Jaewon Choi - Research

Published or Accepted Papers

“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 based on my master's thesis at Princeton University.

Working Papers

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

  • Revise and Resubmit, Journal of Financial Economics

“The Volatility of Firms’ Assets and the Leverage Effect” with Matthew Richardson. Link to the SSRN Page

  • Revise and Resubmit, Journal of Financial Economics

“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

“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”