Yonsei Business Research Institute

EDUCATION

2003 Ph.D. in Finance, Columbia University
1997 B.A. in Economics, Columbia University

ACADEMIC AND PROFESSIONAL EXPERIENCE

Professor of Finance, School of Business, Yonsei University, 2017.9 - Present
Associate Professor of Finance, School of Business, Yonsei University, 2007.9 - 2017.8
Assistant Professor of Finance, University of Washington, Seattle,  2002.7 - 2007.8
Instructor, Graduate School of Business, Columbia University, 2002.1 - 2002.5
Research and Teaching Assistant, Graduate School of Business, Columbia University, 1997.9 - 2001.12

TEACHING INTERESTS

Financial Management, Investments, Asset Pricing Theory, Empirical Asset Pricing

RESEARCH INTERESTS

Asset Pricing, Imperfect Capital Markets, Macroeconomic Fluctuations and Investment

SELECTED PUBLICATION

“Asset Pricing Implications of Capital Market Imperfections,” Ph.D. Dissertation, Columbia University, 2003.

“Interpreting the Predictive Power of the Consumption-Wealth Ratio,” with Hangyong Lee, Journal of Empirical Finance, Vol. 13, March 2006, 183-202.

“Yield Spreads as Alternative Risk Factors for Size and Book-to-Market,” with Hangyong Lee, Journal of Financial and Quantitative Analysis, Vol. 41, No. 2, June 2006, 245-269.

“The Cross-section of Stock Returns in Korea: An Empirical Investigation,” with Sang Yong Yun, Bonil Ku, Young Ho Eom, Asian Review of Financial Research, Vol. 22, No.1, February 2009, 1-44.

“Financial Constraints, Debt Capacity, and the Cross-section of Stock Returns,” with Hangyong Lee, Journal of Finance, Vol. 65, No. 2, April 2009, 891-921.

“Understanding the Impact of Monetary Policy in Korea using a Macro-Finance Term Structure Model with Unspanned Macro Risks,” with Woon Wook Jang, Korean Journal of Futures and Options, Vol. 22, No. 2, May 2014, 161 – 192.

“The Effect of House Prices on Mortgage Prepayment in Korea: A Two-Factor Structural Approach,” with Young Ho Eom, Youngha Han, Asian Review of Financial Research, Vol. 27, No. 3, August 2014, 383 – 422.

“Who Overreacts to Overnight News? Empirical Evidence from the Korean Stock Market,” with Enjung Kwon, Young Ho Eom, Woon Wook Jang, Asia-Pacific Journal of Financial Studies, Vol. 44, April 2015, 298 – 321.

“On the Relationship between Leverage Constraints and Stock Returns: An Empirical Investigation using the “Betting against Beta” Factor in Korea,” with Taehyung Kim, Asian Review of Financial Research, Vol. 28, No. 4, November 2015, 589 – 624.

“Evaluating the Empirical Performance of Risk-based Portfolio Strategies in the Korean Stock Market,” with Soonchae Park, Young Ho Eom, Korean Journal of Financial Studies, Vol. 45, No. 2, 2016, 247 – 284.

“Garbage as an Alternative Measure of Consumption: Evidence from Korea,” with Meesun Deborah Park, Journal of Money and Finance, Vol. 30, No. 2, June 2016, 45 – 63.

“Determinants of the Cross-sectional Stock Returns in Korea: Evaluating Recent Empirical Evidence,” with Heebin Yoon, Pacific-Basin Finance Journal, Vol. 38, June 2016, 88 – 106.

"Credit Cycle and the Macroeconomy: Empirical Evidence from Korea," with Ho-Seong Moon, Economic Analysis, Vol. 22, No. 4, 2016, 76 - 108.

"Attention-Driven Trading and Intraday Return Reversal: Empirical Evidence from the KOSDAQ Market," with Hong-Sik Choi. Korean Journal of Financial Management, Vol. 33, No. 4, 2016, 113 - 140.

"Likelihood of Receiving a Negative Audit Opinion and Insider Trading," with Kyungtae Lee, Jongwon Choi, and Juyhyoung Park, Accounting & Auditing Research Vol.58, No.4, 2016, 117 - 160

"Estimating the Risk-Return Relation in the Korean Stock Market," with Dojoon Park and Young Ho Eom, Korean Journal of Futures and Options, Vol. 25, No. 1, 2017, 1 - 39.

