Research

Working Papers

• Heterogeneous Beliefs of Intermediaries and Term Premia: Too much to bear?  (2024)  [PDF] [Slide] 

Dealers’ belief disagreement flips the yield-curve response across QE and QT by interacting with tightening funding constraints that shape dealers’ risk-bearing capacity.

• Anchoring in Calm, Crumbling in Crisis: The Paradox of Taming the Long End (2025)  [PDF] 

Long-term belief anchoring compresses equity risk premia yet amplifies tail losses through an extrapolation-and-jump-risk mechanism. 🎄🧑‍🎄

• Imperfect Competition, Pricing Power and Risk Premium: Entry Threats in the Korean Market (2025)  [PDF]  [Slide]

Profitability premia in Korea reflect compensation for displacement risk faced by dominant high-markup firms under imperfect competition.  

Work in Progress

• What Do Markets Think Matters? Downside Pricing Across Dealers vs. Market Participants [Note] 

Under a common information set, "dealers" internalize downside tail risk while "market participants" underweight it. Leveraging LLMs-based analysis of textual disclosures, I show that this belief gap is embedded in credit spreads.

• Decentralized Markets and the Paradox of Consensus: Algorithmic Intermediation, Concentration, and Fragility (2025) [Note]

In DeFi, algorithmic intermediation and liquidity concentration amplify Expected Shortfall spikes, and tail-state risk carries a negative price of risk in returns. 🧸⚙️ 

• Demand-Shifting Intangibles, Market Concentration and Systematic Risk  (2025)  [PDF] [Slide] 

Demand-shifting intangible M&As—identified using PPA data—unlike typical deals, amplify industry concentration and increase systematic risk.  🌸🪵

 December 2025 🔧