Jaewon Choi

University of Illinois at Urbana-Champaign - Department of Finance

Assistant Professor of Finance

1206 South Sixth Street

Champaign, IL 61820

United States

SCHOLARLY PAPERS

18

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CITATIONS
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66

Scholarly Papers (18)

1.

The Volatility of a Firm's Assets and the Leverage Effect

AFA 2010 Atlanta Meetings Paper
Number of pages: 64 Posted: 14 Mar 2009 Last Revised: 03 Sep 2015
Jaewon Choi and Matthew P. Richardson
University of Illinois at Urbana-Champaign - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,715 (9,257)
Citation 10

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time-varying volatility, firm's assets, leverage, feedback effect

2.
Downloads 1,337 ( 13,807)
Citation 10

Corporate Debt Maturity Profiles

Number of pages: 45 Posted: 30 Nov 2011 Last Revised: 30 Aug 2017
Jaewon Choi, Dirk Hackbarth and Josef Zechner
University of Illinois at Urbana-Champaign - Department of Finance, Boston University - Department of Finance & Economics and Vienna University of Economics and Business
Downloads 1,337 (13,518)
Citation 3

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Capital Structure, Debt Structure, Debt Maturity

Corporate Debt Maturity Profiles

CEPR Discussion Paper No. DP12289
Number of pages: 48 Posted: 11 Sep 2017
Jaewon Choi, Dirk Hackbarth and Josef Zechner
University of Illinois at Urbana-Champaign - Department of Finance, Boston University - Department of Finance & Economics and Vienna University of Economics and Business
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Capital Structure, Debt Maturity, Debt Structure

3.

What Drives the Value Premium?: The Role of Asset Risk and Leverage

Fifth Singapore International Conference on Finance 2011
Number of pages: 47 Posted: 10 Jun 2009 Last Revised: 21 Apr 2014
Jaewon Choi
University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,158 (17,218)
Citation 2

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Value Premium, CAPM, Asset Risk, Asset Beta, Leverage, Trade-off Theory

4.

Anomalies and Market (Dis)Integration

Journal of Monetary Economics, Forthcoming
Number of pages: 48 Posted: 22 Mar 2014 Last Revised: 21 Jun 2018
Jaewon Choi and Yongjun Kim
University of Illinois at Urbana-Champaign - Department of Finance and University of Seoul
Downloads 625 (41,241)
Citation 1

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Market Integration, Cross-sectional Returns, Corporate Bonds, Investor Sentiment

5.

A First Glimpse into the Short Side of Hedge Funds

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 65 Posted: 24 Jun 2016 Last Revised: 20 Mar 2017
University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and The Brattle Group
Downloads 564 (47,240)
Citation 5

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Hedge funds, short sale profitability, short sales, institutional investors

On the Interest Rate Sensitivity of Corporate Securities

Number of pages: 52 Posted: 12 Sep 2013 Last Revised: 17 Oct 2018
University of Illinois at Urbana-Champaign - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 476 (57,890)

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On the Fundamental Relation between Equity Returns and Interest Rates

NBER Working Paper No. w20187
Number of pages: 51 Posted: 11 Jun 2014
University of Illinois at Urbana-Champaign - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 22 (523,682)

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Did Liquidity Providers Become Liquidity Seekers? Evidence from the CDS-Bond Basis during the 2008 Financial Crisis

FRB of New York Staff Report No. 650
Number of pages: 49 Posted: 24 Oct 2013 Last Revised: 23 Dec 2014
Jaewon Choi and Or Shachar
University of Illinois at Urbana-Champaign - Department of Finance and Federal Reserve Bank of New York
Downloads 369 (78,675)
Citation 5

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CDS-bond basis, limits to arbitrage, Volcker rule, credit default swaps, liquidity, corporate bonds

Dealer Liquidity Provision and the Breakdown of the Law of One Price: Evidence from the CDS-Bond Basis

Number of pages: 55 Posted: 18 Mar 2016 Last Revised: 27 Jan 2018
Jaewon Choi, Or Shachar and Sean Seunghun Shin
University of Illinois at Urbana-Champaign - Department of Finance, Federal Reserve Bank of New York and Aalto University
Downloads 118 (235,602)
Citation 8

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8.

