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.

     (Under revision for the second round at Financial Management)

We develop a direct time-series test of whether an empirical pricing factor proxies for an innovation to a latent state variable in the intertemporal capital asset pricing model. Using an Exponential-Almon MIDAS specification, we reconstruct the factor-implied state variable from a parsimoniously weighted history of factor realizations and test whether it predicts a model-implied aggregate measure of the investment opportunity set. Simulations show that MIDAS reconstructs latent states more accurately than rolling-sum and finite-distributed-lag alternatives across diverse dynamics, but conventional asymptotic tests substantially overreject. We therefore use a null-imposed recursive system bootstrap, Clark–West out-of-sample tests, and subsample stability tests. Applying the method to the nonmarket Fama–French, momentum, and selected q5 factors from 1974 through 2024, we find bootstrap support for SMB and HML in the market return predictive regressions. SMB is more stable across subsamples and is the only factor with a positive full-period out-of-sample R2. For realized variance, CMA and I/A receive the strongest support across bootstrap, out-of-sample forecasting, and subsample evidence, while HML and WML receive weaker support. The results help identify the intertemporal risks represented by empirical factors.

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

     (To be presented at the 2026 Annual Meeting of Financial Management Association)

We discuss the sign tests that check the time-series and cross-sectional consistency of pricing factors within the ICAPM framework. We examine the theoretical framework and empirical procedure of these tests to clarify their economic content and verify whether they deliver what they are designed for. We show that these tests are joint tests of the ICAPM and the choice of aggregate measures – sufficient statistics for the investment opportunity set – and that the aggregate measures help us understand the nature of the systematic risks the pricing factors represent. We show that, in order for the tests to deliver on their promise, researchers must state the aggregate measures explicitly, incorporate the auxiliary assumptions accompanying them, validate the choice empirically when it is not implied by theory, and derive the test implications from a pricing equation consistent with all the chosen measures. Our reinterpretation of the evidence in Maio and Santa-Clara (2012), our international evidence on regional empirical factors, and our new empirical results on Boons (2016) illustrate both how existing conclusions change under this discipline and how future applications of the tests should proceed.

3. "Real Economic Linkages and the Transmission of U.S. Monetary Policy to Global Equity Markets" with Heungju Park.

We examine how real economic linkages with the United States influence the international transmission of U.S. monetary policy surprises to foreign equity markets. Using granular measures of trade exposure and high-frequency identification of monetary shocks, we an-alyze equity returns across a broad panel of countries around FOMC announcements. We find that countries with greater trade integration on both the demand-side and the supply-side exhibit significantly larger declines in equity prices following unanticipated monetary tightening. Decomposing returns into cash flow and discount rate news, we show that this amplification operates predominantly through revisions in expected cash flows rather than discount rates. Finally, local projections reveal that industrial production in trade-exposed countries declines significantly in subsequent quarters, suggesting that equity markets in-corporate the real economic consequences of monetary policy shocks in a timely manner.

4. "Two-Component Volatility Spillovers between Stock Markets through Financial and Real Linkages" with Heungju Park.

Volatility spillovers between stock markets are widely believed to reflect interdependence driven by financial and real linkages, yet this transmission mechanism has gone largely unexamined because low-frequency fundamentals and high-frequency stock market returns are sampled at mismatched frequencies. We resolve this problem with a GARCH-MIDAS model that decomposes daily volatility into short-run and long-run components and links the long-run component directly to monthly or quarterly activity variables. Using two-sided filters, we test bidirectional causality between Korean stock market volatility and financial and real economic activity in the United States and China. Estimating the model for these stock markets and economies from 1991 to 2025, we find that the long-run component reflects domestic business cycle fundamentals and that U.S. and Chinese activity variables are systematically connected to Korean market volatility, with these linkages changing as integration varies over time. 

5. "International Bond Return Predictability: The Role of U.S. Bond Markets" with Byungmin Ahn and Heungju Park.

This paper examines whether U.S. Treasury returns contain information about future sovereign bond risk premia across international markets. Using 12-month holding-period sovereign bond excess returns for 21 countries, we estimate country-specific predictive regressions and find that lagged U.S. Treasury returns forecast foreign sovereign bond returns after controlling for local yield curve factors, with the predictive content concentrated at short maturities and strongest among developed markets. This relation remains robust to small-sample bootstrap inference and extends out of sample in a subset of markets. The predictive content is not easily reproduced by other large bond markets or absorbed by global ex-U.S. factors. Decomposing U.S. Treasury returns into expected short rate and term premium components, we find that the short-horizon predictability is more consistently associated with the expected path of future short-term interest rates than with the term premium. These findings point to an expectations channel rather than a term-premium risk compensation channel in the international transmission of U.S. bond market information.

6. "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)