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Professor of Finance, Ph.D. |
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Business School |
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1997 – Current, Professor of Finance,
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2009 – Current, Director of Advanced
Banking Program, Seoul National University
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2008 – 2010, Associate Dean for MBA
Programs, Seoul National University
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2007 – 2008, Director of Ph.D. Program,
Seoul National University
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2003 – 2005, Visiting Professor,
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1995 – 1997, Assistant Professor,
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1994, Ph.D. in Finance, The Ohio State
University,
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1989, MBA, Seoul National University,
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1985, B.B.A.,
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Investments - Asset Pricing, Market
Efficiency, International Finance
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Derivative Securities and Risk Management
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Corporate Finance
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Financial
Management
- Undergraduate course
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Investments -
Undergraduate course
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Derivative
Securities
- Undergraduate course
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Studies
in Corporate Finance - Master course
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Seminar
in Financial Management - Master course
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Fixed Income Securities -
Master course
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Financial Econometrics -
Master/Ph.D. course
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“What
Factors Drive Global Stock Returns?” Review of Financial Studies, Forthcoming (with Andrew Karolyi and Kewei Hou) (SSRN)
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“Financial Globalization, Governance, and the
Evolution of the Home Bias,” Journal of
Accounting Research, Vol. 47, No. 2, May 2009 (with René M. Stulz and Frank Warnock; Also published in NBER Working
paper No. 12389)
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“The Impacts of Day-Trading on Volatility
and Liquidity,” Asia-Pacific Journal of
Financial Studies, Vol. 38, No. 2, pp. 237~275, April 2009 (with Hyuk Choe and J. M. Chung;
Presented at the Korean Finance Association Annual Conference in 2002)
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“Accrual Anomaly and Arbitrage Trading
Opportunity,” Korean Journal of Financial
Studies, Vol. 38, No. 1, pp.77-105, March 2009.(with Jin-Woo Kim)(in
Korean)
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“Does National Pension Service’s Trading
Destabilize Korean Stock Market?,” Asia-Pacific
Journal of Financial Studies, Vol. 37, No. 3, 2008 (with Byung-Hee Lee, Woo-Jong Lee, Lee-Seok Hwang) (in Korean)
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“Earnings Forecast Accuracy and
Recommendation Profitability of the Analysts in Korea,” Asia-Pacific Journal of Financial Studies, Vol. 36, No. 6, 2007
(with Jin-Woo Kim) (in Korean)
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“Does the Accrual Anomaly Reflect a Risk
Factor? The Case of the Korean Stock Market,” Asia-Pacific Journal of Financial Studies, Vol. 36, No. 3, 2007
(with Jin-Woo Kim) (in Korean)
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“Interaction of Momentum Returns in Stock
and Bond Markets in
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“Do Domestic Investors Have an Edge? The Trading
Experience of Foreign Investors in
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“Bayesian Anaysis
of Stochastic Beta Models in Korean Stock Markets,” Korean Journal of Financial Management, Vol. 22, No. 2, pp. 43~69,
2005 (with Seung-Min Yae)
(in Korean)
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“Trading Performance of Domestic and
Foreign Investors in KOSPI 200 Index Futures Markets,” Korean Journal of Futures and Options, Vol. 13, pp. 1~27, 2005 (with
Jin-Woo Kim) (in Korean)
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“Momentum
Strategies: Some Bootstrap Tests,” Journal of Empirical Finance, Vol. 11, No. 4, 2004. (with Andrew Karolyi; Presented at the Journal of Empirical Finance’s Special Conference on
Behavioral Finance in October 2002)
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“Do Foreign Investors Destabilize Stock
Markets Through Futures Trading During the Korean Crisis in 1997?” Korean Business Journal, Vol. 37, No. 4,
pp. 1~29, 2003 (with Hee Kim) (in Korean)
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“Financial Activities of Large Firms in
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“Conditional Skewness
and Risk Premium,” Journal of Finance and
Banking, Vol. 2, No. 1, pp. 111~135, 2003 (with S. Y. Park) (in Korean)
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“Intraday Price Changes and Trading Volume
in
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“Measuring Corporate Credit Risk Spreads
Based on the Reduced-Form Model,” Journal
of Finance and Banking, Vol. 1, No. 1, pp. 1~36, 2002 (with Jin-Woo Kim)
(in Korean)
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“Insider Trading Around Corporate
Information Disclosures in
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“Reference Rate and Arbitrage Opportunities
in the Floating Rate Notes in Korea,” Asia-Pacific
Journal of Financial Studies, Vol. 28, pp. 21~56, 2001 (with D. S. Choi and J. M. Chung) (in Korean) (Presented at the Annual
Conference of the Korean Securities Association in October 2000)
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“Threshold Cointegration
and Nonlinear Dynamics of KOSPI200 Cash and Futures Prices,” Korean Journal of Futures and Options,
