Jaewon Choi

University of Illinois at Urbana-Champaign - Department of Finance

Assistant Professor of Finance

1206 South Sixth Street

Champaign, IL 61820

United States

http://https://sites.google.com/site/jaewchoi1203

Yonsei University - School of Business

50 Yonsei-ro, Seodaemun-gu

Seoul, 120-749

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 4,375

SSRN RANKINGS

Top 4,375

in Total Papers Downloads

13,053

SSRN CITATIONS
Rank 5,618

SSRN RANKINGS

Top 5,618

in Total Papers Citations

148

CROSSREF CITATIONS

86

Scholarly Papers (24)

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 1,888 (12,437)
Citation 27

Abstract:

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

2.
Downloads 1,560 ( 16,759)
Citation 21

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 1,560 (16,467)
Citation 3

Abstract:

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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
Downloads 0
Citation 14
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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 1,327 (21,343)
Citation 15

Abstract:

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

Customer Liquidity Provision: Implications for Corporate Bond Transaction Costs

Management Science, forthcoming
Number of pages: 45 Posted: 08 Oct 2016 Last Revised: 14 Jun 2022
Jaewon Choi, Yesol Huh and Sean Seunghun Shin
University of Illinois at Urbana-Champaign - Department of Finance, Board of Governors of the Federal Reserve System and Aalto University - Department of Finance
Downloads 891 (37,430)
Citation 4

Abstract:

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Corporate bond liquidity, Customer Liquidity Provision, Bank regulations and OTC liquidity, Insurer Liquidity Provision

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
Downloads 65 (471,684)
Citation 4

Abstract:

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Bank regulation, Liquidity, corporate bonds, Financial intermediation, Volcker rule

5.

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 760 (47,047)
Citation 22

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

6.

Profitability of Hedge Fund Short Sales: Evidence from Opening and Closing Transactions

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 72 Posted: 24 Jun 2016 Last Revised: 21 Sep 2020
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 744 (48,412)
Citation 10

Abstract:

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

7.

Corporate Bond Mutual Funds and Asset Fire Sales

Number of pages: 59 Posted: 14 Feb 2016 Last Revised: 15 Sep 2019
University of Illinois at Urbana-Champaign - Department of Finance, Suffolk University - Department of Finance, Aalto University - Department of Finance and Boston College - Department of Finance
Downloads 695 (53,033)
Citation 12

Abstract:

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Corporate Bond Mutual Funds; Liquidity Management; Asset Fire Sales

8.

Reaching for Yield in Corporate Bond Mutual Funds

The Review of Financial Studies (2018)
Number of pages: 53 Posted: 20 Nov 2014 Last Revised: 04 Nov 2019
Jaewon Choi and Mathias Kronlund
University of Illinois at Urbana-Champaign - Department of Finance and Tulane University
Downloads 662 (56,431)
Citation 31

Abstract:

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

Capital Structure Priority Effects in Durations, Stock-Bond Comovements and Factor-Pricing Models

Review of Asset Pricing Studies, forthcoming
Number of pages: 78 Posted: 12 Sep 2013 Last Revised: 15 Feb 2022
University of Illinois at Urbana-Champaign - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 562 (68,713)

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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 Last Revised: 28 Feb 2021
University of Illinois at Urbana-Champaign - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 33 (627,837)

Abstract:

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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 416 (98,886)
Citation 11

Abstract:

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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 - Department of Finance
Downloads 164 (251,902)
Citation 9

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11.

Sitting Bucks: Stale Pricing in Fixed Income Funds

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 72 Posted: 23 Sep 2018 Last Revised: 15 Jul 2021
University of Illinois at Urbana-Champaign - Department of Finance, Tulane University and Hanyang University
Downloads 549 (71,578)
Citation 2

Abstract:

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Bond mutual funds, Stale prices, Fund flows, Fund runs

12.
Downloads 408 (102,020)

Bond Funds and Credit Risk

European Corporate Governance Institute – Finance Working Paper No. 639/2019
Number of pages: 81 Posted: 25 Nov 2019 Last Revised: 31 Mar 2022
Jaewon Choi, Amil Dasgupta and Ji Yeol Jimmy Oh
University of Illinois at Urbana-Champaign - Department of Finance, London School of Economics (LSE) and Hanyang University
Downloads 408 (101,174)
Citation 1

