RESEARCH

1. Peer-Reviewed Publications

• Rethinking Variable Importance in Machine Learning: An Economic Perspective on Empirical Asset Pricing, Financial Analysts Journal, (2026) 1–44 

• Margin Call Risk and Leverage Constraints: Exploring Investment Horizons and Low-Risk Anomalies in Futures Markets, Journal of Derivatives and Quantitative Studies, (2025) 

• The Impact of Liquidity Risk in the Chinese Banking System on Global Commodity Markets, Journal of Empirical Finance, (2022) 66, 23-50

• Revisiting the Time Series Momentum Anomaly, Annals of Economics and Finance, (2019) 20-2, 767-782

2. Working Papers

• Sample Splitting Choices Matter: Evidence from Machine Learning in Empirical Asset Pricing, R&R at Journal of Financial Econometrics 

• Stock Return Predictability and Machine Learning: Incorporating Transaction Costs, working paper

• Predicting Future Firm Growth: Financial Structure, Innovation Inputs, and State-Related Heterogeneity in Chinese Listed Firms, working paper

• Innovation Disrupted: A Dynamic Analysis of Job Rotation and the Horizon Problem in Public Enterprises, working paper

3. Work in Progress

• Political Power, Policy Safeguards, and the Persistence of Core Housing Premiums

• Network Effects, Safe-Asset Premia, and the Persistence of Core Housing Prices: From a Toy Model to a Unified General Framework

4. Policy Reports and Institutional Publications

• 2024 보금자리론 이용가구 분석보고서: 고객경험, 만족도, 추천의향의 연계, Housing Finance Research Institute, Korea Housing Finance Corporation, (2026)

• AI가 읽은 10년의 고객의 소리(VOC), Housing Finance Research Institute, Korea Housing Finance Corporation, (2025)

• AI 인프라 투자와 부동산 시장의 재편: 데이터센터가 만드는 새로운 입지 가치, Housing Finance Research Institute, Korea Housing Finance Corporation, (2025)

• 미유동화 자산 리스크 구조 및 최적 헤지 전략 심층 분석, Housing Finance Research Institute, Korea Housing Finance Corporation, (2025) (Non-public.)