Dr. Lee's research lies at the intersection of asset pricing and financial econometrics. Her work has been widely disseminated and well received within the academic community. She has presented at premier conferences such as the American Finance Association Meetings, European Finance Association Meetings, Econometric Society Meetings, and the Society for Financial Econometrics Meetings. Her publications have appeared in top-tier journals including the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, and Journal of Econometrics. Dr. Lee also makes important contributions to the field through her service on editorial boards and as a referee for leading journals in finance and econometrics.
Suzanne Lee
Associate ProfessorPh.D. Coordinator
Biography
Dr. Suzanne Lee is an Associate Professor of Finance at the Scheller College of Business, where she has been a faculty member since 2005. She earned her Ph.D., MBA, and Master's degree in Statistics from the University of Chicago. In 2006, she was a visiting research faculty member in the Financial Mathematics Program at the University of Chicago.
| Year | Title | Journal | Author(s) | Type | |
|---|---|---|---|---|---|
| 2024 | Variance Decomposition and Cryptocurrency Return Prediction | Journal of Financial and Quantitative Analysis |
Lee, Suzanne S.
Wang, Minho |
Published Papers | View |
| 2023 | The Role of Idiosyncratic Jumps in Stock Markets | Journal of Financial Markets | Lee, Suzanne S. | Published Papers | View |
| Lee, Suzanne, “The Role of Idiosyncratic Jumps in Stock Markets,” Journal of Financial Markets, Vol. 64, Article 100820, 2023 | |||||
| 2020 | Tales of Tails-Jumps in Currency Markets | Journal of Financial Markets |
Lee, Suzanne
Wang, M. |
Published Papers | View |
| Lee, S.S. and M. Wang, Tales of Tails: Jumps in Currency Markets, Journal of Financial Markets, forthcoming | |||||
| 2019 | The Impact of Jumps on Carry Trade Returns | Journal of Financial Economics |
Lee, Suzanne
Wang, M. |
Published Papers | View |
| Lee, S.S. and M. Wang, The Impact of Jumps on Carry Trade Returns, Journal of Financial Economics, Vol. 131, pp. 433-455, 2019 | |||||
| 2014 | Are Analysts’ Recommendations Informative- Intraday Evidence on the Impact of Time-stamp Delays | Journal of Finance |
Bradley, D.
Clarke, J. Lee, Suzanne Ornthanalai, C. |
Published Papers | View |
| 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 | |||||
| 2012 | Jumps in Equilibrium Prices and Market Microstructure Noise | Journal of Econometrics |
Lee Suzanne
Mykland, P.A. |
Published Papers | View |
| Lee, S.S. and P.A. Mykland, Jumps in Equilibrium Prices and Market Microstructure Noise, Journal of Econometrics, Vol. 168, pp. 396-406, 2012 | |||||
| 2012 | Jumps and Information Flow in Financial Markets | Review of Financial Studies | Lee, Suzanne | Published Papers | View |
| Lee, S.S., Jumps and Information Flow in Financial Markets, Review of Financial Studies, Vol. 25, Issue 2, pp. 439-479, 2012 | |||||
| 2010 | Detecting Jumps from Levy Jump Diffusion Processes | Journal of Financial Economics |
Lee, Suzanne
Hannig, J. |
Published Papers | View |
| 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 | |||||
| 2008 | Jumps in Financial Markets- A New Nonparametric Test and Jump Dynamics | Review of Financial Studies |
Lee, Suzanne
Mykland, P.A. |
Published Papers | View |
| 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 | |||||
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