CV

Academic Appointments

Hanyang University, College of Economics and Finance, South Korea
Professor (with tenure), Mar/2023 – present
Associate Professor, Mar/2020 – Feb/2023

The University of Sydney Business School, Discipline of Finance, Australia
Senior Lecturer in Finance (with tenure), Jul/2015 – Feb/2020

University of Neuchatel, Institute of Financial Analysis, Switzerland
Assistant Professor of Finance, Jun/2011 – Jun/2015

Education

Ohio State University, Fisher College of Business, Columbus, USA
Visiting Scholar (Post-doctoral student), Apr/2010 – Mar/2011

KAIST Business School, Seoul, Korea
Ph.D. in Finance, Jan/2010

KAIST (Korea Advanced Institute of Science and Technology), Daejeon, Korea
B.S. in Management Engineering, Feb/2004

Hansung Science High School, Feb/2000, Seoul, Korea

Academic Visits

KAIST, Jun-Jul/2019, Jan-Feb/2014, Jan-Feb/2013, Jun-Jul/2012, Jan-Feb/2012

Korea University, Aug/2018 – Jan/2019 (sabbatical leave), Dec/2017 – Jan/2018

University of Neuchatel, July/2018 – Aug/2018 (sabbatical leave)

Research Interests

Empirical Asset pricing, Investments, Financial Market Anomalies, Consumption-Based Asset Pricing Model, Gambling Preference, Return Seasonality

Main Publications

12.    Enhancing the Profitability of Lottery Strategies (with Kyung Yoon Kwon and Chenfei Sun), Journal of Empirical Finance, Vol 69, 166-184 (2022)

11.    What Drives the Dispersion Anomaly? (with Buhui Qiu and Tai-Yong Roh), Journal of Banking and Finance, Vol 138, 1–21 (2022)

10.    Why Has the Size Effect Disappeared? (with Dong-Hyun Ahn and Bohyun Yoon), Journal of Banking and Finance, Vol 102, 256–276 (2019)

9.    Consumption Growth Predictability and Asset Prices (with Changjun Lee and Tai-Yong Roh), Journal of Empirical Finance, Vol 51, 95–118 (2019)

8.    Dispersion of Beliefs, Ambiguity, and the Cross-Section of Stock Returns (with Deok-Hyeon Lee and Tong Suk Kim), Journal of Empirical Finance, Vol 50, 43–56 (2019)

7.    The Financial Performance of Socially Responsible Investments: Insights from the ICAPM (with Yuchao Xiao, Robert Faff, and Philip Gharghori), Journal of Business Ethics (Financial Times Top 50 Business Journal), Vol 146, 353–364 (2017)

6.    Momentum and Downside Risk (with Tong Suk Kim), Journal of Banking and Finance, Vol 72, 104–118 (2016)

5.    Time-Varying Expected Momentum Profits (with Dongcheol Kim, Tai-Yong Roh, and Suk Joon Byun), Journal of Banking and Finance, Vol 49, 191–215 (2014)

4.    Pricing Innovations in Consumption Growth: A Re-evaluation of the Recursive Utility Model (with Yuchao Xiao, Robert Faff, and Philip Gharghori), Journal of Banking and Finance, Vol 37, 4465–4475 (2013)

3.    Are Good-News Firms Riskier than Bad-News Firms? (with Tong Suk Kim), Journal of Banking and Finance, Vol 36, 1528–1535 (2012)

2.    Macroeconomic Risk and the Cross-Section of Stock Returns (with Jangkoo Kang, Tong Suk Kim, and Changjun Lee), Journal of Banking and Finance, Vol 35, 3158–3173 (2011)

1.    Future Labor Income Growth and the Cross Section of Equity Returns (with Dongcheol Kim and Tong Suk Kim), Journal of Banking and Finance, Vol 35, 67–81 (2011)

Other Publications

5.    Momentum, Reversals, and Business Cycle Turning Points (with Yuchao Xiao), Abacus, Vol 57 (2021)

4.    Testing the Mood Seasonality Hypothesis: Evidence from Down Under (with Deok-Hyeon Lee and Yuchao Xiao), Pacific-Basin Finance Journal, Vol 64 (2020)

