Jangkoo Kang

College of Business, Korea Advanced Institute of Science and Technology (KAIST)

85 Hoegiro, Dongdaemoon-gu

Seoul 02455

Korea, Republic of (South Korea)

  • College of Business, Korea Advanced Institute of Science and Technology (KAIST)

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    • Tel: +82 2 958 3521
SCHOLARLY PAPERS

10

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14

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1

Scholarly Papers (10)

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1.

Macroeconomic Risk and the Cross-Section of Stock Returns

Downloads 686 (59,421)
Citation 1

Macroeconomic Risk and the Cross-Section of Stock Returns

Journal of Banking and Finance, Vol. 35, No. 12, 2011
Number of pages: 54 Posted: 18 Feb 2009 Last Revised: 21 Sep 2014
Jangkoo Kang, Tong Suk Kim, ChangJun Lee and Byoung-Kyu Min
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST), KAIST Business School and Hanyang University
Downloads 378 (121,794)

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Asset pricing, Macroeconomic variable, Stock return predictability, Consumption capital asset pricing model, Value premium

Macroeconomic Risk and the Cross-Section of Stock Returns

KAIST College of Business Working Paper Series No. 2009-003
Number of pages: 57 Posted: 23 Apr 2009
Jangkoo Kang, Tong Suk Kim, ChangJun Lee and Byoung-Kyu Min
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST), KAIST Business School and Hanyang University
Downloads 196 (238,114)
Citation 1

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Asset pricing, macroeconomic variable, stock return predictability, consumption capital asset pricing model, value premium

Macroeconomic Risk and the Cross-Section of Stock Returns

Number of pages: 53 Posted: 19 Mar 2009 Last Revised: 23 Mar 2009
Tong Suk Kim, Jangkoo Kang, Byoung-Kyu Min and ChangJun Lee
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST), Hanyang University and KAIST Business School
Downloads 112 (375,648)

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Asset pricing, Macroeconomic variable, Stock return predictability, Consumption capital asset pricing model, Value premium

2.

An Extended CreditRisk+ Framework for Portfolio Credit Risk Management

Number of pages: 26 Posted: 23 Apr 2014
Chulwoo Han and Jangkoo Kang
Durham University and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 378 (122,769)
Citation 2

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3.

Probability of Price Crashes, Rational Speculative Bubbles, and the Cross-Section of Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 08 Jan 2018 Last Revised: 02 Sep 2018
Jeewon Jang and Jangkoo Kang
Ajou University and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 345 (135,965)
Citation 8

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Price crashes, Overpricing, Anomalies, Institutional investors, Rational speculative bubbles

4.

The Impact of Net Buying Pressure on Implied Volatility: The Learning Hypothesis Versus the Limits of Arbitrage Hypothesis

Number of pages: 54 Posted: 20 Mar 2005
Hyoung-jin Park and Jangkoo Kang
Korea Advanced Institute of Science and Technology (KAIST) and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 319 (147,667)

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Net buying pressure, Implied volatility, The volatility learning hypothesis, The direction learning hypothesis, The limit of arbitrage hypothesis, directional trader

5.

Efficient Value at Risk Estimation for Mortgage-Backed Securities

Number of pages: 31 Posted: 23 Apr 2014
Chulwoo Han, Frank C. Park and Jangkoo Kang
Durham University, Seoul National University and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 280 (169,314)

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6.

Indexing Catastrophe Securities

KAIST College of Business Working Paper Series No. 2008-003
Number of pages: 27 Posted: 01 Feb 2008
S. Hun Seog and Jangkoo Kang
Seoul National University - Business School and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 121 (353,564)

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index, catastrophe (CAT) securities, downside risk, observation costs

7.

PIN, Adjusted PIN, and PSOS: Difference of Opinion in the Korean Stock Market

Asia-Pacific Journal of Financial Studies 46, 2017, 463-490
Number of pages: 40 Posted: 13 Feb 2016 Last Revised: 06 Jul 2017
Kyong Shik Eom, Jangkoo Kang and Kyung Yoon Kwon
CRMR, University of California, Department of Economics, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 72 (492,384)

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PIN, information risk, asset pricing, difference of opinion, individual investor

8.

채권자의 의사결정과정을 반영한 신용스프레드 평가모형에 대한 연구: Merton 모형의 확장을 중심으로 (Bondholders’ Optimal Strategic Behavior and Credit Spreads: Merton Model and Its Extension)

Financial Stability Studies, Vol. 7, No. 2, Korea Deposit Insurance Corporation(KDIC), 2006, pp. 96-136.
Number of pages: 41 Posted: 16 Aug 2017 Last Revised: 10 Jan 2019
Keunho Hwang, Jangkoo Kang and DooJin Ryu
Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Independent
Downloads 25 (740,845)

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Merton 모형, 전략적 행동, 신용스프레드, 청산비용, 유한차분법, Merton model, strategic behavior, credit spread, bankruptcy costs, finite difference method

9.

The Dynamics of Trade and Quote Revisions Across Stock, Futures, and Option Markets

Review of Pacific Basin Financial Markets and Policies, Vol. 11, No. 2, pp. 227-254, 2008
Posted: 21 Oct 2009
Jangkoo Kang and Hyoung-jin Park
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Korea Advanced Institute of Science and Technology (KAIST)

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KOSPI 200 index, futures, options, information, VAR

10.

The Effects of Jump Risks Associated with the Default Rate on Credit Spreads

Posted: 25 Apr 2005
Chang Mo Ahn, Jangkoo Kang and Hwa-Sung Kim
Sejong University - Department of Business Administration and Accounting, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and School of Management, Kyung Hee University

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Jump risks, default rates, credit spreads, default intensity