Job Market Paper
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
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
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.