Kuan-Hui Lee

Seoul National University Business School

Associate Professor of Finance

703 LG-bldg, Business School,

Seoul National Univ., 1 Kwanak-Ro, Kwanak-Gu

Seoul , 151-916

Korea, Republic of (South Korea)

http://sites.google.com/site/kuanlee70/

  • Seoul National University Business School

    • Email
    • Tel: +82 2 880-6924
SCHOLARLY PAPERS

14

DOWNLOADS
Rank 18,471

SSRN RANKINGS

Top 18,471

in Total Papers Downloads

5,802

TOTAL CITATIONS
Rank 4,336

SSRN RANKINGS

Top 4,336

in Total Papers Citations

328

Scholarly Papers (14)

Actions:
Email selected abstracts
1.

Understanding Commonality in Liquidity Around the World

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 64 Posted: 13 Sep 2007 Last Revised: 16 Jul 2011
George Andrew Karolyi, Kuan-Hui Lee and Mathijs A. van Dijk
Cornell University - SC Johnson College of Business, Seoul National University Business School and Erasmus University Rotterdam (EUR)
Downloads 1,429 (29,400)
Citation 128

Abstract:

Loading...

Commonality, Liquidity, International markets

2.

Can Short-Sellers Predict Returns? Daily Evidence

EFA 2006 Zurich Meetings, Fisher College of Business Working Paper No. 2007-03-013 and Charles A. Dice Center Working Paper No. 2005-15
Number of pages: 45 Posted: 28 Jul 2005
Karl B. Diether, Kuan-Hui Lee and Ingrid M. Werner
Independent, Seoul National University Business School and The Ohio State University - Fisher College of Business
Downloads 948 (53,107)
Citation 6

Abstract:

Loading...

Short-sales, short-sellers, contrarian, Nasdaq, Reg SHO

3.

It's Sho Time! Short-Sale Price-Tests and Market Quality

Fisher College of Business Working Paper No. 2007-03-002, Charles A. Dice Center WP No. 2006-13
Number of pages: 45 Posted: 22 Jun 2006
Karl B. Diether, Kuan-Hui Lee and Ingrid M. Werner
Independent, Seoul National University Business School and The Ohio State University - Fisher College of Business
Downloads 843 (62,527)
Citation 94

Abstract:

Loading...

Short-sales, SEC, Regulation, Market Quality, NYSE, Nasdaq

4.

The World Price of Liquidity Risk

Published at the Journal of Financial Economics 2011, 99, 136-161
Number of pages: 52 Posted: 12 May 2009 Last Revised: 04 Jul 2012
Kuan-Hui Lee
Seoul National University Business School
Downloads 721 (76,781)
Citation 66

Abstract:

Loading...

asset pricing, international finance, liquidity-adjusted capital asset pricing model, liquidity, liquidity risk, commonality in liquidity, market integration, market segmentation, mildly-segmented market, zero return, emerging market, developed market

5.

The Dynamic Volume-Return Relationship of Individual Stocks: The International Evidence

AFA 2008 New Orleans Meetings Paper
Number of pages: 36 Posted: 08 Mar 2007
Louis Gagnon, George Andrew Karolyi and Kuan-Hui Lee
Queen's University - Smith School of Business, Cornell University - SC Johnson College of Business and Seoul National University Business School
Downloads 448 (139,101)
Citation 5

Abstract:

Loading...

Information, Volume, Volume-return relation, Information asymmetry, International finance, International markets

6.

Pricing of Liquidity Risks: Evidence from Multiple Liquidity Measures

Published at the Journal of Empirical Finance, Vol. 25, 112-133, 2014
Number of pages: 45 Posted: 25 Dec 2011 Last Revised: 05 Mar 2014
Soon-Ho Kim and Kuan-Hui Lee
Korea University Business School (KUBS) and Seoul National University Business School
Downloads 373 (171,335)
Citation 9

Abstract:

Loading...

liquidity, liquidity-adjusted capital asset pricing model, liquidity measure, principal component analysis

7.

