3, 2019
Number of pages: 27 Posted: 24 Sep 2019
Sang Baum Kang, Michael Ong and Jialin Zhao
Illinois Institute of Technology - Stuart School of Business, Michael K. Ong Risk Advisory and Saint Mary's University of San Antonio
Downloads 1 (727,479)
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electricity market, hedging evaluation, quanto contracts, financial risk management, cost-efficiency

7.

A Real Option Analysis on Retiring Existing Coal-Fired Electricity Plants in the United States

Journal of Energy Markets, Forthcoming
Number of pages: 20 Posted: 16 Oct 2018
Sang Baum Kang, Pascal Letourneau and Steve X. Sala
Illinois Institute of Technology - Stuart School of Business, University of Wisconsin - Whitewater and Bank of America - Bank of America Merrill Lynch
Downloads 0 (745,513)
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coal plant, natural gas plant, emission market, real option, green policy

8.

A New Explanation for Call Option Overpricing: Theory and Empirical Evidence

Posted: 30 Nov 2011 Last Revised: 18 Aug 2013
Sang Baum Kang
Illinois Institute of Technology - Stuart School of Business

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call option, mispricing, stochastic dominance bounds, heterogeneity in beliefs