Researcher Page

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Kim, Tong-Suk (김동석)
교수, School of Management Engineering(경영공학부)
Research Area
Financial Engineering, Pricing Models, Investment
Co-researchers
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    NO Title, Author(s) (Publication Title, Volume Issue, Page, Issue Date)
    1
    Do hedge funds time market tail risk? Evidence from option-implied tail risk

    Shin, Jung-Soon; Kim, Minkiresearcher; Oh, Dongjun; et al, JOURNAL OF FUTURES MARKETS, v.39, no.2, pp.205 - 237, 2019-02

    2
    Dispersion of beliefs, ambiguity, and the cross-section of stock returns

    Lee, Deok-Hyeon; Min, Byoung-Kyu; Kim, Tong Sukresearcher, JOURNAL OF EMPIRICAL FINANCE, v.50, pp.43 - 56, 2019-01

    3
    한국 주식시장에서의 수익성 프리미엄 발생 요인 분석

    김민기; 정진수; 김동석researcher, 재무관리연구, v.35, no.4, pp.69 - 108, 2018-12

    4
    Is stock return predictability of option-implied skewness affected by the market state?

    Kim, Tong Sukresearcher; Park, Heewoo, JOURNAL OF FUTURES MARKETS, v.38, no.9, pp.1024 - 1042, 2018-09

    5
    Macroeconomic Conditions and Credit Default Swap Spread Changes

    Kim, Tong-Sukresearcher; Park, Jae Won; Park, Yuen Jung, JOURNAL OF FUTURES MARKETS, v.37, no.8, pp.766 - 802, 2017-08

    6
    Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama-French factors

    Kang, Byoung Uk; In, Francis; Kim, Tong-Sukresearcher, JOURNAL OF EMPIRICAL FINANCE, v.42, pp.15 - 39, 2017-06

    7
    Systemic risk and cross-sectional hedge fund returns

    Hwang, Inchang; Xu, Simon; In, Francis; et al, JOURNAL OF EMPIRICAL FINANCE, v.42, pp.109 - 130, 2017-06

    8
    Momentum and downside risk

    Min, Byoung-Kyu; Kim, Tong Sukresearcher, JOURNAL OF BANKING & FINANCE, v.72, pp.S104 - S118, 2016-11

    9
    주식형 펀드의 성과와 현금흐름의 볼록성 관계: 순현금흐름과 시장 점유율 변화

    고광수; 하연정; 김동석researcher, 한국증권학회지, v.43, no.5, pp.911 - 936, 2014-12

    10
    Competition of socially responsible and conventional mutual funds and its impact on fund performance

    In, Francis; Kim, Martin; Park, Raphael Jonghyeon; et al, JOURNAL OF BANKING & FINANCE, v.44, pp.160 - 176, 2014-07

    11
    Option-Implied Preference with Model Uncertainty

    Kang, Byung Jin; Kim, Tong Sukresearcher; Lee, Hyo Seob, JOURNAL OF FUTURES MARKETS, v.34, no.6, pp.498 - 515, 2014-06

    12
    The Linkage Between the Options and Credit Default Swap Markets During the Subprime Mortgage Crisis

    Kim, Tong-Sukresearcher; Park, Yuen-Jung; Noh, Jae-Sun, JOURNAL OF FUTURES MARKETS, v.33, no.6, pp.518 - 554, 2013-06

    13
    The Information Content of OTC Individual Put Option Implied Volatility for Credit Default Swap Spreads*

    Park, Yuen-Jung; Kim, Tong-Sukresearcher, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.41, no.4, pp.491 - 516, 2012-08

    14
    Are good-news firms riskier than bad-news firms?

    Min, Byoung-Kyu; Kim, Tong Sukresearcher, JOURNAL OF BANKING & FINANCE, v.36, no.5, pp.1528 - 1535, 2012-05

    15
    Macroeconomic risk and the cross-section of stock returns

    Kang, Jangkooresearcher; Kim, Tong Sukresearcher; Lee, Changjun; et al, JOURNAL OF BANKING FINANCE, v.35, no.12, pp.3158 - 3173, 2011-12

    16
    Information Content of Changes in Index Composition.

    Yun, Jooyoung; Kim, Tong Sukresearcher, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.40, no.2, pp.317 - 346, 2011-04

    17
    Future labor income growth and the cross-section of equity returns

    Kim, Dongcheol; Kim, Tong Sukresearcher; Min, Byoung-Kyu, JOURNAL OF BANKING & FINANCE, v.35, pp.67 - 81, 2011-01

    18
    Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency

    Lee, Jihyun; Kim, Tong Sukresearcher; Lee, Hoe Kyungresearcher, STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, v.15, no.1, 2011

    19
    The effect of changes in index constitution: Evidence from the Korean stock market

    Yun, J.; Kim, Tong Sukresearcher, INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, v.19, no.4, pp.258 - 269, 2010-09

    20
    INFORMATION CONTENT OF VOLATILITY SPREADS

    Kang, BJ; Kim, Tong Sukresearcher; Yoon, SJ, JOURNAL OF FUTURES MARKETS, v.30, no.6, pp.533 - 558, 2010-06

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