3.    An Investment-Based Explanation for the Dispersion Anomaly (with Tai-Yong Roh), Economics Letters, Vol 186 (2020)

2.    Dispersion in Analysts’ Earnings Forecasts and Market Efficiency (with Tong Suk Kim and Ki-Deok Kim), International Review of Finance, Vol 20 (2020)

1.    The Q-Factors and Macroeconomic Conditions: Asymmetric Effects of the Business Cycles on Long and Short Sides (with Jangkoo Kang, Changjun Lee, and Tai-Yong Roh), International Review of Finance, Vol 20 (2020)

Working Papers

1.    Momentum and Durable Consumption Risk (with Dongcheol Kim and Hagen Kim), Revise & Resubmit at Journal of Financial and Quantitative Analysis

2.    Leisure, Labor Income, and Equity Risk Premia (with Paulo Maio)

3.    Ex Ante Jackpot Probability and Expected Option Returns (with Fousseni Chabi-Yo and Da-Hea Kim)

4.    Post-Earnings-Announcement Drift: Expected Growth Risk or Limits-to-Arbitrage? (with Dongcheol Kim and Deok-Hyeon Lee), Revise & Resubmit at Journal of Empirical Finance

5.    Seasonal Variation in Risk and Return Trade-Off (with Deok-Hyeon Lee)

Work-In-Progress

6.    When do Retail Investors Buy Lottery-Like Stocks? (with Danling Jiang and Deok-Hyeon Lee)

7.    Why are Momentum Profitabilities Different across Countries? (with Dong-Hyun Ahn and Tai-Yong Roh)

8.    Resurrecting Lottery-Related Anomalies (with Minki Kim)

Book Chapters

1.    “Momentum and Business Cycles” (pp. 297-311). In Market Momentum: Theory and Practice, (Wiley, 2021)

Awards and Honors

Outstanding Paper Award, Korea Derivatives Association Conference, 2022
Outstanding Paper Award, Joint Conference with the Allied Korea Finance Associations, 2021
Semifinalist for Best Paper Award (Two Papers), FMA Annual Meeting, 2019
Nominated for Best Paper Award, European Financial Management Association Meeting, 2019
Performance Award ($20,000), University of Sydney Business School, 2019
Dean’s Citation for Teaching Award, University of Sydney Business School, S1 2019
Honours Supervision Award, University of Sydney Business School, 2019
Outstanding Paper Award, Korea Derivatives Association Conference, 2018
Dean’s Citation for Teaching Award, University of Sydney Business School, S2 2016
Dean’s Citation for Teaching Award, University of Sydney Business School, S1 2016
Semifinalist for Best Paper Award, FMA Asia/Pacific Conference, 2016
Outstanding Paper Award, 10th International Conference on Asia-Pacific Financial Markets, 2015
Best Paper Award, Joint Conference with the Allied Korea Finance Associations, 2014
Nominated for Best Paper Award, European Financial Management Association Meeting, 2013
Outstanding Paper Award, 7th International Conference on Asia-Pacific Financial Markets, 2012
Best Paper Award, Joint Conference with the Allied Korea Finance Associations, 2012
American Finance Association Student Travel Grant Award, 2010
Outstanding Paper Award, 4th International Conference on Asia-Pacific Financial Markets, 2009
Financial Management Association Doctoral Student Consortium, 2009
Selected for a Special PhD Paper Presentation Session at Financial Management Association, 2009
Doctoral Student Dissertation Award, Financial News & Korea American Finance Association, 2009
Best Paper Award, Doctoral Consortium hosted by five Korean Finance Associations, 2009
Best Paper Award, Citi Bank & KAIST Financial Paper Competition, 2008
Excellent Paper Award, KAIST Business School Doctoral Conference, 2007

Conference and Seminar Presentations (* for co-author presentations)

2021: KAIST, Seoul National University*, Yonsei University*, FMA Europe (Virtual)*, Joint Conference with the Allied Korea Finance Associations

2020: Korea University (Econ), Econometric Society World Congress (Bocconi University/Virtual), Financial Management Association Annual Meeting (New York/Virtual), Winter Meetings of the Econometric Society (Nottingham/Virtual)*, International Conference on Asia-Pacific Financial Markets (Seoul)

