Research

Publications

• “Short-Sale Strategies and Return Predictability,” 2009, with K. Diether and I. M. Werner, Review of Financial Studies 22, 575-607

• “It’s SHO Time! Short-Sale Price Tests and Market Quality,” 2009, with K. Diether and I. M. Werner, Journal of Finance 64, 37-73

• “The World Price of Liquidity Risk,” 2011, Journal of Financial Economics 99, 136-161

• “Understanding Commonality in Liquidity around the World,” 2012, with G. A. Karolyi and M. van Dijk, Journal of Financial Economics 105, 82-112

• “Pricing of Liquidity Risks: Evidence from Multiple Liquidity Measures,” 2014, with S. Kim, Journal of Empirical Finance 25, 112-133

• “Sovereign Credit Risk, Banks’ Government Support, and Bank Stock Returns around the World,” 2014, with R. Correa, H. Sapriza, and G. Suarez, Journal of Money, Credit, and Banking 46, 93-121

• “Sovereign Debt Ratings Changes and Stock Liquidity around the World,” 2016, with H. Sapriza and Y. Wu, Journal of Banking & Finance 73, 99-112

• “Maxing out globally: Individualism, investor attention, and the cross-section of expected stock returns," 2018, with Yong-Ho Cheon, Management Science 64, 5807-5831

• "The world price of tail risk." 2022, with Cheol-Won Yang, Pacific-Basin Finance Journal 71

• “Allocation of attention and the delayed reaction of stock returns to liquidity shock: Global evidence,” 2023, with Shu-Feng Wang, Journal of Empirical Finance 72, 421-444 

Publications about Korean market

• “Markov Model of Word-of-Mouth Effect and Stock Market Participation,” 2012, Seoul Journal of Business 18, 83-103

• “Do foreign short-sellers predict stock returns? Evidence from daily short-selling in Korean stock market,” 2015, with Shu-Feng Wang, Pacific-Basin Finance Journal 32, 56-75

• “Short-selling with a short wait: Trade- and account-level analyses in Korean stock market,” 2016, with Shu-Feng Wang, Pacific-Basin Finance Journal 38, 209-222

• “Do individual short-sellers make money? Evidence from Korea,” 2017, with Shu-Feng Wang and Min-Cheol Woo, Journal of Banking & Finance 79, 159-172 

• “The Variation of Liquidity Risk Premium,” 2017, Seoul Journal of Business 23, 1-21

• "Time Variation of MAX-Premium with Market Volatility: Evidence from Korean Stock Market," 2018, with Yong-Ho Cheon, Pacific-Basin Finance Journal 51, 32-46

• "Time-Varying Aggregate Short-Selling in Korea," 2019, with Shu-Feng Wang, Asia-Pacific Journal of Financial Studies 48, 690-720 

Books

• 이관휘의 자본시장 이야기 (2023, 어크로스)

• 투자의 기초 (2022, EBS Books)

• 기업은 누구의 것인가 (2022, 21세기북스)

• 이것이 공매도다 (2019, 21세기북스) 

Working Papers

• "U.S. Monetary Policy Transmission and Liquidity Risk Premia around the World" (with G. Andrew Karolyi and Mathijs van Dijk) 

• "Liquidity and Credit Ratings" (with Sunyoung Lee)

• "Common Variation in the Tail Risk Premia around the World" (with Shu-Feng Yang)

• "Can Liquidity Be a Risk Factor That Predicts Economic Growth?" (with Yunseong Eom and Shu-Feng Yang)

• "Inattention and delayed reaction of stock returns to liquidity shock: Global evidence" (with Minsu Ko and Shu-Feng Wang) 

• "Executive options and stock liquidity" (with Carrie Pan and Christo Pirinsky)

• "Is Change in Managerial Ownership a Good Proxy of Newly Appointed CEO’s Ability?" (with Sera Choi, Iny Hwang, and Seung-Hee Yang)

• "Liquidity Volatility Puzzle around the World" (with Mars Chen, Huu Duong, and Ghon Rhee)

• "Are Extreme Negative Liquidity Shocks in the US Equity and Treasury Notes Markets Contagious?" (with C. W. Stahel) 

• "The Dynamic Volume-Return Relationship of Individual Stocks: The International Evidence" (with L. Gagnon and G. A. Karolyi)

• "Liquidity, Liquidity Risk, and Holding Period" (with D. W. Lee and C. W. Stahel)

• "Liquidity Spillovers" Finalist at the 19th Hayes Research Forum, Ohio State University