Faculty Profiles

Koch, Paul

O. Maurice Joy Professor of Business


226-C Summerfield
University of Kansas, School of Business
1300 Sunnyside Avenue
Lawrence, KS 66045-7585

P: (785) 864-7503
View Website
pkoch@ku.edu

Education PhD Economics, Michigan State University (1980) Bachelors Economics, Mathematics, Wartburg College (1977) Curriculum Vitae
Academic Areas Finance
Interests Investments Empirical Asset Pricing Anomalies Market Microstructure Derivatives Risk Management International Finance Econometrics
Current Activities I teach Investments, Options and Futures, and International Finance. My research interests involve empirical asset pricing research on market anomalies, market microstructure, derivatives, and international finance. Market microstructure has to do with how traders interact to determine market activity and prices. I am interested in how dispersion of beliefs across investors influences different aspects of microstructure behavior, such as volume, liquidity, trading costs, and price volatility. I have investigated this behavior 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.
Selected Publications Berkman, Henk, Valentin Dimitrov, Prem Jain, Paul Koch and Sheri Tice. Sell on the News: Differences of Opinion, Short Sales Constraints, and Returns around Earnings Announcements. Journal of Financial Economics. Forthcoming 2008. Berkman, Henk, and Paul Koch, 2008. Noise trading and the price formation process. Journal of Empirical Finance 15, 232-250, 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. 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. Kawaller, Ira, Paul Koch, and Ludan Liu, 2002. Calendar spreads, outright futures positions, and risk. Journal of Alternative Investments 5, No. 3, p. 59-74. 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. 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. Bracker, Kevin, and Paul Koch, 1999. Economic determinants of the correlation structure across international equity markets. Journal of Economics and Business 51, p. 443-471. 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. 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. Koch, Paul, and Catherine Shenoy, 1999. The information content of capital structure and dividend policies. Financial Management 28, No. 4, p. 16-35. Cogger, Ken, Paul Koch, and Diane Lander, 1997. A neural network approach to forecasting volatile international equity markets. Advances in Financial Economics 3, p. 117-157. Koch, Paul, and Catherine Shenoy, 1996. The firm’s leverage- cash flow relationship. Journal of Empirical Finance 2, p. 307-331.