Fields
Financial economics, empirical asset pricing, empirical banking
Publications
"Detecting price manipulation in the Korean stock market: Application to recent suspected cases" (with Yongsik Kim), 2026, Journal of Economic Theory and Econometrics 37(1), 75–98.
“Simultaneous inference in testing conditional alphas of momentum portfolios” (with Yongsik Kim and Seunghyun Lee), 2026, North American Journal of Economics and Finance 82, 102557.
“Resiliency, short sales, and expected returns in the Korean stock market” (with Yongsik Kim), 2025, Global Economic Review 54(4), 388–415.
“Industry-adjusted book-to-market ratio and value premium” (with Yongsik Kim and Seunghyun Lee), 2025, Finance Research Letters 86(A), 108347.
“Predicting the Korean Won-U.S. Dollar exchange rate using cross-currency and interest rate swap rates” (with Yongsik Kim), 2025, Asian Review of Financial Research 38(2), 31–58.
“Banks’ net interest rate spread and the transmission of monetary policy in Korea” (with Yong-Gook Jung), 2023, Journal of Asian Economics 89, 101654.
“Is the Kimchi premium a speculative bubble?” (with Hyunmin Ok and Yongsik Kim), 2023, Finance Research Letters 57, 104207.
“Price informativeness: a potential explanation for the idiosyncratic volatility puzzle” (with Yongsik Kim), 2023, Applied Economics Letters 30(16), 2264–2269.
“Simultaneous inference on the Korean Won-US Dollar forward premium anomaly”, 2023, International Economic Journal 37(1), 82–92.
“Which stock price component drives the Amihud illiquidity premium?” (with Yongsik Kim), 2023, North American Journal of Economics and Finance 64, 101876.
“Market-wide shocks and the predictive power for the real economy in the Korean stock market” (with Yongsik Kim), 2022, Pacific Economic Review 27(4), 380–399.
“Cross-sectional tests of asset pricing models with full-rank mimicking portfolios” (with Kun Ho Kim and Jeong Hwan Lee), 2021, North American Journal of Economics and Finance 57, 101453.
“Efficient mimicking portfolios in asset pricing tests” (with Kun Ho Kim and Jeong Hwan Lee), 2021, Korean Economic Review 37(2), 399–417.
“Bank transparency and the market’s perception of bank risk” (with Mingook Kim and Yongsik Kim), 2020, Journal of Financial Services Research 58(2), 115–142.
“Heterogeneous patterns of income diversification effects in U.S. bank holding companies” (with Yong-Cheol Kim), 2020, International Review of Economics and Finance 69, 731–749.
“Reassessment of diversification effects on market values of banks” (with Yong-Cheol Kim and Yongsik Kim), 2020, Journal of Economic Research 25(2), 179–198.
“Transitory prices, resiliency, and the cross-section of stock returns” (with Yongsik Kim), 2019, International Review of Financial Analysis 63, 243–256.
“The effect of TARP on loan loss provisions and bank transparency” (with Mingook Kim and Jeong Hwan Lee), 2019, Journal of Banking and Finance 102, 79–99.
“Foreign investors and the speed of price adjustment across multiple correlation regimes in Korea” (with Yongsik Kim), 2018, Finance Research Letters 25, 137–144.
“Derivative holdings and market values of U.S. bank holding companies” (with Wonho Choi and Mingook Kim), 2016, Applied Economics 48(49), 4747–4757.
“Financial crisis and a transmission mechanism of external shocks: The signaling role of the Korean monetary stabilization bond” (with Yong-Cheol Kim), 2013, Journal of Financial Stability 9(4), 682–694.
“Super-size banks: Is risk-taking rewarding?” (with Yong-Cheol Kim), 2013, International Finance Review 14, 115–140.
“Evaluating time-series restrictions for cross-sections of expected returns: Multifactor CCAPMs”, 2012, Pacific-Basin Finance Journal 20(5), 688–706.
“Cross-sectional tests of multifactor CCAPMs using conditional moments and time-series restrictions”, 2009, Asia-Pacific Journal of Financial Studies 38(5), 695–722.
“An empirical investigation of MBS liquidity risk”, 2009, Journal of Fixed Income 18(4), 39–46.