Paul D. Koch

School of Business - Business
Professor
O. Maurice Joy Professor of Business
Ph.D. Program Director
Primary office:
785-864-7503
Capitol Federal Hall
Room 4185
University of Kansas
1654 Naismith Drive
Lawrence, KS 66045-7601


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 allocate scarce financial 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 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.

Teaching

Courses Taught:

Undergraduate: Investments, Futures and Options (Risk Management), International Finance

MBA: Investments, Futures and Options (Risk Management), International Finance

PhD: Seminar on Investments, Advanced Regression

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

Selected Publications

Akbas, F. Jiang, C. & Koch, P. (in press). Insider Investment Horizon. Journal of Finance, Forthcoming.

Berkman, H. Koch, P. D., & Westerholm, J. (2017). DRIPs and the Dividend Pay Date Effect. Journal of Financial and Quantitative Analysis, 52(4), 1765-1795. https://business.ku.edu/sites/business.ku.edu/files/docs/97_DRIPs%20%26%20the%20Dividend%20Pay%20Date%20Effect_JFQA_2017.pdf

Akbas, F. Jiang, C. & Koch, P. D. (2017). The Trend in Firm Profitability and the Cross Section of Stock Returns. The Accounting Review, 92(5), 1-32. https://business.ku.edu/sites/business.ku.edu/files/docs/96_Profit%20Trend_TAR_Sept-2017.pdf

Jiang, C. Kawaller, I. G., & Koch, P. D. (2016). Designing a Proper Hedge: Theory versus Practice. Journal of Financial Research, 39(2), 124-144. https://business.ku.edu/sites/business.ku.edu/files/docs/97_Jiang Kawaller Koch_JFR_2016_Designing a proper hedge theory vs practice.pdf

Berkman, H. Koch, P. D., & Westerholm, J. (2014). Informed Trading through the Accounts of Children. Journal of Finance, 69(1), 363-404. https://business.ku.edu/sites/business.ku.edu/files/docs/100_Berkman%20Koch%20%26%20Westerholm_JF_2014.pdf

Kawaller, I. G., & Koch, P. D. (2013). Hedge Effectiveness Testing Revisited. The Journal of Derivatives, 21(1), 1-12. https://business.ku.edu/sites/business.ku.edu/files/docs/101_Kawaller%20%26%20Koch_JOD_2013-Galleys.pdf

Juhl, T. Kawaller, I. G., & Koch, P. D. (2012). The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated. The Journal of Futures Markets, 32(9), 837-876. DOI:10.1002/fut.20544 https://business.ku.edu/sites/business.ku.edu/files/docs/103_Juhl%20Kawaller%20%26%20Koch_JFM_2012.pdf

Berkman, H. Koch, P. D., Tuttle, L. A., & Zhang, Y. (2012). Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open. Journal of Financial and Quantitative Analysis, 47(4), 715-741. https://business.ku.edu/sites/business.ku.edu/files/docs/102_Berkman%20Koch%20Tuttle%20%26%20Zhang_JFQA_2012.pdf

Berkman, H. Dimitrov, V. Jain, P. C., Koch, P. D., & Tice, S. (2009). Sell on the News: Differences of Opinion, Short-Sales Constraints, and Returns around Earnings Announcements. Journal of Financial Economics, 92(3), 376-399. https://business.ku.edu/sites/business.ku.edu/files/docs/104_Berkman%20Dimitrov%20Jain%20Koch%20%26%20Tice_JFE_2009.pdf

Berkman, H. & Koch, P. D. (2008). Noise Trading and the Price Formation Process. Journal of Empirical Finance, 15(2), 232-250. https://business.ku.edu/sites/business.ku.edu/files/docs/105_Berkman%20%26%20Koch_JEF_2008.pdf

Docking, D. S., & Koch, P. D. (2005). Sensitivity of Investor Reaction to Market Direction and Volatility: Dividend Change Announcements. The Journal of Financial Research, 28(1), 21-40. https://business.ku.edu/sites/business.ku.edu/files/docs/106_Docking%20%26%20Koch_JFR_2005.pdf

Charnes, J. M., Koch, P. D., & Berkman, H. (2003). Measuring Hedge Effectiveness for FAS 133 Compliance. Journal of Applied Corporate Finance, 15(4), 8-16. https://business.ku.edu/sites/business.ku.edu/files/docs/107_Berkman%20Charnes%20%26%20Koch_JACF_2003.pdf

