Paul Koch

Professor
O. Maurice Joy Professor of Business
Ph.D. Program Director
Primary office:
785-864-7503
Capitol Federal Hall
Room 4185
University of Kansas


Academic Areas

Finance

Education

Ph.D. Economics, Michigan State University (1980)
Bachelor's Economics, Mathematics, Wartburg College (1977)

Interests

  • Investments
  • Empirical Asset Pricing Anomalies
  • Market Microstructure
  • Derivatives
  • Risk Management
  • International Finance
  • Econometrics

Current Activities

I teach Investments, Options and Futures (Risk Management), Econometrics, and International Finance. My research informs and enriches my teaching, by attempting to advance our understanding of how capital markets operate to help allocate scarce resources. I conduct empirical asset pricing research on market anomalies, microstructure issues, derivatives, and international finance. Market anomalies refer to tendencies for stock prices to behave in predictable but unusual ways that we do not fully understand, and which therefore challenge the major tenets of asset pricing theory. Market microstructure has to do with how traders interact to determine trading volume, market liquidity, trading costs, and price volatility. I have investigated these issues across a variety of global financial markets, so this research builds upon my work in international finance. I have similar interests involving options and futures markets, so this effort also contributes to my work on financial derivatives and risk management.

Selected Publications

Akbas, Ferhat, Chao Jiang, and Paul Koch. 2017. The Trend in Firm Profitability and the Cross Section of Stock Returns. Forthcoming, The Accounting Review​. DOWNLOAD

Jiang, Chao, Ira Kawaller, and Paul Koch. 2016. Designing a Proper Hedge: Theory Versus Practice. The Journal of Financial Research 39 (Summer), 123-144​. DOWNLOAD

Berkman, Henk and Paul Koch. 2016. DRIPs and the Dividend Pay Date Effect. Forthcoming, Journal of Financial and Quantitative AnalysisDOWNLOAD

Berkman, Henk, Paul Koch, and Joakim Westerholm. 2014. Informed Trading through the Accounts of Children. Journal of Finance 69 (No. 1, February), 363-404​. DOWNLOAD

Ira, Kawaller and Paul Koch. 2013. Hedge Effectiveness Testing Revisited. Journal of Derivatives 21 (No. 1, Fall 2013), 1-12​. DOWNLOAD

Berkman, Henk, Paul Koch, Laura Tuttle, and Ying (Jenny) Zhang. 2012. Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open. Journal of Financial and Quantitative Analysis 47, (No. 4, August), 715-741. DOWNLOAD

Juhl, Ted, Ira Kawaller, and Paul Koch. 2012. The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness when Prices are Cointegrated. Journal of Futures Markets, 32 (No. 9), 837-876. DOWNLOAD

Berkman, Henk, Valentin Dimitrov, Prem Jain, Paul Koch, and Sheri Tice. 2009. Sell on the News:  Differences of Opinion, Short Sales Constraints, and Returns around Earnings Announcements. Journal of Financial Economics 92, (June), 376-399. DOWNLOAD

Berkman, Henk, and Paul Koch, 2008. Noise trading and the price formation process. Journal of Empirical Finance 15, 232-250, DOWNLOAD

Docking, Dianne Scott, and Paul Koch, 2005. Sensitivity of investor reaction to market direction and volatility: dividend change announcements. Journal of Financial Research 28, No. 1, p. 21-40. DOWNLOAD

Berkman, Henk, John Charnes, and Paul Koch, 2003. Measuring hedge effectiveness for FAS 133 compliance. Journal of Applied Corporate Finance 15, No. 4, p. 95-103. DOWNLOAD

Kawaller, Ira, Paul Koch, and John Peterson, 2001. Volume and volatility surrounding quarterly re-designation of the lead S&P 500 futures contract. Journal of Futures Markets 21, No. 12, p. 1119-1149. DOWNLOAD

