Ivy Profile

Bio

I teach undergraduate, MBA, and PhD students. I’ve taught courses on Futures and Options (Financial Risk Management), Investments, Econometrics, Empirical Asset Pricing, 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, behavioral finance, investments, market microstructure, financial 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 in the context of a given market and regulatory environment to determine trading volume, market liquidity, trading costs, and return volatility. I am particularly interested in how the arrival of information is transmitted to asset prices through trading activity, which involves the interplay between different types of traders such as retail investors, corporate insiders, institutional investors, option traders, short sellers, and so forth. I am curious about whether and how these different types of investors trade on either public or private information, the relative information content and profitability of their trades, and the extent to which their respective behaviors may influence financial market activity, volatility, and price efficiency. I have investigated these issues across a variety of global financial markets. These issues often have important implications for financial regulatory policy by highlighting the potential costs, as well as benefits, of financial regulation.

Academic History

• Ph.D., Economics, Michigan State University, 1980

Expertise

• Empirical asset pricing

• Behavioral finance

• Market anomalies

• Investments

• Market microstructure

• Financial derivatives

• International finance

Selected Publications

• Garcia-Feijoo, L., Jensen, T., & Koch, P., (2024) "Operating Leverage and Stock Returns under Different Aggregate Funding Conditions", The Accounting Review, 99 (3):169-199. Link to Paper

• Berkman, H., Koch, P., & Westerholm, P. J. (2023) "The Other Insiders: Personal Trading by Brokers, Analysts, and Fund Managers", Review of Asset Pricing Studies, 13 (3):481-522. Link to Paper

• Akbas, F., Ay, L., & Koch, P. D. (2024) "Initial Margin Requirements and Market Efficiency", Journal of Financial and Quantitative Analysis, 59 (1):249-282. Link to Paper

• Goldie, B., Jiang, C., Koch, P., & Wintoki, M. B. (2023) "Indirect Insider Trading", Journal of Financial and Quantitative Analysis, 58 (6):2327-2364. Link to Paper

• Akbas, F., Boehmer, E., Jiang, C., & Koch, P. D. (2022) "Overnight returns, daytime reversals, and future stock returns", Journal of Financial Economics, 145 (3):850-875. Link to Paper

• Berkman, H., Koch, P., & Westerholm, P. J. (2020) "Inside the Director Network: When Directors Trade or Hold Inside, Interlock, and Unconnected Stocks", Journal of Banking and Finance, 118 (4):1-17. Link to Paper

• Akbas, F., Jiang, C., & Koch, P. D. (2020) "Insider Investment Horizon", Journal of Finance, 75 (3):1579-1627. Link to Paper

• 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. Link to Paper

• Berkman, H., & Koch, P. D. (2017) "DRIPs and the Dividend Pay Date Effect", Journal of Financial and Quantitative Analysis, 52 (4):1765-1795. Link to Paper

• Jiang, C., Kawaller, I. G., & Koch, P. D. (2016) "Designing a Proper Hedge: Theory versus Practice", Journal of Financial Research, 39 (2, Summer):123-144. Link to Paper

• Berkman, H., Koch, P. D., & Westerholm, P. J. (2014) "Informed Trading through the Accounts of Children", Journal of Finance, 69 (1):363-404. Link to Paper

• Kawaller, I. G., & Koch, P. D. (2013) "Hedge Effectiveness Tests Revisited", Journal of Derivatives, 21 (1, Fall):1-12. Link to Paper

• Berkman, H., Koch, P. D., Tuttle, L., & Zhang, Y. J. (2012) "Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open", Journal of Financial and Quantitative Analysis, 47 (4):715-741. Link to Paper

• 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", Journal of Futures Markets, 32 (9):837-876. Link to Paper

• 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. Link to Paper