Kehluh Wang
Professor, Institute of Finance, National Chiao Tung University, Taiwan.
Research interests: risk management, performance evaluation.
Education:
- BS (physics), National Taiwan University.
- MBA, National Chengchi University.
- Ph.D. (finance), Northwestern University.
Journal publications:
1. K. Wang, Y. Chen and S. Huang (2011). "The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach", International Review of Economics and Finance, forthcoming.
2. H. Chen, C. Lee, T. Tai and K. Wang (2010). "Fiscal and Monetary Policies in Reaction to the Financial Tsunami by Taiwanese Government", Review of Pacific Basin Financial Markets and Policies, forthcoming.
3. K. Wang and S. Huang (2010). "Using Fast Adaptive Neural Network Classifier for Mutual Fund Performance Evaluation", Expert Systems with Applications, 37, pp. 6007-6011.
4. D. Hwang, F. Shie, K. Wang, J. Lin (2009/10). "The pricing of deposit insurance considering bankruptcy costs and closure policies", Journal of Banking and Finance, Vol.33, Issue 10, October, 2009, pp.1909-1919.
5. Y. Chen, K. Wang, A.H. Tu (2009/9). "Default correlation at the sovereign level: Evidence from Latin American markets", Applied Economics, 2009/9/29, pp. 1-13.
6. C. Lee, K. Wang and Y.L. Chen (2009/12). "Hedging and Optimal Hedge Ratios for International Index Futures Markets", Review of Pacific Basin Financial Markets and Policies, Vol.12, No.4.
7. K. Lo, K. Wang and M. Hsu, (2009/1). "Pricing American Asian options with higher moments in the underlying distribution", Journal of Computational and Applied Mathematics, Vol. 223, Issue 1, pp. 304-313.
8. K. Lo, K. Wang and M. Hsu (2008/4). "Pricing European Asian Options with Skewness and Kurtosis in the Underlying Distribution", Journal of Futures Markets, Vol. 28, No.6, pp. 598-616.
9. K. Wang, Y. Chen and R. Huang (2008). "Agency Theory and Flotation Methods in Seasoned Equity Offerings: The Case in Taiwan", Review of Pacific Basin Financial Markets and Policies, Vol.11, Issue 4, pp. 555-567.
10. K. Lo, K. Wang and C. Yeh (2008/1). "Stock Repurchase and Agency Problems: New Evidence in Taiwan's Stock Market", Emerging Market Finance and Trade, Vol. 44 No.1, pp. 84-94.
11. Y. Chen, A.H. Tu and K. Wang (2008). "Dependence Structure between the Credit Default Swap Return and the Kurtosis of the Equity Return Distribution: Evidence from Japan", Journal of International Financial Markets, Institutions & Money, Volume 18, Issue 3, pp. 259-271.
12. Y. Peng and K. Wang (2007). "IPO Underpricing and Flotation Methods in Taiwan - A Stochastic Frontier Approach", Applied Economics, Volume 39, Issue 21, December 2007, pp. 2785-2796.
13. K. Lo, K. Wang and T. Liao (2006/4). "Insider transfer trading of banking companies around exchange listing", Journal of Financial Intermediation, Volume 15, Issue 2, pp. 215-234.
14. C. Lee, K. Wang and Y. Peng (2006). "Cost Structure and Efficiency of the Credit Departments of the Farmers' Association in Taiwan", Review of Pacific Basin Economic and Financial Policies, Volume 9, Number 3, pp. 385-403.
15. Y. Peng and K. Wang (2004). "Cost Efficiency and the Effect of Mergers on the Taiwanese Banking Industry", The Service Industries Journal, Vol. 24, No.4, pp. 21-39.
Publications in Chinese:
16. K. Wang and M. Chen (2008). "Estimation of Sovereign Default Intensities and Sovereign Credit Default Swaps Valuation", Journal of Financial Studies, Vol.16, No. 4, pp. 141-163.
17. C. Lee, K. Wang and D. Liu (2008). "Credit Migration Matrix Conditioned on Macroeconomic Factors: Using Modified Credit Cycle Index and Credit Portfolio View Methods", NTU Management Review, Vol. 19, No. 2, pp. 241-268.
18. T. Dai, K. Wang and T. Tai (2008). "Pricing Snowball Notes with Hull-White Model and Quadrature Method", Journal of Futures and Options, Vol. 1, No. 2, pp. 73-108.
19. K. Lo, K. Wang and S. Ju (2008). "The Expiration Effects of TAIEX and its Volatility Smile", Chung Yuan Management Review, Vol. 6, No. 2, pp. 71-92.
20. K. Wang, M. Hsu and T. Chi (2008). "Comparison among various binomial tree models for pricing American Asian options", Taiwan Futures and Derivatives Journal, Vol. 6, pp. 1-27.
21. K. Wang and T. Lee (2008). "Constructing Default Probability Model for Domestic Banks - Applying New Basel Accord", Journal of Innovation and Management, Vol. 5, No. 1, pp. 123-146.
22. K. Wang, Y. Peng and M. Chen (2007). "A Study on the Efficiency Evaluation of Banks under Bank Holding Companies in Taiwan: An Application of DEA Approach", Journal of Technology Management, Vol. 12, No. 2, pp. 1-28.
23. K. Wang, C. Chang and L. Kuo (2007). "Estimation of Flooding Loss and its Securitization - The Case of Danshui River", Journal of Disaster Mitigation and Rescue, Vol. 8, pp. 1-16.
24. K. Wang, S. Huang and J. Chen (2006). "On Free Cash Flow Hypothesis and Firm's Operating Performance after Seasoned Equity Offering", Chiao Da Management Review, Vol. 26, No. 1, pp. 1-14.
