Jaewon Choi - Research

Published or Accepted Papers

“The Volatility of a Firm’s Assets and the Leverage Effect” with Matthew Richardson. Forthcoming, Journal of Financial Economics Link to the SSRN Page

  • This paper also provides the asset pricing tests of cross-sectional (unlevered) asset returns, thus subsuming the results of my old working paper, "Back to Basics: Impact of Financial Leverage on Asset Pricing."

  • Online Appendix

  • Download the asset volatility data used in this paper.

“What Drives the Value Premium: The Role of Asset Risk and Leverage”, Review of Financial Studies, November 2013 Link to the SSRN Page

  • Online Appendix

  • For the construction of firms' asset returns to estimate asset betas and volatility, see the data section (and also appendix) of this paper.

“Credit Risk Model with Lagged Information”, Journal of Derivatives, Winter 2008 Link to the PDF File

  • This paper is my master's thesis at Princeton University.

Working Papers

“Reaching for Yield by Corporate Bond Mutual Funds” with Mathias Kronlund. Link to the SSRN Page

“Corporate Debt Maturity Profile” with Dirk Hackbarth and Josef Zechner. Link to the SSRN Page

“Did Liquidity Providers Become Liquidity Seekers?: Evidence from the CDS-Bond Basis during the 2008 Financial Crisis” with Or Shachar. Link to the SSRN Page

“Anomalies in the Joint Cross Section of Equity and Corporate Bond Returns” with Yongjun Kim. Link to the SSRN Page

  • Outstanding Paper Award, Midwest Finance Association

“On the Fundamental Relation Between Equity Returns and Interest Rates” with Matthew Richardson and Robert Whitelaw. Link to the SSRN Page

“The False Consensus Effect and Trading around Earnings Announcements” with Jared Williams. Link to the SSRN Page

“Rethinking the Conditional CAPM: The Impact of Financial Leverage” Link to the SSRN Page

Work in Progress

“Temporal Profiles of Cash Flows”