The World Price of Tail Risk

Number of pages: 60 Posted: 02 Aug 2017 Last Revised: 10 Feb 2020
Kuan-Hui Lee and Cheol-Won Yang
Seoul National University Business School and Dankook University Business School
Downloads 269 (243,097)

Abstract:

Loading...

tail risk, left-tail, globalization, international stock markets, risk appetite

8.

U.S. Monetary Policy Transmission and Liquidity Risk Premia Around the World

Number of pages: 51 Posted: 12 Jun 2019
George Andrew Karolyi, Kuan-Hui Lee and Mathijs A. van Dijk
Cornell University - SC Johnson College of Business, Seoul National University Business School and Erasmus University Rotterdam (EUR)
Downloads 216 (301,710)
Citation 2

Abstract:

Loading...

Monetary policy, liquidity risk premia, cross-border bank credit, portfolio flows

9.

Sovereign Debt Ratings and Stock Liquidity Around the World

Published: Journal of Banking & Finance 73, 99-112, 2016
Number of pages: 49 Posted: 02 Dec 2013 Last Revised: 10 Feb 2017
Kuan-Hui Lee, Horacio Sapriza and Yangru Wu
Seoul National University Business School, Federal Reserve Banks - Federal Reserve Bank of Richmond and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 156 (404,554)

Abstract:

Loading...

sovereign bond; credit rating; liquidity; emerging market; developed market; international financial market

10.

Do Individual Investors Make Money? Evidence from Proprietary Short-Selling Account Data in Korea

Number of pages: 53 Posted: 12 Sep 2014 Last Revised: 15 Sep 2014
Kuan-Hui Lee, Shu-Feng Wang and Min-Cheol Woo
Seoul National University Business School, National Central University, Department of Finance and Korea Exchange (KRX)
Downloads 116 (512,122)
Citation 6

Abstract:

Loading...

Short-selling; short cover; individual investor; emerging market; Korean stock market

11.

Do Foreign Short-Sellers Predict Stock Returns? Evidence from Daily Short-Selling in Korean Stock Market

Pacific-Basin Finance Journal 32, 56-75, 2015
Number of pages: 39 Posted: 19 Apr 2014 Last Revised: 16 Feb 2017
Kuan-Hui Lee and Shu-Feng Wang
Seoul National University Business School and National Central University, Department of Finance
Downloads 116 (512,122)
Citation 6

Abstract:

Loading...

short-selling; foreign investor; emerging market; Korean stock market

12.

Short-Selling with a Short Wait: Trade- and Account-Level Analyses in Korean Stock Market

Published: Pacific-Basin Finance Journal 38, 209-222, 2016
Number of pages: 38 Posted: 14 Feb 2015 Last Revised: 10 Feb 2017
Kuan-Hui Lee and Shu-Feng Wang
Seoul National University Business School and National Central University, Department of Finance
Downloads 115 (515,506)

Abstract:

Loading...

Short selling; short cover; day trading; individual investor; emerging market; Korean stock market

13.

Sovereign Credit Risk, Banks' Government Support, and Bank Stock Returns Around the World

International Finance Discussion Paper No. 1069
Number of pages: 51 Posted: 30 May 2017 Last Revised: 23 Aug 2021
Ricardo Correa, Kuan-Hui Lee, Horacio Sapriza and Gustavo A. Suarez
Board of Governors of the Federal Reserve System, Seoul National University Business School, Federal Reserve Banks - Federal Reserve Bank of Richmond and Harvard University
Downloads 52 (821,678)
Citation 6

Abstract:

Loading...

14.

Short-Sale Strategies and Return Predictability

The Review of Financial Studies, Vol. 22, No. 2, pp. 575-607, 2009
Posted: 25 Jan 2009
Karl B. Diether, Kuan-Hui Lee and Ingrid M. Werner
Independent, Seoul National University Business School and The Ohio State University - Fisher College of Business

Abstract:

Loading...

G12, G14