2019: Cass Business School*, Hanyang University, Econometric Society North American Summer Meeting (Seattle), Financial Management Association Annual Meeting (Three Papers, New Orleans), Financial Research Network (FIRN) Annual Conference (Byron Bay), Sydney Banking and Financial Stability Conference (Two Papers)

2018: Korea University, Paris Financial Management Conference, International Conference on Asia-Pacific Financial Markets (Seoul), Multinational Finance Conference (Budapest), Korea Derivatives Association Conference (Seoul)

2017: European Financial Management Association (Athens), Financial Research Network (FIRN) Annual Conference (Uluru), Auckland Finance Meeting (Two Papers, Queenstown)*, Paris Financial Management Conference, International Conference on Asia-Pacific Financial Markets (Seoul)*

2016: FMA Asia/Pacific Conference (Sydney), European Financial Management Association (Basel)*, IFABS (International Finance and Banking Society) Conference (Barcelona)*, Multinational Finance Conference (Stockholm), Paris Financial Management Conference

2015: University of Sydney, University of Bristol, Victoria University of Wellington, University of Reading, Massey University (Manawatu and Albany campuses), SGF (Swiss Society for Financial Market Research) Conference (Zurich), Multinational Finance Conference (Halkidiki, Greece)*, Financial Research Network (FIRN) Annual Conference (Palm Cove), International Conference on Asia-Pacific Financial Markets (Seoul), Auckland Finance Meeting

2014: Hanyang University, Financial Management Association Annual Meeting (Nashville), IFABS (International Finance and Banking Society) Conference (Lisbon), World Finance Conference (Two Papers, Venice), Multinational Finance Conference (Prague)*, Joint Conference with the Allied Korea Finance Associations (Cheonan)*

2013: Kyung Hee University, International Paris Finance Meeting,  Financial Management Association Annual Meeting (Chicago), European Financial Management Association (Reading, UK), Multinational Finance Conference (Izmir, Turkey)*

2012: Yonsei University, Financial Management Association Annual Meeting (Two Papers, Atlanta), SGF (Swiss Society for Financial Market Research) Conference (Zurich), Australian Finance and Banking Conference (Sydney)*, International Conference on Asia-Pacific Financial Markets (Seoul)*, Joint Conference with the Allied Korea Finance Associations (Cheonan)*

2011: KAIST*, Yonsei University*, University of Neuchatel, Sejong University, Hallym University, Australian Finance and Banking Conference (Sydney)*, Multinational Finance Conference (Rome), Korea Securities Association Annual Meetings (Seoul)

2010: European Finance Association Annual Meeting (Frankfurt), Financial Management Association Annual Meeting (New York),  International Conference on Asia-Pacific Financial Markets (Seoul), Joint Conference with the Allied Korea Finance Associations (Two Papers, Dogo)

2009: Financial Management Association Annual Meeting (Two Papers, Reno), International Conference on Asia-Pacific Financial Markets (Seoul), Asian Finance Association International Conference (Brisbane)*, Joint Conference with the Allied Korea Finance Associations (Dogo)

2008: International Conference on Asia-Pacific Financial Markets (Seoul)

Teaching Experiences

Hanyang University
Big Data Analytics in Financial Markets (graduate), new course development (IC-PBL+), Fall 2021
Theory of Investments, Spring 2020 – 2022
Advanced Financial Theory and Practices, Spring 2020 – 2022
Financial Economics, Fall 2020 – 2021
Theories of Derivatives (graduate), Fall 2020

University of Sydney Business School
International Business Finance (graduate), S1 2016 (Dean’s Citation for Teaching Award), S1 2017, S1 2018, S1 2019 (Dean’s Citation for Teaching Award)
Derivative Securities (graduate), S2 2016 (Dean’s Citation for Teaching Award), S2 2017
Financial Modeling (graduate), S2 2015 – 2016
Capital Markets and Corporate Finance (graduate), S2 2015

University of Neuchatel
Derivatives (graduate), Fall 2011 – 2014
Fixed Income (graduate), Spring 2012 – 2015

Service to Department/Business School/University

Hanyang University
Faculty Recruiting Committee, 2020 – 2022
Graduate Program Committee, 2021 – 2022
Undergraduate Program Committee, 2020

