Dr Doowon Lee
Senior Lecturer - Finance
Newcastle Business School (Accounting and Finance)
- Email:doowon.lee@newcastle.edu.au
- Phone:(02) 4921 8620
Career Summary
Biography
Capital market, CEO compensation, Market microstructure
Qualifications
- PhD, Korea Advanced Institute of Science and Technology
- Bachelor of Science, Korea Advanced Institute of Science and Technology
- Master of Science, Korea Advanced Institute of Science and Technology
Keywords
- Banking
- Finance
- Investment
- Risk Management
Fields of Research
| Code | Description | Percentage |
|---|---|---|
| 150199 | Accounting, Auditing and Accountability not elsewhere classified | 25 |
| 150202 | Financial Econometrics | 75 |
Professional Experience
UON Appointment
| Title | Organisation / Department |
|---|---|
| Senior Lecturer - Finance | University of Newcastle Newcastle Business School Australia |
| Casual Academic | University of Newcastle Newcastle Business School Australia |
Publications
For publications that are currently unpublished or in-press, details are shown in italics.
Chapter (1 outputs)
Journal article (12 outputs)
| Year | Citation | Altmetrics | Link | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 |
Rahman ML, Shamsuddin A, Lee D, 'Predictive power of dividend yields and interest rates for stock returns in South Asia: Evidence from a bias-corrected estimator', International Review of Economics and Finance, 62 267-286 (2019) [C1] © 2019 Elsevier Inc. Predictive models of stock returns are often criticized for generating spurious predictability, unstable predictive relationship, and poor out-of-sample forec... [more] © 2019 Elsevier Inc. Predictive models of stock returns are often criticized for generating spurious predictability, unstable predictive relationship, and poor out-of-sample forecasting performance. This paper addresses these issues in the context of four major South Asian equity markets. We provide a bias-corrected estimate of the relationship of future stock returns to dividend yield and interest rate. We use a restricted vector autoregressive model, draw statistical inferences from a wild-bootstrap method with superior size and power properties, and allow model parameters to vary over time. Dividend yield is a significant predictor in both in- and out-of-sample (OOS)in two countries, while interest rate exhibits significant predictability in all four markets. Imposing theoretically motivated restrictions on model parameters appears to improve OOS predictability. Finally, time-variation in return predictability is found to be linked to countercyclical risk premium and persistence of the predictor variables.
|
||||||||||
| 2018 |
Docherty PA, Easton S, Elliot B, Lee D, 'Profitability and investment-based factor pricing models', Accounting and Finance, 58 397-421 (2018) [C1]
|
||||||||||
| 2018 |
Choi B, Lee D, Seamer M, 'Australian Enterprise Risk Management Practices and Corporate Governance', Company and Securities Law Journal, 36 404-433 (2018) [C1]
|
||||||||||
| 2017 |
Anthony J, Docherty P, Lee D, Shamsuddin A, 'Liquidity commonality in the secondary corporate loan market', Economics Letters, 161 10-14 (2017) [C1]
|
||||||||||
| 2017 |
Anthony J, Docherty P, Lee D, Shamsuddin A, 'Liquidity shocks in the secondary corporate loan market', Journal of Fixed Income, 26 53-72 (2017) [C1] © 2015 Institutional Investor LLC. All Rights Reserved. This article examines the influence of liquidity risk on the U.S. secondary corporate loan market (herein loan market). The... [more] © 2015 Institutional Investor LLC. All Rights Reserved. This article examines the influence of liquidity risk on the U.S. secondary corporate loan market (herein loan market). The authors empirically disentangle the impact of both loan-level liquidity shocks and systematic liquidity risk from default risk. Loans that experience shocks to either liquidity or default risk experience ongoing price declines, complementing evidence presented elsewhere of price momentum in loan markets. The prices of loans with high liquidity risk are significantly discounted when market liquidity is low, consistent with the time-varying funding liquidity constraints of financial intermediaries. In keeping with a close link between high risk debt markets and equity markets, there is evidence that equity market risk is priced in the loan market.
