Research Interest 연구 분야

Asset Pricing,  Institutional Investors,  Credit Markets,  Market Frictions,  Capital Supply and Financing, Macroeconomy and Finance, Climate Finance

재무경제학, 거시경제과 금융시장, 뮤추얼펀드 및 헤지펀드, ESG 사회책임투자, 주식 채권 파생상품

Selected Honors and Awards 주요 수상 및 활동

52nd Mae Kyung Economist Award (매경 이코노미스트상)

William F. Sharpe Award for Scholarship in Financial Research, recognizing the best paper in the 2021 Volume of Journal of Financial and Quantitative Analysis

Distinguished Referee Award, Review of Finance.

Young Scholar Award, Korean-America Finance Association.

Arnold O. Beckman Research Award, University of Illinois.

David M. Graifman Award for the Best Dissertation in Finance, Stern School of Business, NYU. (스턴스쿨 최우수 졸업논문상) 

Editorial Positions 주요 학술지 편집위원장 경력

Associate Editor:

• Review of Financial Studies, 2022-

• Journal of Banking and Finance, 2019-

• Journal of Financial Research, 2019-

• Asia-Pacific Journal of Financial Studies, 2014-

Editorial Board: 

• Pacific-Basin Finance Journal, 2021-

Special Issue Editor:

• Asia-Pacific Journal of Financial Studies, Special Issue on "New Asset Pricing Developments in Asia-Pacific"

Published or Accepted Papers 주요 출판 논문

[15] “Reaching for Yield and  the Cross-section of Bond Returns” with Qianwen Chen. Management Science, accepted

• Bonds that are associated with reaching for yield earn lower alphas. 

[14]  “Customer Liquidity Provision: Implications for Corporate Bond Transaction Costs” with Yesol Huh and Sean Shin. Management Science, forthcoming

• Presented at the 2018 AFA

• CICF Yihong Xia Best Paper Award, 2017

[13]  “ Sitting Bucks: Stale Pricing in Fixed Income Funds” with Mathias Kronlund and Ji Yeol Jimmy Oh. Journal of Financial Economics, forthcoming

• Bond fund prices are extremely stale. Investors take advantage of stale pricing and annual dilution is approximately $1.2 billion in 2020 dollars.

• Presented at the 2020 WFA 

• AIM Investment Conference Distinguished Paper Award. FMA  Best Paper on Investments Semifinalist

[12] “Capital Structure Priority Effects in Durations, Stock-Bond Comovements and Factor-Pricing Models” with Matthew Richardson and Robert Whitelaw. Review of Asset Pricing Studies, forthcoming

• Presented at the 2012 FRA

• Previously titled "On the Fundamental Relation Between Equity Returns and Interest Rates" (NBER Working Paper No. 20187)

[11] “Granularity of Corporate Debt” with Dirk Hackbarth and Josef Zechner. Journal of Financial and Quantitative Analysis, 56(4), June 2021, pp. 1127-1162. 

• Firms actively manage debt profiles by having granular maturity structure

• Winner of the William F. Sharpe Award (Best Paper of the JFQA 2021 Volume)

[10] “Mutual Fund Flows and Fluctuation in Credit and Business Cycles” with Azi Ben-Rephael and Itay Goldstein. Journal of Financial Economics,  139(1), January 2021, pp. 84-108 .

• Presented at the 2017 AEA and 2018 Utah Winter Finance Conference

• Video Link to my UWFC Presentation

• Podcast link in Knowledge @ Wharton 

[9] “Corporate Bond Mutual Funds and Asset Fire Sales” with Saeid Hoseinzade,  Sean Seunghun Shin, and Hassan Tehranian. Journal of Financial Economics,  138(2), November 2020, pp. 432-457 .

• This paper is a merger outcome of two independent papers, "Liquidity Sensitive Trading and Corporate Bond Fund Fire Sales" by Choi and  Shin and "Corporate Bond Mutual Funds and Asset Fire Sales" by Hoseinzade and Tehranian.

[8] “Asymmetric Learning from Price and Post-Earnings Announcement Drift” with Linh Le and Jared Williams. Contemporary Accounting Research, 36(3), Fall 2019, pp. 1724-1750.

• Previously titled "False Consensus Effect and the Post-Earnings Announcement Drift"

[7] “Dealer Liquidity Provision and the Breakdown of the Law of One Price: Evidence from the CDS-Bond Basis” with Or Shashar and Sean Seunghun Shin.  Management Science, 65(9), September 2019, pp. 4100-4122.

• Previous circulated as "Did Liquidity Providers Become Liquidity Seekers? Evidence from the CDS-Bond Basis during the 2008 Crisis"

• Presented at the 2014 WFA

• Related coverage: Financial Times, Risk.net, Central Banking, FTSE Global Markets

[6] “Anomalies and Market (Dis)Integration” with Yongjun Kim. Journal of Monetary Economics, 100, December 2018, pp. 16-34.