"Internal Control System and Insider Trading," with Kyungtae Lee, Jongwon Choi, and Juyhyoung Park, Korean Journal of Management Accounting Research Vol. 17, No.1, 2017, 88 - 121.

"The Business Cycle, Investor Sentiment, and Economic Policy Uncertainty: Their Impact on Corporate Investment, Employment, and Financing in the Presence of Costly External Finance," with Dojoon Park, Journal of Money and Finance, Vol. 31, No. 1, 2017, 1 - 38.

"Discretionary Consumption and the Equity Premium: Evidence from Korea," with Yuna Son and Yongjoo Kang, Asian Review of Financial Research, Vol. 30, No. 2, 2017, 217 - 236.

"Risk Aversion, Uncertainty, and Monetary Policy in Zero Lower Bound Environments," with Woon Wook Jang and Seongjin Kim, Economics Letters, Vol. 156, July 2017, 118 - 122.

"Individual Investors and Post-Earnings-Announcement Drift: Evidence from Korea," with Yunsung Eom and Wook Sohn, Pacific-Basin Finance Journal, Vol. 53, February 2019, 379 - 398.

"Forecasting Asset Returns using Comsumption-based Measures," with Dojoon Park and Young Ho Eom, Journal of Money and Finance, Vol. 33, No. 1, March 2019, 105 - 149.

"Estimating the Conditional Risk-Return Relation Using Consumption-based State Variables: Evidence from the Korean Stock Market," with Dojoon Park and Young Ho Eom, Asian Review of Financial Research  Vol 34(2), May 2021, 67 - 104.

"Short Sales Restrictions and Market Quality: Evidence from Korea," with Yunsung Eom and Wook Sohn, Journal of Behavioral and Experimental Finance,  Vol 30, June 2021.

“Evaluating the Conditional CAPM using Consumption-based State Variables: Evidence from the Korean Stock Market,” with Dojoon Park and Young Ho Eom, Korean Journal of Financial Studies, Vol. 50, No. 3, 2021, 339 - 367.

"Exchange-Traded Funds Ownership and Stock Volatility," with Byoungho Choi and Shiqing Jin, Korean Journal of Financial Studies, Vol. 51, No. 3, 2022, 245 - 280.

“Predicting the equity premium with financial ratios: A comprehensive look over a long period in Korea,” with Dojoon Park and Young Ho Eom, Pacific-Basin Finance Journal, Vol. 84, April 2024.

PROFESSIONAL ACTIVITIES AND AWARDS

Editor: Asian Review of Financial Research, 2022.1 - 2023.12
Editor: Yonsei Business Review, 2017 - 2019.
Associate Editor: Asian Review of Financial Research, 2010 – 2017, 2020 - 2021.
Associate Editor: Asia-Pacific Journal of Financial Studies, 2009 – 2017.

Ad hoc referee: Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Empirical Finance, Management Science, Oxford Bulletin of Economics and Statistics, Journal of Macroeconomics, Journal of Banking and Finance, Asia-Pacific Journal of Financial Studies, Asian Review of Financial Research, Journal of Money and Finance, Yonsei Business Review, Seoul Journal of Business

Outstanding Paper Award: Korean Finance Association (2009, 2014), Korea Money and Finance Association (Finance and Capital Market, 2017, Financial Institutions 2019), Korean Securities Association (2023).
Outstanding Research Award: Yonsei University, 2010.
Choheon Research Award: Yonsei Business School Alumni Association, 2010.
Outstanding Teaching Award: Yonsei University (2008, 2009, 2010, 2013, 2019), Yonsei School of Business (2008, 2010, 2012, 2015, 2019, 2023)

Doctoral Fellowship, Graduate School of Business, Columbia University, 1997 - 2001
Mathew Fryde Prize for Excellence in Economics, Columbia University, 1997
Peter K. Block Scholarship, Columbia University, 1994-1997
G.S. Scholarship, Columbia University, 1993-1994

Etc

Service

Dean, Global Leaders College, Yonsei University: February 2024 ~ January 2026.
Associate Dean for Faculty and Academic Affairs: March 2019 ~ January 2021.
Associate Director, Yonsei Business Research Institute: September 2011 ~ August 2013.
Director, Finance MBA Program: March 2017~ February 2019, September 2009 ~ August 2013.
Director, CFA Partnership Program: March 2010 ~ Present.