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/

SCHOLARLY PAPERS

13

DOWNLOADS
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4,032

CITATIONS
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SSRN RANKINGS

Top 3,291

in Total Papers Citations

167

Scholarly Papers (13)

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
Cornell University - Johnson Graduate School of Management, Seoul National University Business School and Erasmus University - Rotterdam School of Management
Downloads 1,051 (14,313)
Citation 29

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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
Tuck School of Business at Dartmouth College, Seoul National University Business School and The Ohio State University - Fisher College of Business
Downloads 780 (24,309)
Citation 26

Abstract:

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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
Tuck School of Business at Dartmouth College, Seoul National University Business School and The Ohio State University - Fisher College of Business
Downloads 674 (29,556)
Citation 59

Abstract:

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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 455 (52,729)
Citation 25

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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
Queen's School of Business, Cornell University - Johnson Graduate School of Management and Seoul National University Business School
Downloads 315 (69,543)
Citation 3

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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 214 (100,809)

Abstract:

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

7.

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, Board of Governors of the Federal Reserve System and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 59 (226,615)

Abstract:

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

8.

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 37 (318,122)

Abstract:

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

9.

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 27 (370,285)

Abstract:

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short-selling; foreign investor; emerging market; Korean stock 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 19 (338,340)

Abstract:

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

11.

The World Price of Tail Risk

Number of pages: 47 Posted: 02 Aug 2017
Kuan-Hui Lee and Cheol-Won Yang
Seoul National University Business School and Dankook University Business School
Downloads 0 (463,277)
Citation 24

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tail risk, left-tail, international stock markets

12.

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

FRB International Finance Discussion Paper No. 1069
Number of pages: 51 Posted: 30 May 2017
Board of Governors of the Federal Reserve System, Seoul National University Business School, Board of Governors of the Federal Reserve System and Harvard University
Downloads 0 (538,537)
Citation 1

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13.

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
Tuck School of Business at Dartmouth College, Seoul National University Business School and The Ohio State University - Fisher College of Business

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G12, G14