MAIN PUBLICATIONS
1, “Time-Varying Expected Momentum Profits” with Dongcheol Kim, Byoung-Kyu Min, and Suk-Joon Byun
-Journal of Banking and Finance, (2014), Vol 49, 191–215 (ABS-3, ABDC-A*, SSCI)
2. “A Comprehensive Look at the Return Predictability of Variance Risk Premium” with Suk-Joon Byun and Bart Frijns
- Journal of Futures Markets, (2018), Vol 38, 425-445 (ABS-3, ABDC-A, SSCI)
3. “Consumption Growth Predictability and Asset Prices” with Changjun Lee and Byoung-Kyu Min
- Journal of Empirical Finance, (2019), Vol 51, 95-118 (ABS-3, ABDC-A, SSCI)
4. “An Investment-Based Explanation for the Dispersion Anomaly” with Byoung-Kyu Min
- Economics Letters, (2020), Vol 186, 108832 (ABS-3, ABDC-A, SSCI)
5. “An Examination of Ex Ante Risk and Return in the Cross-Section Using Option-Implied Information” with Dongcheol Kim, Ren-Raw Chen, and Durga Panda (Previously titled "On the ex ante cross-sectional relation between risk and return using option-implied information")
- European Journal of Finance, (2020), Vol 26, 1623-1645 (ABS-3, ABDC-A, SSCI)
6. “Volatility-of-Volatility Risk in the Crude Oil Market” with Alireza Tourani-Rad, Yahua Xu, and Yang Zhao
- Journal of Futures Markets, (2021), Vol 41, 245-265 (ABS-3, ABDC-A, SSCI)
7. “What Drives the Dispersion Anomaly?” with Byoung-Kyu Min and Buhui Qiu
-Journal of Banking and Finance, (2022), Vol 138, 106405 (ABS-3, ABDC-A*, SSCI)
8. “Who Buys Bitcoin? The Cultural Determinants of Bitcoin Activity” with Sean Foley, Bart Frijns, and Alexandre Garel
-International Review of Financial Analysis, (2022), Vol 84, 102385 (ABS-3, ABDC-A, SSCI)
9. “Lottery Preference and Skewness Risk Premium: Evidence from the Chinese Market ” with Yahua Xu and Xianjing Zhou
- Journal of Futures Markets, (2025), Vol 45, 1818-1851 (ABS-3, ABDC-A, SSCI)
OTHER PUBLICATIONS
1. “The Q-Factors and Macroeconomic Conditions: Asymmetric Effects of the Business Cycles on Long and Short Sides” with Changjun Lee, Byoung-Kyu Min, and Jangkoo Kang
- International Review of Finance, (2020), Vol 20, 897-921 (ABDC-A, SSCI)
2. “Bad Volatility is Not Always Bad: Evidence from the Commodity Markets” with Ivan Indriawan, Donald Lien, and Yahua Xu
- Applied Economics, (2020), Vol 52, 4384-4402 (ABS-2, ABDC-A, SSCI)
3. “Downside Uncertainty Shocks in the Oil and Gold Markets” with Yahua Xu and Suk-Joon Byun
- International Review of Economics and Finance, (2020), Vol 66, 291-307 (ABS-2, ABDC-A, SSCI)
4. “National Culture and Corporate Risk-Taking around the World” with Bart Frijns, Frank Hubers, Donghoon Kim, and Yahua Xu
- Global Finance Journal, (2022), Vol 52, 100710 (ABS-2, ABDC-B, SSCI)
5. “Oil Volatility-of-Volatility and Tail Risk of Commodities” with Alireza Tourani-Rad and Yahua Xu
- Applied Finance Letters, (2024), Vol 13, 223-236 (ABDC-B)
6. “Can Machine Learning Uncover Abnormal Returns in Uncharted Financial Territories? ” with Byoung-Kyu Min
- Pacific-Basin Finance Journal, (2025), Vol 94, 102823 (ABS-2, ABDC-A, SSCI)
7. “Extracting Gold Risk Premium via Dimension Reduction Tools: Implication on the Gold-Inflation Relationship” with Byung Yoon Lee and Yahua Xu
- Applied Economics Letters, (2026), Vol 33, 155-164 (ABDC-B, SSCI)
CO-AUTHORS LIST
1. Byoung-Kyu Min
- Professor, Hanyang University, College of Economics and Finance, Seoul, Korea
- Website: https://minbq.com
2. Suk-Joon Byun
- Professor of Finance, KAIST Business School, Seoul, Korea
- Website: https://www.business.kaist.ac.kr/faculty/sjbyun99
3. Bart Frijins
- Full Professor, Open Universiteit, Department of Accounting and Finance, Heerlen, Netherlands
- Website: https://research.ou.nl/en/persons/bart-frijns
4. Buhui Qiu
- Professor of Business and Finance, The University of Sydney Business School, Discipline of Finance, Sydney, Australia
- Website: https://sites.google.com/site/buhuiqiu/
5. Ren-Raw Chen
- Professor of Finance, Fordham University, New Work, USA
- Website: https://faculty.fordham.edu/rchen/