Abstract:

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Fund flows, credit risk, flow concerns, bond rollover, default-liquidity loop

Bond Funds and Credit Risk

CEPR Discussion Paper No. DP14134
Number of pages: 55 Posted: 04 Dec 2019
Jaewon Choi, Amil Dasgupta and Ji Yeol Jimmy Oh
University of Illinois at Urbana-Champaign - Department of Finance, London School of Economics (LSE) and Hanyang University
Downloads 0
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bond rollover, career concerns, default-liquidity loop, flow fragility, Fund flows

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 357 (118,694)
Citation 9

Abstract:

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Capital Structure, Debt Structure, Debt Maturity

14.

Mutual Fund Flows and Fluctuations in Credit and Business Cycles

Number of pages: 74 Posted: 17 Aug 2016 Last Revised: 14 Oct 2019
Azi Ben-Rephael, Jaewon Choi and Itay Goldstein
Rutgers Business School - Rutgers University, University of Illinois at Urbana-Champaign - Department of Finance and University of Pennsylvania - The Wharton School - Finance Department
Downloads 328 (130,173)
Citation 4

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

15.

Why Have Actively Managed Bond Funds Remained Popular?

Number of pages: 61 Posted: 01 Apr 2020 Last Revised: 11 Oct 2021
University of Illinois at Urbana-Champaign - Department of Finance, University of Notre Dame and University of Arkansas - Department of Finance
Downloads 321 (133,099)

Abstract:

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Bond, Mutual Funds, Active Management, Active Share, Alpha

16.

Investor Demand, Financial Market Power, and Capital Misallocation

Number of pages: 46 Posted: 23 Nov 2021 Last Revised: 15 Jun 2022
Jaewon Choi, Mahyar Kargar, Xu Tian and Yufeng Wu
University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance, University of Georgia - Terry College of Business - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 282 (153,332)

Abstract:

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investor demand, capital misallocation, demand estimation, financial market power.

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 255 (167,890)

Abstract:

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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

Abstract:

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

18.

The More Illiquid, The More Expensive: A Search-Based Explanation of the Illiquidity Premium

Number of pages: 49 Posted: 18 Feb 2020 Last Revised: 02 Nov 2020
University of Illinois at Urbana-Champaign - Department of Finance, Seoul National University - College of Business Administration, Aalto University - Department of Finance and University College London - Department of Economics
Downloads 237 (180,776)
Citation 1

Abstract:

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OTC market, Liquidity, Flight-from-liquidity, Limits-to-arbitrage, Price pressure, Fire sale

19.

Mutual Fund Flows and Capital Supply in Municipal Financing

Number of pages: 56 Posted: 23 Nov 2021
Duke University, City University of Hong Kong, University of Illinois at Urbana-Champaign - Department of Finance and Hanyang University
Downloads 178 (234,700)

Abstract:

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Municipal bonds, Capital Supply, Bond Funds, Fund flows

20.

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 177 (235,826)

Abstract:

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

21.

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 - Department of Finance
Downloads 136 (292,239)
Citation 10

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22.

Network-Based Measures of Systemic Risk in Korea

Bank of Korea WP 2020-8
Number of pages: 48 Posted: 30 Mar 2020
Jaewon Choi and Jieun Lee
University of Illinois at Urbana-Champaign - Department of Finance and The Bank of Korea
Downloads 52 (516,676)

Abstract:

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Systemic Risk, Network Analysis, Korean Economy

Natural Disasters and Municipal Bonds

NBER Working Paper No. w30280
Number of pages: 53 Posted: 25 Jul 2022 Last Revised: 30 Jul 2022
Yonsei University - School of Business, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois and Analysis Group
Downloads 6 (865,407)
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Natural Disasters and Municipal Bonds

Posted: 30 Dec 2021 Last Revised: 01 Mar 2022
Yonsei University - School of Business, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois and The University of Texas at Austin

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Natural Disasters, Climate Change, Municipal Bonds, Municipal Financing, Repeat Sales

24.

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

Abstract:

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