Academic Appointments

• Associate & Assistant Professor of Finance, Korea University Business School, Korea University (2013 - Present)

• Assistant Professor of Finance, McDonough School of Business, Georgetown University (2009 -2013)

Education

• PhD in Finance, Kenan-Flagler Business School, University of North Carolina at Chapel Hill (2009)

• Msc in Financial Mathematics, Department of Mathematics, Stanford University (2003)

• Msc in Econometrics and Mathematical Economics, Department of Economics, London School of Economics (2001)

• BS in Engineering, Department of Fiber and Polymer Science, Seoul National University (1996)

Research Interests

• Empirical Asset Pricing and Financial Econometrics

Published Articles

1. "Which Power Variation Predicts Volatility Well?" with Eric Ghysels, Journal of Empirical Finance, 16, p.686-700.

2. "Stock Market Volatility and Macroeconomic Fundamentals" with Robert F. Engle and Eric Ghysels, Review of Economics and Statistics, 95 (3), p.776-797.

3. "Long-term Perspective on the Stock Market Matters in Asset Pricing" with Heungju Park, Finance Research Letters, 16, p.162-170.

4. "Early Warning Indicators of Banking Crisis and Bank Related Stock Returns" with Heungju Park, Finance Research Letters, 18, p.193-198.

5. "Foreign Investment in Emerging Markets: International Diversification or Familiarity Bias?" with Yunxiao Liu and James L. Park, Emerging Markets Finance and Trade, 54 (10), p.2169-2191.

6. "Aggregate Volatility Risk and Empirical Factors: An International Study" with Woongki Lee and James L. Park, Emerging Markets Finance and Trade, 57 (5), p.1489-1513.

7. "The ICAPM and Empirical Pricing Factors: A Simulation Study" with Ji Ho Kwon, Finance Research Letters, 60, (article#) 104836.

8. "Is The Idiosyncratic Volatility Puzzle Driven by A Missing Factor?" with Hanjun Kim, Asia-Pacific Journal of Business, 15 (1), p.1-14.

9. "Comparison of Factor-Based Asset Allocation and Asset-Class-Based Asset Allocation with Estimation Errors" with Goeun Lee, Asia-Pacific Journal of Business, 16 (3), p.167-185.

Working Paper

1. "Do Empirical Pricing Factors Proxy for Innovations to State Variables in the ICAPM? A Direct Time-Series Test" with Heungju Park.

2. "On the Time-Series and Cross-Sectional Consistency of Pricing Factors" with Ji Ho Kwon.

3. "Stock Market Volatility and Trading Strategy Based Factors"

Work in Progress

1. "Intertemporal Capital Asset Pricing Model without State Variables" with Ji Ho Kwon.

Professional Activity / Experience

• Referee service : Journal of Finance, Journal of Applied Econometrics, Review of Financial Studies, Management Science, Emerging Markets Finance and Trade, Journal of Financial Intermediation, Journal of Banking and Finance, Econometric Reviews, Asia-Pacific Journal of Financial Studies, Journal of Money, Credit, and Banking, Seoul Journal of Economics, European Journal of Finance, Journal of Financial Markets, International Economic Journal, International Review of Economics and Finance, Journal of Futures Markets, Review of Finance, Journal of Financial and Quantitative Analysis

• Associate, Samsung Securities, Co., LTD. (1996 - 1999)