Research Agenda: Equity risk premiums, Anomalies, Machine learning, Housing markets
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
3. Work in Progress
Forecasting Chinese Firm Growth: A Comparative Machine Learning Study
Network Effects, Safe-Asset Premia, and the Persistence of Core Housing Prices: From a Toy Model to a Unified General Framework
Innovation Disrupted: A Dynamic Analysis of Job Rotation and the Horizon Problem in Public Enterprises
Political Power, Policy Safeguards, and the Persistence of Core Housing Premiums
4. Policy Reports and Institutional Publications
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.)