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Research

Research Interests

Empirical Asset Pricing, Investments, Financial Market Anomalies

Publications

1.    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

2.    The Financial Performance of Socially Responsible Investments: Insights from the ICAPM (with Yuchao Xiao, Robert Faff, and Philip Gharghori), Journal of Business Ethics, forthcoming

3.    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

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)

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

6.    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)

7.    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)

-Doctoral Student Dissertation Award, Financial News & Korea American Finance Association (2009), Best Paper Award, Citi Bank & KAIST Financial Paper Competition (2008)

Working Papers

1.    Why Has the Size Effect Disappeared? (with Dong-Hyun Ahn and Bohyun Yoon)

-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, Semifinalist for Best Paper Award, 2016 FMA Asia Pacific Conference (Sydney), presented at University of Sydney, University of Bristol, Victoria University of Wellington, University of Reading, Hanyang University, Massey University (Manawatu and Albany campuses), 2015 Financial Research Network (FIRN) Annual Conference (Palm Cove), 18th SGF (Swiss Society for Financial Market Research) Conference (Zurich), and presented (by coauthor) at Multinational Finance Conference (Halkidiki, Greece)

2.   A Joint Explanation for the Cross-Sectional and Intertemporal Variations of Momentum Profits (with Dongcheol Kim), Revise & Resubmit

3.    Dispersion of Beliefs, Ambiguity, and the Cross-Section of Stock Returns (with Deok-Hyeon Lee and Tong Suk Kim)

-Presented at 2017 European Financial Management Association Annual Meeting (Athens), and (by coauthor) at 2016 International Finance and Banking Society Conference (Barcelona), Revise & Resubmit

4.    A Growth Risk-Based Explanation of PEAD (with Dongcheol Kim and Deok-Hyeon Lee)

5.    What Drives the Dispersion Anomaly? (with Buhui Qiu and Tai-Yong Roh)

6.    Consumption Growth Predictability and Asset Prices (with Changjun Lee and Tai-Yong Roh)

-Nominated for Best Paper Award at 2013 European Financial Management Association Annual Meeting (Reading), and presented at 2013 Financial Management Association Annual Meeting (Chicago) and at 2016 Multinational Finance Conference (Stockholm), Revise & Resubmit

Work in Progress

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

2.    Asset Pricing with Leisure: Implications for the Cross Section of Stock Returns

3.    Long-Run Risk with Durable Consumption: A Potential Resolution of Business Cycle Variation Puzzle (with Dong-Hyun Ahn and Hwagyun Kim)

-Presented at Ohio State University, 2010, Hallym University, 2011, and presented (by coauthor) at Yonsei University, 2011

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