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Research

Research Interests

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

Main Publications

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

-Outstanding Paper Award at 2018 Korea Derivatives Association Conference

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

-Winner of the Outstanding Paper Award, 2015 International Conference on Asia-Pacific Financial Markets, Winner of the Best Paper Award, 2014 Joint Conference Allied Korea Finance Associations

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

4.    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) [paper]

5.    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) [paper]

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

-Winner of the Outstanding Paper Award, 4th International Conference on Asia-Pacific Financial Markets, Winner of the Best Paper Award, Doctoral Consortium hosted by Allied Korean Finance Associations

7.    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) [paper]

-Winner of the Outstanding Paper Award, 2012 7th International Conference on Asia-Pacific Financial Markets, Winner of the Best Paper Award, 2012 Joint Conference Allied Korea Finance Associations

8.    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)

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

10.    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)

11.    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)

-Presented at European Finance Association Annual Meeting (Frankfurt), Doctoral Student Dissertation Award, Financial News & Korea American Finance Association (2009), Best Paper Award, Citi Bank & KAIST Financial Paper Competition (2008)

Other Publications

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

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

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

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

16.    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) [paper]

-Semifinalist for Best Paper Award at Financial Management Association Annual Meeting (New Orleans), Outstanding Paper Award at Joint Conference with the Allied Korea Finance Associations, presented at Cass Business School, KAIST, Korea University (Econ),  Econometric Society World Congress (Bocconi University/Virtual), Econometric Society North American Summer Meeting (Seattle), Winter Meetings of the Econometric Society (Nottingham/Virtual), Financial Management Association Annual Meeting (New Orleans), FMA Europe (Nottingham/Virtual), Financial Research Network (FIRN) Annual Conference (Byron Bay), and International Conference on Asia-Pacific Financial Markets (Seoul)

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

-Presented at Seoul National University, Yonsei University

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

-Presented at Auckland University of Technology, Financial Management Association Annual Meeting (New Orleans), and Auckland Finance Meeting (Queenstown)

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)

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