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

22

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9,725

SSRN CITATIONS
Rank 7,968

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Top 7,968

in Total Papers Citations

64

CROSSREF CITATIONS

80

Scholarly Papers (22)

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 1,756 (10,018)
Citation 18

Abstract:

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

2.
Downloads 1,417 ( 14,080)
Citation 16

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 1,417 (13,806)
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 7
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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 1,196 (18,245)
Citation 10

Abstract:

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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 649 (43,408)
Citation 11

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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 618 (46,287)
Citation 8

Abstract:

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

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 491 (61,381)
Citation 2

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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 62 (383,943)

Abstract:

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

7.

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 University of Illinois at Urbana-Champaign
Downloads 526 (56,905)
Citation 14

Abstract:

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

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 385 (82,304)
Citation 9

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 132 (235,536)
Citation 7

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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 489 (61,714)

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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 25 (547,988)

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10.

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 491 (62,030)
Citation 5

Abstract:

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Corporate Bond Mutual Funds; Liquidity Management; Asset Fire Sales

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 230 (143,954)

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

12.

Sitting Bucks: Zero Returns in Fixed Income Funds

Number of pages: 85 Posted: 23 Sep 2018 Last Revised: 25 Feb 2020
University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign and Hanyang University
Downloads 229 (145,022)
Citation 2

Abstract:

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

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 211 (156,766)
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: 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 200 (165,582)
Citation 3

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

15.

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 155 (206,127)

Abstract:

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

16.

Reaching for Yield and Bond Returns

Number of pages: 67 Posted: 16 Aug 2018 Last Revised: 17 Jun 2020
Qianwen Chen and Jaewon Choi
Shanghai University of Finance and Economics and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 152 (209,579)
Citation 1

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Reaching for yield; Cross-sectional corporate bond returns; Credit rating

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 - Department of Finance
Downloads 102 (282,952)
Citation 2

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18.
Downloads 94 (298,364)
Citation 1

Bond Funds and Credit Risk

European Corporate Governance Institute – Finance Working Paper No. 639/2019
Number of pages: 58 Posted: 25 Nov 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 94 (300,599)
Citation 1

Abstract:

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fund flows, flow fragility, career 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

19.

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

Number of pages: 53 Posted: 18 Feb 2020 Last Revised: 19 Mar 2020
University of Illinois at Urbana-Champaign - Department of Finance, Swedish House of Finance, Aalto University - Department of Finance and University College London - Department of Economics
Downloads 54 (404,893)

Abstract:

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

20.

Active Share and Bond Mutual Funds

Number of pages: 51 Posted: 01 Apr 2020
University of Illinois at Urbana-Champaign - Department of Finance, University of Notre Dame and University of Arkansas - Department of Finance
Downloads 36 (475,279)
Citation 1

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

21.

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 25 (531,958)

Abstract:

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Systemic Risk, Network Analysis, Korean Economy

22.

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