RESEARCH INTERESTS

Asset Pricing, Financial Intermediation, Machine Learning, Macro Finance

WORKING PAPERS

[1]  Bank Capital and Bank Stock Performance: When Times are Tough, Capital is King (with Christa H.S. Bouwman and Hagen Kim).

• Revise and Resubmit at Review of Economic Studies. (PDF)

[2]  Heterogeneous Intermediary Capital, Asset Prices, and Fire Sales (with Christa H.S. Bouwman and Hagen Kim).

[3]  Pricing of Ambiguous Risks in Bank Runs (with Hagen Kim, Adam C. Kolasinski, and Sorin M. Sorescu).

[4]  Stock Return Predictability and Machine Learning: Incorporating Transaction Costs (with Yonghwan Jo and Yonghwi Kim).

CURRENT PROJECTS

[1]  Leveraging Stock Market Anomalies via Machine Learning (with Yejin Kim).

[2]  Interest Rate Risk in Banks During a Period of High Inflation  (with Yejin Kim).

PUBLICATIONS

[1]  The Market-Discipline Effects of Subordinated Debt: Enhanced US Commercial Banking-Sector Efficiency and Stability (with Hong-Ghi Min and Judith A. McDonald), Journal of Financial Risk Management, 3, 78-95, 2014.

[2]  Income Inequality and the Real Exchange Rate: Linkages and Evidence (with Hong-Ghi Min and Judith A. McDonald), Annals of Economics and Finance, 16(1), 115-141, 2015.

[3]  What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis (with Hong-Ghi Min and Judith A. McDonald), Annals of Economics and Finance, 17(2), 365-402, 2016.

[4]  Momentum and Reversal: Information from Prior Returns (with James W. Kolari), Applied Economics, 56(3), 318–336, 2024.