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Dr. Changki Kim
Korea University

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0 FinTech
0 Insurance
0 Mergers & Acquisitions
0 Risk Management

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Journal article
Published: 13 August 2020 in Journal of Derivatives and Quantitative Studies: 선물연구
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This paper aims to show that information asymmetry plays a vital role in the post-M&A performance-time until deal completion nexus. The findings are that the due diligence hypothesis and the overdue hypothesis proposed and tested in Thompson and Kim (2020) are influenced by the information asymmetry of the target during the negotiation process. Thus, mergers that involve more opaque targets that take a shorter time to close perform better, whereas those that take too long to close experience poor post-M&A performance. Conversely, there is no such effect when the mergers involve targets that are transparent and not plagued with large information asymmetry problems. These results hold for the short-term supporting the evidence that information asymmetry problems are severe before the merger is consummated and become attenuated post-merger.

ACS Style

Ephraim Kwashie Thompson; Changki Kim. Information asymmetry, time until deal completion and post-M&A performance. Journal of Derivatives and Quantitative Studies: 선물연구 2020, 28, 123 -140.

AMA Style

Ephraim Kwashie Thompson, Changki Kim. Information asymmetry, time until deal completion and post-M&A performance. Journal of Derivatives and Quantitative Studies: 선물연구. 2020; 28 (3):123-140.

Chicago/Turabian Style

Ephraim Kwashie Thompson; Changki Kim. 2020. "Information asymmetry, time until deal completion and post-M&A performance." Journal of Derivatives and Quantitative Studies: 선물연구 28, no. 3: 123-140.

Journal article
Published: 08 April 2020 in Sustainability
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Firm values change substantially between deal announcement and closing, risking renegotiation or termination. For deals that eventually close, does waiting longer to close benefit the acquirer post-M&A? We investigate whether the time that elapses until deal completion is an indicator of post-M&A performance and failure. We find that deals taking an optimum time to implement perform better, supporting the due diligence hypothesis, while taking too long to close is an indication of poor post-M&A performance and subsequent failure, supporting the overdue hypothesis.

ACS Style

Ephraim Kwashie Thompson; Changki Kim. Post-M&A Performance and Failure: Implications of Time until Deal Completion. Sustainability 2020, 12, 2999 .

AMA Style

Ephraim Kwashie Thompson, Changki Kim. Post-M&A Performance and Failure: Implications of Time until Deal Completion. Sustainability. 2020; 12 (7):2999.

Chicago/Turabian Style

Ephraim Kwashie Thompson; Changki Kim. 2020. "Post-M&A Performance and Failure: Implications of Time until Deal Completion." Sustainability 12, no. 7: 2999.

Journal article
Published: 31 March 2018 in Communications for Statistical Applications and Methods
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ACS Style

Woojoo Lee; Yang Ho Choi; Changki Kim; Jae Youn Ahn. A case study for intercontinental comparison of herd behavior in global stock markets. Communications for Statistical Applications and Methods 2018, 25, 185 -197.

AMA Style

Woojoo Lee, Yang Ho Choi, Changki Kim, Jae Youn Ahn. A case study for intercontinental comparison of herd behavior in global stock markets. Communications for Statistical Applications and Methods. 2018; 25 (2):185-197.

Chicago/Turabian Style

Woojoo Lee; Yang Ho Choi; Changki Kim; Jae Youn Ahn. 2018. "A case study for intercontinental comparison of herd behavior in global stock markets." Communications for Statistical Applications and Methods 25, no. 2: 185-197.

Journal article
Published: 24 February 2015 in Journal of Risk and Insurance
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This article presents an optimal portfolio balancing strategy for a pension fund manager in the presence of fixed and proportional transaction costs with respect to stock trades and changes in net contribution. An analytic solution to the one‐period problem is presented and a heuristic method for a multiperiod problem is developed. For reasonably calibrated parameters, we find that our numerical results explain the actual asset allocation schemes of some internationally renowned pension funds. Moreover, we show that net contribution and liquidity have significant impacts on the optimal asset allocation of a pension fund.

ACS Style

Changhui Choi; Bong-Gyu Jang; Changki Kim; Sang-Youn Roh. Net Contribution, Liquidity, and Optimal Pension Management. Journal of Risk and Insurance 2015, 83, 913 -948.

AMA Style

Changhui Choi, Bong-Gyu Jang, Changki Kim, Sang-Youn Roh. Net Contribution, Liquidity, and Optimal Pension Management. Journal of Risk and Insurance. 2015; 83 (4):913-948.

Chicago/Turabian Style

Changhui Choi; Bong-Gyu Jang; Changki Kim; Sang-Youn Roh. 2015. "Net Contribution, Liquidity, and Optimal Pension Management." Journal of Risk and Insurance 83, no. 4: 913-948.

