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.
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Job Market Paper
[1] 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.
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 | Annual Conference on Asia-Pacific Financial Markets (CAFM) | IBEFA-ASSA main session 2026*
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
Links : [SSRN (last update: November, 2025)]
Other Working Papers
[2] Long-History PCA in a Dynamic Factor Model with Weaker Loadings
With Robert M. Anderson and Baeho Kim
2nd round Revise & Resubmit (minor revision), Operations Research
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: May, 2025)]
[3] Divided Government and the Stock Market
[3] 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]
[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 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
[5] The Political Economy of Factor Zoo
[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.
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