University of Sydney Business School
Postgraduate Coordinator, Discipline of Finance, 2016 – 2019
Graduate Studies Board Member, Business School, 2016 – 2019
Research Committee, Discipline of Finance, 2019
Teaching Committee, Discipline of Finance, 2019
Recruitment Selection Committee for the Postdoc position, 2019
Recruitment Selection Committee for the Lecturer/Senior Lecturer position, 2018 AFA job market
Research Support Working Group, Business School, 2018

Professional Activities

Referee Activity: Journal of Banking and Finance, Journal of Financial Markets, Journal of Empirical Finance, Journal of Forecasting, Journal of Financial Research, Financial Review, Pacific-Basin Finance Journal, Journal of Macroeconomics, Finance Research Letters, International Review of Financial Analysis, Journal of International Financial Markets, Institutions & Money, International Journal of Finance and Economics, Accounting and Finance, Journal of Applied Economics, North American Journal of Economics and Finance, Applied Financial Economics, Asia-Pacific Journal of Financial Studies, Investment Analysts Journal, Physica A, Korean Journal of Financial Studies, Korean Journal of Finance, Journal of Economic Research, Asian Review of Financial Research

Discussion: 2022 Asian FA (Hong Kong/Virtual), 2021 Korean Securities Association-Korea Capital Markets Institute Joint Seminar (Seoul), 2021 International Conference on Asia-Pacific Financial Markets (Seoul), 2019 Financial Research Network (FIRN) Annual Conference (Byron Bay), 2019 Sydney Banking and Financial Stability Conference, 2018 Paris Financial Management Conference, 2018 Multinational Finance Conference (Budapest), 2017 European Financial Management Association (Athens), 2017 Financial Research Network (FIRN) Annual Conference (Uluru), 2017 Paris Financial Management Conference, 2017 PhD Conference in Economics and Business (Melbourne), 2016 China International Conference in Finance (Xiamen), 2016 FMA Asia/Pacific Conference (Sydney), 2016 Paris Financial Management Conference, 2016 Multinational Finance Conference (Stockholm), 2015 Auckland Finance Meeting, 2015 International Conference on Asia-Pacific Financial Markets (Seoul), 2015 Financial Research Network (FIRN) Annual Conference (Palm Cove), 2015 SGF (Swiss Society for Financial Market Research) Conference (Zurich), 2014 World Finance Conference (Venice), 11th International Paris Finance Meeting, 2013 European Financial Management Association (Reading, UK), 2012 Financial Management Association Annual Meetings (Atlanta), 2012 Annual Conference of Asia-Pacific Association of Derivatives (Busan), 2011 Multinational Finance Conference (Rome), 2010 Financial Management Association Annual Meetings (New York)

Conference Review Committee: 2022 FMA (Atlanta), 2022 FMA Europe (Lyon), 2022 FMA Asia/Pacific (Melbourne), 2022 CAFM (Conference on Asia-Pacific Financial Markets, Seoul), 2022 SFR (Summer Finance Roundtable, Busan), 2022 APAD (Asia-Pacific Association of Derivatives, Busan), 2021 FMA (Denver), 2021 FMA Europe (Virtual), 2021 CAFM, 2020 FMA (New York/Virtual), 2020 FMA Asia/Pacific (Nanjing), 2020 CAFM, 2019 FMA (New Orleans), 2019 FMA Europe (Glasgow), 2019 FMA Asia/Pacific (Ho Chi Minh City), 2019 SBFC (Sydney Banking and Financial Stability Conference), 2019 CAFM, 2018 FMA (San Diego), 2018 FMA Europe (Kristiansand, Norway), 2018 FMA Asia/Pacific (Hong Kong), 2017 FMA (Boston), 2017 FMA Europe (Lisbon), 2017 FMA Asia/Pacific (Taipei), 2016 European Finance Association (Oslo), 2016 FMA (Las Vegas), 2016 SGF (Swiss Society for Financial Market Research) Conference, 2015 European Finance Association (Vienna), 2015 FMA (Orlando), 2015 FMA Asia (Seoul), 2015 SGF Conference, 2014 FMA (Nashville), 2014 SGF Conference, 2013 SGF Conference

Session Chair: 2018 Paris Financial Management Conference, 2017 Paris Financial Management Conference, 2015 SGF (Swiss Society for Financial Market Research) Conference (Zurich), 2014 World Finance Conference (Venice)