Research Interest
My primary research focuses on understanding asset pricing phenomena through the lens of related economics and finance fields, such as political economy, law and economics/finance, market sentiment, and machine learning / AI. I aim to explore how these interconnected factors shape security prices and influence broader financial markets.
Embedded Files
Published / Forthcoming Papers
[1] Long-History PCA in a Dynamic Factor Model with Weaker Loadings
With Robert M. Anderson and Baeho Kim
Operations Research , 2026, 74(4), 1770 - 1789
Key Takeaway : In PCA-based covariance matrix estimation, using longer—rather than the typical short—historical samples helps mitigate second-order bias and delivers more accurate portfolio volatility forecasts, a result supported by both theoretical and empirical evidence.
Selected presentations (see CV for full list): UC Berkeley Economics | FMA 2023 | INFORMS Annual Meeting 2024
Links : [SSRN (Last update: December, 2025)]
Working Papers
[2] The Pricing and Economic Impact of Legal Risk
solo-authored
Key Takeaway : A firm-level measure of legal risk, constructed in this paper using textual analysis of earnings call transcripts, helps explain its impact on stock prices, investment decisions, and capital structure choices.
Best Paper Award, Conference on Asia-Pacific Financial Markets
Best Doctoral Dissertation Award, Korea-America Finance Association
Recipient of the Pladifes COGEM Project Award for Sustainable Finance Research
Selected presentations (see CV for full list): GSU-AI Conference 2025 | IBEFA-ASSA 2026
Links : [SSRN (last update: April, 2026)]
[3] The Government Cycle and the Stock Market
[3] The Government Cycle and the Stock Market
With Theofanis Papamichalis and Mungo Wilson
Key Takeaway : Using 152 years of U.S. data, we document a "government cycle": stock returns and economic growth are substantially higher under unified government — when one party controls the White House and both chambers of Congress — than under divided government. Distinct from the well-known "presidential cycle," the government cycle operates through corporate cash flows: unified governments face less legislative obstruction, collect less in federal receipts, and leave firms with higher profitability that is capitalized into stock prices. The effect is especially strong among small firms and helps explain the post-1980 decline in the size premium (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: September, 2026)]
Media coverage: [Institutional Investor]
[4] The Price of Inflation Protection: Evidence from Owner-Occupied Housing
With Yunjoo An
Key Takeaway : Using U.S. house prices from 1975–2024, we show that owner-occupied housing hedges core inflation—the component of inflation that is priced—while traditional assets such as stocks, Treasuries, and REITs do not. The hedge comes from housing’s exposure to shelter rents: when inflation is supply-driven, equities fall as firms’ cash flows are squeezed, while housing holds its value because a house is a claim on future rents. Access to this hedge is unequal—it depends not on which house one owns, but on whether one owns a home at all.
Links : [SSRN (Last update: September, 2026)]
[5] From Anomalies to Norms: A Unified Framework for Sentiment, Risk, and Mispricing
With Theofanis Papamichalis
Key Takeaway : A noise trader model where safer (riskier) stocks are placed in long (short) positions explains (1) why 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 | Joint Conference of the Allied Korean Finance Associations
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
I usually have several (5+) work-in-progress projects at any given time. Because the titles, framing, and main messages tend to evolve as I learn more about each topic, I only add a project to my working papers once it has produced substantial results.
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