Roman Kozhan - Professor of Finance | Staff Directory

Professor of Finance

Research Interests

Asset Pricing, Market Microstructure

Teaching in 2019-2020

Financial Mathematics

IB9110: Asset Pricing
IB9JH0: C++ for Quantitative Finance

MSc Business and Finance

IB9U00: Financial Management

Postgraduate Research Finance and Econometrics

IB93K0: Market Microstructure

Finance Group

Email: Roman.Kozhan@wbs.ac.uk / Tel: 024 765 24118 / Room: 2.111

Biography

Roman Kozhan is Professor of Finance at Warwick Business School. He joined Warwick Business School in 2006 as a Postdoctoral Research Fellow. His research interests broadly lie in the area of Asset Pricing and Market Microstructure. His work is well published and has been presented in top conferences in the field. He holds a PhD in Finance from European University Viadrina, Germany and PhD in Mathematics from Lviv National University of Ivan Franko, Ukraine. Roman served as a consultant for Old Mutual Asset Managers, Sybenetix, Oncilla FX Trading and had a joint industry project with National Australia Bank.

Publications

Journal Articles

Della Corte, P., Kozhan, R. and Neuberger, A. (2020) "The cross-section of currency volatility premia", Journal of Financial Economics
Hendershott, T., Kozhan, R. and Raman, V. (2019) "Short selling and price discovery in corporate bonds ", Journal of Financial and Quantitative Analysis
Koufopoulos, K., Kozhan, R. and Trigilia, G. (2018) "Optimal security design under asymmetric information and profit manipulation", Review of Corporate Finance Studies, 8, 1, 146-173
Foucault, T., Kozhan, R. and Tham, W. W. (2017) "Toxic arbitrage", The Review of Financial Studies, 30, 4, 1053-1094
Koufopoulos, K. and Kozhan, R. (2016) "Optimal insurance under adverse selection and ambiguity aversion", Economic Theory, 62, 4, 659-687
Koufopoulos, K. and Kozhan, R. (2014) "Welfare-improving ambiguity in insurance markets with asymmetric information", Journal of Economic Theory, Volume 151, 551-560
Kozhan, R., Neuberger, A. and Schneider, P. (2013) "The skew risk premium in the equity index market", Review of Financial Studies, Volume 26, Number 9, 2174-2203
Kozhan, R. and Salmon, M. H. (2012) "The information content of a limit order book : the case of an FX market", Journal of Financial Markets , Vol.15, No.1, 1-28
Kozhan, R. and Tham, W. W. (2012) "Execution risk in high-frequency arbitrage", Management Science, Volume 58, Number 11, 2131-2149
Chu, B. M. and Kozhan, R. (2011) "Spurious regressions of stationary AR(p) processes with structural breaks", Studies in Nonlinear Dynamics & Econometrics, Vol.15, No.1
Kelsey, P., Kozhan, R. and Pang, W. (2011) "Asymmetric momentum effects under uncertainty", Review of Finance, Vol.15, No.3, 603-631
Roman Kozhan (2011) "Non-additive anonymous games", International Journal of Game Theory, Volume 40, Number 2, 215-230
Kozhan, R. and Schmid, W. (2009) "Asset allocation with distorted beliefs and transaction costs", European Journal of Operational Research, Vol.194, No.1, 236-249
Pál, R. and Kozhan, R. (2009) "Firms' investment under financial constraints : a euro area investigation", Applied Financial Economics, Vol.19, No.20, 1611-1624
Kozhan, R. and Salmon, M. H. (2008) "Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation", Journal of Economic Dynamics and Control, Vol.33, No.5, 1106-1122
Kozhan, R. and Zarichnyi, M. (2008) "Nash equilibria for games in capacities", Economic Theory, Vol.35, No.2, 321-331