|
||||||||||
| 2017 |
Rahman MD, Lee D, Shamsuddin AFM, Shamsuddin A, 'Time-varying return predictability in South Asian equity markets', International Review of Economics & Finance, 48 179-200 (2017) [C1]
|
||||||||||
| 2015 |
Lee D, HASSAN MK, RAHMAN MA, 'FIRM SPECIFIC VARIATION IN RETURNS AND FUNDAMENTALS IN KOREA STOCK MARKET', Singapore Economic Review, 60 (2015)
|
||||||||||
| 2015 |
Choi BB, Jung K, Lee D, 'Trading Behavior Prior to Public Release of Analyst Reports: Evidence from Korea', Contemporary Accounting Research, 32 105-138 (2015) [C1]
|
||||||||||
| 2014 |
Choi Bobae, Kang J, Lee D, 'Determinants and market implications of differentiated dividends in Korea', International Journal of Managerial Finance, 10 453-469 (2014) [C1]
|
||||||||||
| 2013 |
Choi BB, Lee D, Psaros J, 'An analysis of Australian company carbon emission disclosures', Pacific Accounting Review, 25 58-79 (2013) [C1]
|
||||||||||
| 2013 |
Choi BB, Lee D, Park Y, 'Corporate Social Responsibility, Corporate Governance and Earnings Quality: Evidence from Korea', CORPORATE GOVERNANCE-AN INTERNATIONAL REVIEW, 21 447-467 (2013) [C1]
|
||||||||||
| 2011 |
Kang J, Lee C, Lee D, 'Equity fund performance persistence with investment style: Evidence from Korea', Emerging Markets Finance and Trade, 47 111-135 (2011) [C1]
|
||||||||||
| Show 9 more journal articles | |||||||||||
Conference (4 outputs)
| Year | Citation | Altmetrics | Link | ||
|---|---|---|---|---|---|
| 2015 |
Seamer MJ, Choi B, Lee D, 'The Relationship Between Corporate Governance and Firm Enterprise Risk Management Practice', Glasgow, Scotland (2015) [E3]
|
||||
| 2009 |
Choi BB, Lee D, Jung K, 'Trading behavior before the public release of analysts' reports', Asian Finance Association 2009 International Conference: Conference Program, Brisbane, QLD (2009) [E1]
|
||||
| 2009 | Kang J, Lee C, Lee D, 'Equity fund style and performance persistence in an emerging market: Evidence from Korea', Asian Finance Association 2009 International Conference: Conference Program, Brisbane, QLD (2009) [E1] | ||||
| 2009 |
Choi BB, Kang J, Lee D, 'Catering incentives and differentiated dividend in Korea', Journal of Corporate Finance Special Conference on Emerging Markets, Beijing, China (2009) [E1]
|
||||
| Show 1 more conference | |||||
Grants and Funding
Summary
| Number of grants | 6 |
|---|---|
| Total funding | $199,293 |
Click on a grant title below to expand the full details for that specific grant.
20181 grants / $15,500
Calibrating a local volatility surface and pricing exotic options$15,500
Funding body: Stage Inc
| Funding body | Stage Inc |
|---|---|
| Project Team | Doctor Bobae Choi, Doctor Doowon Lee |
| Scheme | Research Grant |
| Role | Investigator |
| Funding Start | 2018 |
| Funding Finish | 2018 |
| GNo | G1800887 |
| Type Of Funding | C3211 - International For profit |
| Category | 3211 |
| UON | Y |
20162 grants / $24,000
Market Efficiency and Corporate Governance Studies$20,000
Funding body: Faculty of Business and Law, The University of Newcastle
| Funding body | Faculty of Business and Law, The University of Newcastle |
|---|---|
| Scheme | Priority Initiative Research Funding |
| Role | Investigator |
| Funding Start | 2016 |
| Funding Finish | 2016 |
| GNo | |
| Type Of Funding | Internal |
| Category | INTE |
| UON | N |
The impact of institutional ownership on executive compensation: Australian evidence$4,000
Funding body: Accounting & Finance Association of Australia and New Zealand Ltd
| Funding body | Accounting & Finance Association of Australia and New Zealand Ltd |
|---|---|
| Project Team | Doctor Bobae Choi, Doctor Doowon Lee |
| Scheme | Small Research Consultancy |
| Role | Investigator |
| Funding Start | 2016 |
| Funding Finish | 2016 |
| GNo | G1601093 |
| Type Of Funding | C3111 - Aust For profit |
| Category | 3111 |
| UON | Y |
20131 grants / $150,000
Market efficiency and corporate governance studies (competitive)$150,000
Funding body: Faculty of Business and Law, University of Newcastle
| Funding body | Faculty of Business and Law, University of Newcastle |
|---|---|
| Scheme | Priority Research Initiative |
| Role | Investigator |
| Funding Start | 2013 |
| Funding Finish | 2015 |
| GNo | |
| Type Of Funding | Internal |