Reaching for Yield in Corporate Bond Mutual Funds

The Review of Financial Studies (2017)
Number of pages: 53 Posted: 20 Nov 2014 Last Revised: 18 Apr 2018
Jaewon Choi and Mathias Kronlund
University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign
Downloads 464 (60,379)
Citation 2

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Reaching for yield, risk taking, corporate bonds, mutual funds, investment grade, high yield

Customer Liquidity Provision: Implications for Corporate Bond Transaction Costs

Number of pages: 49 Posted: 08 Oct 2016 Last Revised: 09 Aug 2019
Jaewon Choi and Yesol Huh
University of Illinois at Urbana-Champaign - Department of Finance and Board of Governors of the Federal Reserve System - Division of Research and Statistics
Downloads 403 (70,985)
Citation 3

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Corporate bond liquidity, Volcker Rule, Capital regulation, Bank regulations, Financial intermediation

Customer Liquidity Provision: Implications for Corporate Bond Transaction Costs

FEDS Working Paper No. 2017-116
Number of pages: 56 Posted: 05 Dec 2017
Jaewon Choi and Yesol Huh
University of Illinois at Urbana-Champaign - Department of Finance and Board of Governors of the Federal Reserve System - Division of Research and Statistics
Downloads 59 (362,392)

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Bank regulation, Liquidity, Corporate bond, Financial intermediation, Volcker rule

10.

Liquidity-Sensitive Trading and Corporate Bond Fund Fire Sales

Number of pages: 57 Posted: 14 Feb 2016 Last Revised: 31 Jul 2018
Jaewon Choi and Sean Seunghun Shin
University of Illinois at Urbana-Champaign - Department of Finance and Aalto University
Downloads 330 (90,207)
Citation 3

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Corporate Bond Fire Sales, Flow-Induced Trading, Corporate Bond Funds, Financial Stability

Asymmetric Learning from Prices and Post-Earnings Announcement Drift

Number of pages: 77 Posted: 20 Nov 2013 Last Revised: 24 Sep 2018
Jaewon Choi, Linh Le and Jared Williams
University of Illinois at Urbana-Champaign - Department of Finance, University of South Florida and University of South Florida
Downloads 207 (145,718)

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Post-Earnings Announcement Drift, Learning from Price, False Consensus Effect, Market Undereaction

Asymmetric Learning from Prices and Post-Earnings-Announcement Drift

Contemporary Accounting Research, Forthcoming
Posted: 20 Feb 2019
Jaewon Choi, Linh Le and Jared Williams
University of Illinois at Urbana-Champaign - Department of Finance, University of South Florida and University of South Florida

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Post-Earnings-Announcement Drift, Learning from Price, Market Underreaction

12.

Credit Risk Model with Lagged Information

Number of pages: 21 Posted: 17 Mar 2012
Jaewon Choi
University of Illinois at Urbana-Champaign - Department of Finance
Downloads 149 (195,265)

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credit risk, information lag, structural model, capital structure, credit spread

13.

Granularity of Corporate Debt

Number of pages: 46 Posted: 20 Oct 2017 Last Revised: 25 Oct 2017
Jaewon Choi, Dirk Hackbarth and Josef Zechner
University of Illinois at Urbana-Champaign - Department of Finance, Boston University - Department of Finance & Economics and Vienna University of Economics and Business
Downloads 148 (196,363)
Citation 6

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Capital Structure, Debt Structure, Debt Maturity

14.

Mutual Fund Flows and Fluctuations in Credit and Business Cycles

Number of pages: 70 Posted: 17 Aug 2016 Last Revised: 10 Sep 2018
Azi Ben-Rephael, Jaewon Choi and Itay Goldstein
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, University of Illinois at Urbana-Champaign - Department of Finance and University of Pennsylvania - The Wharton School - Finance Department
Downloads 147 (197,399)
Citation 2

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Credit Cycle, Business Cycle, Mutual Fund Flows, High-Yield Bonds, Investor Demand, Leading Indicator

15.

Sitting Bucks: Zero Returns in Fixed Income Funds

Number of pages: 70 Posted: 23 Sep 2018 Last Revised: 29 May 2019
University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign and Hanyang University
Downloads 114 (240,393)

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Fixed income mutual funds, Stale prices, Fund flows, Fund runs

16.

Reaching for Yield and Overpricing in Bonds

Number of pages: 57 Posted: 16 Aug 2018 Last Revised: 17 Mar 2019
Qianwen Chen and Jaewon Choi
Shanghai University of Finance and Economics and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 110 (246,580)

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Reaching for yield, Credit rating, Overpricing in Corporate Bonds

17.

Dealer Liquidity Provision and the Breakdown of the Law of One Price: Evidence from the CDS-Bond Basis

Management Science, Forthcoming
Number of pages: 55 Posted: 16 Jan 2018
Jaewon Choi, Or Shachar and Sean Seunghun Shin
University of Illinois at Urbana-Champaign - Department of Finance, Federal Reserve Bank of New York and Aalto University
Downloads 81 (300,945)
Citation 1

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18.

Rethinking the Conditional CAPM: The Impact of Financial Leverage

Posted: 09 Aug 2009 Last Revised: 27 Jan 2018
Jaewon Choi
University of Illinois at Urbana-Champaign - Department of Finance

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Conditional CAPM, Value Premium, Firm's Assets, Beta, Leverage