Job Market Paper

 [1] The Pricing and Economic Impact of Legal Risk

solo-authored

Key Takeaway : A firm-level measure of legal risk, obtained from textual analysis of earnings call transcripts, helps explain its impact on investment decisions, capital structure choices, and asset prices.

Presented at (* for scheduled): FMA 2024 (New Ideas Session)  |  Sunkyunkwan University  |  Joint Conference of the Allied Korean Finance Associations  |  University of Oxford  |  Trans Atlantic Doctoral Conference  |  FMA European Doctoral Consortium  |  LAPE Spring Workshop  |  International Accounting and Finance Doctoral Symposium  |  11th Annual USC Marshall Ph.D. Conference in Finance  |  Finance Theory Group Summer School  |  8th Annual Dauphine Finance PhD Workshop  |  Inter-Finance PhD Online Seminar* | GSU-MS AI and FinTech Conference*  | Yonsei University*  | Seoul National University*  |  FMA 2025 (Doctoral Consortium and main session)*  | Conference on Empirical Legal Studies*  | Choong-Ang University*  |  IBEFA-ASSA main session 2026*

Recipient of the Pladifes COGEM Project Award for Sustainable Finance Research 

Links : [SSRN (last update: July, 2025)]

Other Working Papers

[2] Divided Government and the Stock Market 

With Theofanis Papamichalis and Mungo Wilson

Key Takeaway : The "government cycle" established in this paper helps explain variations in the stock market and economic growth, while also sheding light on the post-1980s decline in the firm size effect (SMB).

Selected presentations (see CV for full list):  UBS Quant Conference 2024  |  EFA 2024  |  Q group Fall Seminar 2024  |  FMA 2024  |  ACES-ASSA 2025  |  Northeastern Finance Conference 2025  |  Joint Conference of the Allied Korean Finance Associations

Best Pitch Award (Best Ph.D. Paper award), FMA 2024 Asia/Pacific
Semi-finalist, FMA 2024
Best Paper Award, Joint Conference of the Allied Korean Finance Associations

Links : [SSRN (last update: April, 2025)]   [Slides (ASSA 2025)] [easy-to-read summary (notion page)]
Media coverage: [Institutional Investor]

 [3] Long-History PCA in a Dynamic Factor Model with Weaker Loadings 

With Robert M. Anderson and Baeho Kim
Revise & Resubmit, Operations Research

Key Takeaway : When estimating the covariance matrix using PCA, utilizing a longer historical data series helps mitigate bias and improves the accuracy of portfolio volatility predictions.

Selected presentations (see CV for full list):  UC Berkeley Economics  |  FMA 2023  |  INFORMS Annual Meeting 2024

Links : [SSRN (Last update: May, 2025)] 

 [4] From Anomalies to Norms: A Unified Framework for Sentiment, Risk, and Mispricing
Previously circulated as : On the Time Variation of Aggregate Stock Returns and Cross-Sectional Anomalies    

With Theofanis Papamichalis

Key Takeaway : A noise trader model where safer (riskier) stocks are placed in long (short) positions helps explain (1) why some cross-sectional anomalies generate positive returns and (2) how time-series and cross-sectional stock returns co-move.

Selected presentations (see CV for full list):  FMA 2024  |  SFA 2024  |  FMA European 2025 

Best Paper Award, Joint Conference of the Allied Korean Finance Associations

Links :  [SSRN (Last update: March, 2025)]   [Slides] [easy-to-read summary (notion page)]

Work in Progress

[5] The Political Economy of Factor Zoo

With Theofanis Papamichalis and Mungo Wilson

Key Takeaway : Market mispricing is more pronounced under a divided government, evidenced by the higher performance of the average cross-sectional anomalies. Conversely, under a unified government, where mispricing is less prevalent, the beta-risk relationship strengthens, indicating that the CAPM performs more effectively.