| Category | INTE |
| UON | N |
20102 grants / $9,793
Investor trading activity within the index futures and options market$5,000
Funding body: University of Newcastle
| Funding body | University of Newcastle |
|---|---|
| Project Team | Doctor Doowon Lee |
| Scheme | New Staff Grant |
| Role | Lead |
| Funding Start | 2010 |
| Funding Finish | 2010 |
| GNo | G1000621 |
| Type Of Funding | Internal |
| Category | INTE |
| UON | Y |
An Assessment of the Quality and Market Implications of Carbon Emission Disclosure by Australian Listed Public Companies$4,793
Funding body: Accounting & Finance Association of Australia and New Zealand Ltd
| Funding body | Accounting & Finance Association of Australia and New Zealand Ltd |
|---|---|
| Project Team | Doctor Bobae Choi, Doctor Doowon Lee, Emeritus Professor Jim Psaros |
| Scheme | Small Research Consultancy |
| Role | Investigator |
| Funding Start | 2010 |
| Funding Finish | 2010 |
| GNo | G1000971 |
| Type Of Funding | Grant - Aust Non Government |
| Category | 3AFG |
| UON | Y |
Research Supervision
Number of supervisions
Current Supervision
| Commenced | Level of Study | Research Title | Program | Supervisor Type |
|---|---|---|---|---|
| 2018 | PhD | Pay Disparity and Firm Performance: Do Human Capital and Compensation Committee Quality Matter? | PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle | Principal Supervisor |
| 2017 | PhD | Director Interlocking and Firm Performance: Do Quality of Interlocking and Firm's Resource Base Matter? | PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle | Co-Supervisor |
| 2017 | PhD | Remuneration Committee Characteristics and CEO compensation in Australia | PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle | Co-Supervisor |
| 2017 | PhD | International Evidence on the Effect of Structural and Relational Social Capital on Firm Performance | PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle | Co-Supervisor |
| 2016 | PhD | The impact of continuous arrival of investor sentiment measures on equity and option prices | PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle | Principal Supervisor |
| 2016 | PhD | Explaining the idiosyncratic volatility puzzle in international markets | PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle | Co-Supervisor |
Past Supervision
| Year | Level of Study | Research Title | Program | Supervisor Type |
|---|---|---|---|---|
| 2018 | Honours | Busy boards and firm performance in Australian listed companies | Bankng,Finance & Relatd Fields, Faculty of Business and Law, University of Newcastle | Sole Supervisor |
| 2017 | PhD | An Empirical Analysis of the Investment and Profitability Effects | PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle | Co-Supervisor |
| 2017 | Honours | Dividend Catering Theory and Dividend Payout Policy Under a Full Imputation Taxation System: An Australian Study | Bankng,Finance & Relatd Fields, Newcastle Business School - The University of Newcaslte | Sole Supervisor |
| 2017 | PhD | Liquidity in the Secondary Corporate Loan Market | PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle | Co-Supervisor |
| 2016 | PhD | Return Predictability in South Asian Stock Markets | PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle | Co-Supervisor |
| 2015 | PhD | Determinants of Dividend Policy - International Evidence: 1990 to 2010 | PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle | Co-Supervisor |
| 2015 | Professional Doctorate | The effectiveness of independent non-executive directors in Hong Kong listed companies | Accounting, University of Newcastle - Faculty of Business and Law | Co-Supervisor |
| 2015 | Honours | Jumps, macroeconomic announcements and foreign currency markets: An Australian perspective | Bankng,Finance & Relatd Fields, Newcastle Business School - The University of Newcaslte | Sole Supervisor |
Dr Doowon Lee
Positions
Senior Lecturer - Finance
Newcastle Business School
Faculty of Business and Law
Casual Academic
Newcastle Business School
Faculty of Business and Law
Focus area
Accounting and Finance
Contact Details
| doowon.lee@newcastle.edu.au | |
| Phone | (02) 4921 8620 |
Office
| Room | X-635 |
|---|---|
| Building | NeW Space |
| Location | City Campus , |
Connect with me