Kawaller, I. G., Koch, P. D., & Peterson, J. E. (2001). Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract. The Journal of Futures Markets, 21(12), 1119-1149. https://business.ku.edu/sites/business.ku.edu/files/docs/108_Kawaller%20Koch%20%26%20Peterson_JFM_2001.pdf

Kawaller, I. G., & Koch, P. D. (2000). Meeting the "Highly Effective Expectation" Criterion for Hedge Accounting. The Journal of Derivatives, 7(4), 79-87. https://business.ku.edu/sites/business.ku.edu/files/docs/109_Kawaller%20%26%20Koch_JOD_2000_FAS133%20paper%201.pdf

Bracker, K. Docking, D. S., & Koch, P. D. (1999). Economic Determinants of Evolution in International Stock Market Integration. Journal of Empirical Finance, 6, 1-28. https://business.ku.edu/sites/business.ku.edu/files/docs/110_Bracker%20Docking%20%26%20Koch_JEF_1999.pdf

Docking, D. S., Kawaller, I. G., & Koch, P. D. (1999). Mid-Day Volatility Spikes in U.S. Futures Markets. The Journal of Futures Markets, 19(2), 195-216. https://business.ku.edu/sites/business.ku.edu/files/docs/111_Docking%20Kawaller%20%26%20Koch_JFM_1999.pdf

Koch, P. D., & Shenoy, C. (1999). The Information Content of Dividend and Capital Structure Policies. Financial Management, 28(4), 16-35. https://business.ku.edu/sites/business.ku.edu/files/docs/112_Koch%20%26%20Shenoy_FM_1999.pdf

Koch, P. D., & Shenoy, C. (1996). The Firm's Leverage - Cash Flow Relationship. Journal of Empirical Finance, 2, 307-331. https://business.ku.edu/sites/business.ku.edu/files/docs/113_Koch%20%26%20Shenoy_JEF_1996.pdf

Kawaller, I. G., Koch, P. D., & Peterson, J. E. (1994). Assessing the Intraday Relationship between Implied and Historical Volatility. The Journal of Futures Markets, 14(3), 323-346. https://business.ku.edu/sites/business.ku.edu/files/docs/114_Kawaller%20Koch%20%26%20Peterson_JFM_1994.pdf

Koch, P. D. (1993). Re-Examining Intraday Simultaneity in Stock Index Futures Markets. Journal of Banking & Finance, 17(6), 1191-1205.

Kawaller, I. G., Koch, P. D., & Koch, T. W. (1993). Intraday Market Behavior and the Extent of Feedback between S&P 500 Futures Prices and the S&P 500 Index. The Journal of Financial Research, 16(2), 107-121. https://business.ku.edu/sites/business.ku.edu/files/docs/116_Kawaller%20Koch%20%26%20Koch_JFR_1993.pdf

Koch, P. D., & Koch, T. W. (1991). Evolution in Dynamic Linkages across Daily National Stock Indexes. Journal of International Money and Finance, 10(2), 231-251.

Kawaller, I. G., Koch, P. D., & Koch, T. W. (1990). Intraday Relationships between Volatility in S&P 500 Futures Prices and Volatility in the S&P 500 Index. Journal of Banking & Finance, 14(2-3), 373-397.

Koch, P. D., & Rosensweig, J. A. (1990). The Dynamic Relationship between the Dollar and Components of U.S. Trade. Journal of Business & Economic Statistics, 8(3), 355-364. https://business.ku.edu/sites/business.ku.edu/files/docs/118_Koch%20%26%20Rosensweig_JBES_1990.pdf

Koch, P. D., Rosensweig, J. A., & Whitt, J. A. (1988). The Dynamic Relationship between the Dollar and U. S. Prices: An Intensive Empirical Investigation. Journal of International Money and Finance, 7(2), 181-204.

Koch, P. D., & Rasche, R. H. (1988). An Examination of the Commerce Department Leading Indicator Approach. Journal of Business and Economic Statistics, 6(2), 167-187. https://business.ku.edu/sites/business.ku.edu/files/docs/122_Koch%20%26%20Rasche_JBES_1988.pdf

Kawaller, I. G., Koch, P. D., & Koch, T. W. (1987). The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index. Journal of Finance, 42(5), 1309-1329. https://business.ku.edu/sites/business.ku.edu/files/docs/121_Kawaller%20Koch%20%26%20Koch_JF_1987.pdf

Koch, P. D., & Yang, S. S. (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(394), 533-544. https://business.ku.edu/sites/business.ku.edu/files/docs/123_Koch%20%26%20Yang_JASA_1986.pdf


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