Kawaller, Ira, and Paul Koch, 2000. Meeting the ‘highly effective expectation’ criterion for hedge accounting. The Journal of Derivatives 7, No. 4, p. 79-87. DOWNLOAD

Bracker, Kevin, Dianne Scott Docking, and Paul Koch, 1999. Economic determinants of evolution in international stock market integration. Journal of Empirical Finance 6, p. 1-28. DOWNLOAD

Docking, Dianne Scott, Ira Kawaller, and Paul Koch, 1999. Mid-day volatility spikes in U.S. futures markets. Journal of Futures Markets 19, p. 195-216. DOWNLOAD

Koch, Paul, and Catherine Shenoy, 1999. The information content of capital structure and dividend policies. Financial Management 28, No. 4, p. 16-35. DOWNLOAD

Koch, Paul, and Catherine Shenoy, 1996. The Firm's Leverage - Cash Flow Relationship. Journal of Empirical Finance 2, 307-331. DOWNLOAD

Kawaller, Ira, Paul Koch, and John Peterson, 1994. Assessing the Intraday Relation Between Implied Volatility and Historical Volatility. Journal of Futures Markets 14, 323-346. DOWNLOAD

Koch, Paul, 1993. Re-Examining Intraday Simultaneity in Stock Index Futures Markets. Journal of Banking and Finance 17, 1993, 1191-1205. DOWNLOAD

Kawaller, Ira, Paul Koch, and Timothy Koch. 1993. Intraday Market Behavior and the Extent of Feedback Between S&P 500 Futures Prices and the S&P 500 Index. Journal of Financial Research 16 (Summer), 107-121. DOWNLOAD

Koch, Paul, and Timothy Koch, 1991. Evolution in Dynamic Linkages Across Daily National Stock Indexes. Journal of International Money and Finance 10 (June), 231-251. DOWNLOAD

Koch, Paul, and Jeffrey Rosensweig. 1990. The Dynamic Relationship Between the Dollar and Components of U. S. Trade. Journal of Business and Economic Statistics 8 (July), 355-364. DOWNLOAD

Kawaller, Ira, Paul Koch, and Timothy Koch. 1990. Intraday Relationships Between Volatility in S&P 500 Futures Prices and Volatility in the S&P 500 Index. Journal of Banking and Finance 14 (July), 373-397. DOWNLOAD

Koch, Paul, Jeffrey Rosensweig, and Joseph Whitt, Jr., 1988. The Dynamic Relationship Between the Dollar and U. S. Prices. Journal of International Money and Finance 7 (June), 181-204. DOWNLOAD

Koch, Paul, and Robert Rasche. 1988. An Examination of the Commerce Department Leading Indicator Approach. Journal of Business and Economic Statistics 6 (April), 167-187. DOWNLOAD

Kawaller, Ira, Paul Koch, and Timothy Koch. 1987. The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index. Journal of Finance 42 (December), 1309-1329. DOWNLOAD

Koch, Paul, and Shie Shien Yang. 1986. A Method for Testing the Independence of Two Time Series that Accounts for a Potential Pattern in the Cross-Correlation Function. Journal of the American Statistical Association 81 (June), 533-544. DOWNLOAD

Teaching Interests

  • Investments
  • Options and futures
  • Risk management
  • Econometrics
  • International Finance

Research

I conduct empirical asset pricing research on market anomalies, microstructure issues, derivatives, and international finance. Market anomalies refer to tendencies for stock prices to behave in predictable but unusual ways that we do not fully understand, and which therefore challenge the major tenets of asset pricing theory. Market microstructure has to do with how traders interact to determine trading volume, market liquidity, trading costs, and price volatility. I have investigated these issues across a variety of global financial markets, so this research ties in with my work on international finance. I have similar interests involving options and futures markets, so this effort also ties in with my work on derivatives and risk management.

Research Interests

  • Empirical asset pricing
  • Market efficiency
  • Behavioral finance
  • Market microstructure
  • Investments
  • Risk management
  • International Finance
  • Econometrics

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