Journal article
Published: 01 January 2014 in Asia-Pacific Journal of Risk and Insurance
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ACS Style

Changki Kim; Seungyoung Jung; Eyunghee Kim. Farmland-based Reverse Mortgages for Aged Farmers. Asia-Pacific Journal of Risk and Insurance 2014, 8, 1 .

AMA Style

Changki Kim, Seungyoung Jung, Eyunghee Kim. Farmland-based Reverse Mortgages for Aged Farmers. Asia-Pacific Journal of Risk and Insurance. 2014; 8 (2):1.

Chicago/Turabian Style

Changki Kim; Seungyoung Jung; Eyunghee Kim. 2014. "Farmland-based Reverse Mortgages for Aged Farmers." Asia-Pacific Journal of Risk and Insurance 8, no. 2: 1.

Journal article
Published: 26 November 2013 in Journal of Futures Markets
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ACS Style

Bong-Gyu Jang; Changki Kim; Kyeong Tae Kim; Seungkyu Lee; Dong-Hoon Shin. Psychological Barriers and Option Pricing. Journal of Futures Markets 2013, 1 .

AMA Style

Bong-Gyu Jang, Changki Kim, Kyeong Tae Kim, Seungkyu Lee, Dong-Hoon Shin. Psychological Barriers and Option Pricing. Journal of Futures Markets. 2013; ():1.

Chicago/Turabian Style

Bong-Gyu Jang; Changki Kim; Kyeong Tae Kim; Seungkyu Lee; Dong-Hoon Shin. 2013. "Psychological Barriers and Option Pricing." Journal of Futures Markets , no. : 1.

Preprint
Published: 01 January 2013 in SSRN Electronic Journal
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ACS Style

Changhui Choi; Bong-Gyu Jang; Changki Kim; Sang-Youn Roh. Net Contribution, Liquidity, and Optimal Pension Management. SSRN Electronic Journal 2013, 1 .

AMA Style

Changhui Choi, Bong-Gyu Jang, Changki Kim, Sang-Youn Roh. Net Contribution, Liquidity, and Optimal Pension Management. SSRN Electronic Journal. 2013; ():1.

Chicago/Turabian Style

Changhui Choi; Bong-Gyu Jang; Changki Kim; Sang-Youn Roh. 2013. "Net Contribution, Liquidity, and Optimal Pension Management." SSRN Electronic Journal , no. : 1.

Preprint
Published: 01 January 2012 in SSRN Electronic Journal
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Psychological barriers are prevalent among various asset classes, and it is important to consider their impact on the prices of derivative securities. This paper demonstrates the potential existence of such barriers on the S&P 500 Index and examines their impact on this index's rate of return and volatility. It focuses on deriving analytic European option prices under the assumption that the dynamics of stock prices follow a threshold model; this paper also evaluates this model's empirical performance relative to the Black-Scholes and constant elasticity of variance (CEV) models. The in-sample calibration result of the threshold model is found to be superior. Furthermore, it is found that the model provides an efficient hedging method in terms of dollar-value hedging errors.

ACS Style

Bong-Gyu Jang; Changki Kim; Kyeong Tae Kim; Seungkyu Lee; Ng-Hoon Shin. Psychological Barriers and Option Pricing. SSRN Electronic Journal 2012, 1 .

AMA Style

Bong-Gyu Jang, Changki Kim, Kyeong Tae Kim, Seungkyu Lee, Ng-Hoon Shin. Psychological Barriers and Option Pricing. SSRN Electronic Journal. 2012; ():1.

Chicago/Turabian Style

Bong-Gyu Jang; Changki Kim; Kyeong Tae Kim; Seungkyu Lee; Ng-Hoon Shin. 2012. "Psychological Barriers and Option Pricing." SSRN Electronic Journal , no. : 1.

Journal article
Published: 14 September 2010 in Journal of Risk and Insurance
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Securitizations that transfer risk to the financial markets are a potential solution to longevity risk in the annuity business. The classical Lee–Carter model is applied to generate the future stochastic survival distribution. A method to design inverse survivor bonds using percentile tranches and to calculate the security prices is presented. The percentile tranche method is a simple and practical way for the issuer to design and price the security. This method can serve to identify the risk–yield relationship, which can provide investors with clear insight regarding the appropriate choice of tranches.

ACS Style

Changki Kim; Yangho Choi. Securitization of Longevity Risk Using Percentile Tranching. Journal of Risk and Insurance 2010, 78, 885 -906.

AMA Style

Changki Kim, Yangho Choi. Securitization of Longevity Risk Using Percentile Tranching. Journal of Risk and Insurance. 2010; 78 (4):885-906.

Chicago/Turabian Style

Changki Kim; Yangho Choi. 2010. "Securitization of Longevity Risk Using Percentile Tranching." Journal of Risk and Insurance 78, no. 4: 885-906.