Suzanne Lee
Associate Professor;
PhD Coordinator, Finance
PhD Coordinator, Finance
Academic Area(s):
Functional Area(s):
Email:
Phone:
Suite:
410
Office:
4133
Research
Financial econometrics
Empirical finance
Asset pricing
Derivative markets
Education
PhD, MBA, MS, University of Chicago
Biography
Associate Professor of Finance Suzanne Lee joined the College of Business in the fall of 2005. She was a visiting research faculty member at the University of Chicago, Financial Mathematics Program in 2006.
Dr. Lee received her PhD from the University of Chicago, from which she earned her MBA and a master's degree in Statistics.
Her research focuses on financial econometrics and their applications in asset pricing and has been presented in a number of academic conferences including American Finance Association Meetings, European Finance Association Meetings, and Econometric Society Meetings, among others. Her recent research has appeared in the Journal of Finance, the Review of Financial Studies and the Journal of Financial Economics.
Featured publications
Lee, S.S. and M. Wang, Tales of Tails: Jumps in Currency Markets, Journal of Financial Markets, forthcoming
Lee, S.S. and M. Wang, The Impact of Jumps on Carry Trade Returns, Journal of Financial Economics, Vol. 131, pp. 433-455, 2019
Bradley, D., J. Clarke, S.S. Lee, and C. Ornthanalai, Are Analysts’ Recommendations Informative? Intraday Evidence on the Impact of Time-stamp Delays, Journal of Finance, Vol. 69, Issue 2, pp. 645–673, 2014
Lee, S.S. and P.A. Mykland, Jumps in Equilibrium Prices and Market Microstructure Noise, Journal of Econometrics, Vol. 168, pp. 396-406, 2012
Lee, S.S., Jumps and Information Flow in Financial Markets, Review of Financial Studies, Vol. 25, Issue 2, pp. 439-479, 2012
Lee, S.S. and J. Hannig, Detecting Jumps from Levy Jump Diffusion Processes, Journal of Financial Economics, Vol. 96, Issue 2, pp. 271-290, 2010
Lee, S.S. and P.A. Mykland, Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics, Review of Financial Studies, Vol. 21, Issue 6, pp. 2535-2563, 2008