• Equity and corporate bond markets are not well-integrated. Equity-level anomalies do not tend to show up in bonds. Bond return premia are too large to be explained by hedge ratios. Factor risk premia of the standard factors differ between the two markets.

• Outstanding Paper Award, Midwest Finance Association

[5] “Corporate Debt Maturity Profiles” with Dirk Hackbarth and Josef Zechner. Journal of Financial Economics, 130(3), December 2018, pp. 484-502.

• Firms actively manage maturity profiles by filling maturity gaps and avoid maturity towers.

• Also published in the Harvard Law School Forum on Corporate Governance and Financial Regulation

[4] “Reaching for Yield in Corporate Bond Mutual Funds” with Mathias Kronlund. Review of Financial Studies, 31(5), May 2018, pp. 1930-1965. 

• Reaching for yield (RFY) leads to higher fund flows and returns when interest rates are low. However, alphas of RFY funds tend to be negative and their bond holdings default more often.

• Presented at the 2016 WFA

[3] "The Volatility of a Firm's Assets and the Leverage Effect" with Matthew Richardson. Journal of Financial Economics, 121(2), August 2016, pp. 254-277. 

• Based on the 2nd chapter of my Ph.D. thesis at NYU Stern

• Presented at the 2010 AFA

• Also provides cross-sectional (unlevered) asset return tests for size-, book-to-market-, momentum-, and beta-sorted portfolios, thus subsuming the results of my old working paper, “Rethinking the Conditional CAPM: The Impact of Financial Leverage.”

• Online Appendix. Also download the asset volatility data used in this paper.

[2] "What Drives the Value Premium?: The Role of Asset Risk and Leverage" (solo-authored), Review of Financial Studies, 26(11), November 2013, pp. 2845-2875.

• Based on the 1st chapter of my Ph.D. thesis at NYU Stern. 

• Presented at the 2009 WFA.

• For the construction of (unlevered) asset beta data, see the data section and the Appendix.

• Online Appendix provides a novel continuous time model for endogenous financing and investment. Moved out of the paper for brevity.

[1] "Credit Risk Model with Lagged Information" (solo-authored), Journal of Derivatives, Winter 2008, pp. 85-93 

• Based on my master's thesis at Princeton University

• Provides a cool modeling framework for information delay in a continuous time framework. Also proves the existence of a Duffie-Lando (Econometrica 2002) style default intensity process. Only information delay is enough to derive an intensity process, unlike in Duffie and Lando (2002) where you need both information delay and noisy information.

Working Papers

“Does Foreign Institutional Capital Promote Green Growth for Emerging Market Firms?” with Chiyoung (Sophia) Cheong, Sangeun Ha, and Ji Yeol Oh.

• After MSCI index inclusion, emerging market firms increase carbon emissions

“Natural Disasters and Municipal Bonds” with JK Auh, Tatyana Deryugina, and Tim Park.

• How would climate change and natural disasters affect municipal bond returns?

• Invited for RFS dual submission

“Mutual Fund Flows and the Supply of Capital in Municipal Financing” with Manuel Adelino, Chiyoung Cheong, and Jimmy Oh.

• How do investor demand drive municipal bond issuance? 

• Scheduled for presentation at 2023 AFA

“Investor Demand, Financial Market Power, and Capital Misallocation” with Xu Tian, Yufeng Wu, and Mahyar Kargar.

• How would sentiment-driven investor demand drive (mis)allocation of capital in the financial market? 

• Presented at 2022 WFA

“Bond Funds and Credit Risk” with Amil Dasgupta and Ji Yeol Jimmy Oh.

• Bond holdings lead to increased credit risk

• Presentation at the 2022 AFA

“Why Have Actively Managed Bond Funds Remained Popular?” with Martijn Cremers and Timothy Riley.

• Active bond funds earn higher alphas, demonstrate lower downside risk, and exhibit less flow sensitivity to poor performance, thus alleviating run risk

“Profitability of Hedge Fund Short Sales: Evidence from Opening and Closing Transactions” with Ji Min Park, Neil Pearson and Shastri Sandy.

• Presented at the 2017 AFA

• Previously titled "A First Glimpse into the Short Side of Hedge Funds"

“The More Illiquid, The More Expensive: A Search-Based Explanation of the Illiquidity Premium” with Jungsuk Han, Sean Shin, Ji Hee Yoon.

• A search-based model shows how illiquid assets can be more expensive than illiquid assets

“The Dissection of Firm Returns” with Andres Donangelo and Yongjun Kim.

• Draft available upon request

Permanent Working Papers

“Rethinking the Conditional CAPM: The Impact of Financial Leverage”

• Chapter 3 of my Ph.D. thesis at NYU Stern. Now subsumed by my 2016 JFE paper "The Volatility of a Firm's Assets and the Leverage Effect."

Data

• Download the asset volatility data used in “The Volatility of a Firm's Assets and the Leverage Effect” with Matthew Richardson. Journal of Financial Economics, 2016.

• Download asset beta data estimated using asset returns constructed in my 2013 RFS paper  “What Drives the Value Premium?: The Role of Asset Risk and Leverage”