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Research

Research Interests

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

Main Publications

1.    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

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

3.    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)

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

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

-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

6.    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)

-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

7.    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)

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

9.    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)

10.    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

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

12.    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, forthcoming

Working Papers

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

2.    Wage Growth and Equity Risk Premia (with Paulo Maio) [paper]

-Semifinalist for Best Paper Award at 2019 Financial Management Association Annual Meeting (New Orleans), presented (by coauthor) at Cass Business School, 2019, and presented at 2019 North American ​Summer Meeting of the Econometric Society (Seattle), and to be presented at at 2019 Financial Management Association Annual Meeting (New Orleans) and at 2019 Financial Research Network (FIRN) Annual Conference (Byron Bay)

3.    What Drives the Dispersion Anomaly? (with Buhui Qiu and Tai-Yong Roh) [paper]

-Semifinalist for Best Paper Award at 2019 Financial Management Association Annual Meeting (New Orleans), presented at Korea University, 2018 Paris Financial Management Conference, 2018 International Conference on Asia-Pacific Financial Markets (Seoul), 2018 Multinational Finance Conference (Budapest), 2018 Korea Derivatives Association Conference (Seoul), 2017 Financial Research Network (FIRN) Annual Conference (Uluru), and presented (by coauthor) at 2018 Asian Finance Association Meeting (Tokyo), 2017 Auckland Finance Meeting (Queenstown), and to be presented at 2019 Financial Management Association Annual Meeting (New Orleans)

4.    Post-Earnings-Announcement Drift: Expected Growth Risk or Limits-to-Arbitrage? (with Dongcheol Kim and Deok-Hyeon Lee)

-Presented (by coauthor) at Auckland University of Technology, 2017 Auckland Finance Meeting (Queenstown), and to be presented at 2019 Financial Management Association Annual Meeting (New Orleans)

Work in Progress

1.    Why Are Momentum Profitabilities Different Across Countries? (with Dong-Hyun Ahn and Tai-Yong Roh)

2.    Why does CAPM work in January? (with Henk Berkman)

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