WORKING PAPER
l “Uncertainty Shocks and the Daytime Beta Anomaly” with Sung Won Seo
- Accepted at Applied Economics Letters
l “The Information Content of the Decomposed VVIX and VSKEW” with Alireza Tourani-Rad and Yahua Xu
- Presented at 2021 Derivative Markets Conference
l “When Gold Meets Copper: A Comprehensive Look at the Informative Role of the Relative Value of Gold on Global Stock Markets” with Donghoon Kim, Sun-Joong Yoon, and Yu You
- Presented at 2023 FMA Annual Meeting, 2024 (37th) Academy of Finance (AOF) Conference, and 2024 FMA Asia/Pacific Conference
- Reject & Resubmit at Journal of Banking and Finance
l “Post-Earnings-Announcement Drift: Expected Growth Risk or Limits-to-Arbitrage?” with with Dongcheol Kim, Deok-Hyeon Lee, and Byoung-Kyu Min
- Revise & Resubmit at Journal of Empirical Finance
l “Inflation and Dynamic Value Investing” with Robert Faff and Byoung-Kyu Min
- Revise & Resubmit at International Review of Financial Analysis
WORK-IN-PROGRESS
l “Why Are Momentum Profitabilities Different Across Countries?” with Dong-Hyun Ahn and Byoung-Kyu Min
CO-AUTHORS LIST
1. Dong-Hyun Ahn
- Professor of Economics, Seoul National University, College of Social Science, Seoul, Korea
- President, Korea Capital Market Institute, 2016.5~2018.4
2. Alireza Tourani-Rad
- Professor of Finance, Auckland University of Technology, Auckland, New Zealand
- Deputy Dean and Associate Dean International, Auckland University of Technology
3. Dongcheol Kim
- Professor of Finance, Korea University Business School, Seoul, Korea
- Books: "Modern Portfolio Theory: Foundations, Analysis, and New Developments", John Wiley & Sons: New York, 2013 (with Jack Clark Francis). [ISBN: 978-1-1183-7052-0]