Vol. 9, No. 1, pp. 105~139, 2001 (with B. H. Kim and B. S. Seo)
(in Korean) (Presented at the Annual Conference of the Korean Finance
Association in 2001)
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“Banks, the IMF,
and the Asian Crisis,” Pacific-Basin Finance
Journal, Vol. 8, 2000. (with René M. Stulz; Presented at
the Federal Reserve Board,
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“An Empirical Analysis on the Abnormal
Performance of Security-Issuing Firms in Korea,” Asia-Pacific Journal of Financial Studies, Vol. 27, pp. 439~476,
2000 (with R. S. Park) (in Korean) (Presented at the Annual Conference of the
Korean Finance Association in 1999)
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“Do Foreign
Investors Destabilize Stock Markets? The Korean Experience in 1997,” Journal of Financial Economics, Vol. 54, No. 2, 1999. (with Hyuk Choe, and René M. Stulz; Presented at the Federal Reserve Board, Korea
University, London Business School, MIT, Seoul National University, the Ohio
State University, Virginia Tech University, Yale University, University of
California at Berkley, World Bank, the NBER Asset Pricing Group, Q-Group, and
the Korea Finance Association meeting in 1998; Also published in NBER Working
paper No. 6661, and the NBER Digest, October 1998)
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“Execution Performance of Market and Limit
Orders in the
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“Time-varying Risk Premia
and Profitability of Momentum Strategies,” Korean
Business Journal, Vol. 33, No. 1, pp. 1~18, 1999 (in Korean)
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“Time-varying Risk Premia
and Profits from Portfolio Trading Strategies in the U.S. Stock Markets,” Seoul Journal of Business, Vol. 4, No.
1, pp. 75~111, 1998
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“Currency Futures Prices, Volume, and
Volatility: A Semi-nonparametric Approach,” Journal
of Economics and Management, Vol. 12, No 1, pp. 347~387, 1997
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“Long-Term Performance of Security-Issuing
Firms in
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“Time-varying Risk Premia
and Profitability of Relative Strength Strategies,” Korean Journal of Financial Management, Vol. 14, No. 1, pp. 1~21,
1997 (in Korean)
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“Stock Price and Volume: Semi-nonparametric
Approach,” Korean Journal of Finance,
No. 13, pp. 1~35, 1997 (in Korean) (Presented at the Annual Conference of the
Korean Finance Association in 1997)
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“Time-varying
Risk Premia, Volatility, and Technical Trading Rule
Profits: Evidence from Foreign Currency Futures Markets,” Journal of Financial Economics, Vol. 41, No. 2, 1996. (Rated with the Highest Quality Rating by ANBAR
Management Intelligence in 1998)
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“Information,
Trading, and Stock Returns: Lessons from Dually-listed Securities,” Journal of Banking and Finance, Vol. 20, No. 7, 1996. (with K. C. Chan, W.-M. Fong, and René M. Stulz; Rated with the
Highest Quality Rating by ANBAR Management Intelligence in 1998)
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“Do Domestic
Investors Have More Valuable Information About Individual Stocks Than Foreign
Investors?” (with Hyuk Choe
and René M. Stulz; Presented at
the
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“Price Manipulation Using Fictitious Orders in an
Electronic Limit Order Market,” (with Hyuk Choe, J. M. Chung, and I.
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“Time-Varying
Risk Premia and the Returns to Buying Winners and
Selling Losers: Caveat Emptor et Venditor,” (with
Andrew Karolyi; Presented at the Chicago CRSP
Seminar, Queen’s University, University of Michigan, and the Ohio State
University) (SSRN)
Work
in Progress
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“Characteristics
versus Covariances: A Global Perspective,” (with
Andrew Karolyi and Kewei Hou)
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“On the Value Relevance
of Cash Flow: A Cross-Country Analysis,” (with Andrew Karolyi
and Kewei Hou)
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“Explaining the
Long-run Abnormal Performance Following New Security Issues,” (with René
M. Stulz)
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“Raising
Competitiveness of Derivative Securities Markets in
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“Do
International Investors Perform Better?” (with Hyuk Choe; Presented at the Financial Management Association Meeting in Chicago, October 1998)
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“Stock Prices,
Volume, and Volatility: The Case of the Korean Stock Market,” (Presented at the
Ohio State University, and the Financial Management Association in Honolulu, Hawaii, October 1997)
Books and Monographs
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“Comparison of the Performance Measurements
for Domestic Equity Mutual Funds,” Seoul National University, 2010
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“Cyber Financial Risk Management,”
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“Capital Structure and Dividend Policy of Korean
Firms,” (with D.
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“Salient Features of Shareholder-Value Creating Firms
in
Honors,
Awards, and Grants
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Best Research Award, Seoul
National University, 2010
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Best Teaching Award, Seoul
National University, 2008
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Best Paper Award, Korea Securities
Association, 2003, 2007, 2010
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Best Paper Award, First
International Conference on Asia-Pacific Financial Markets, 2006
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Best Paper
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Maekyung Economist Award, 2006
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INQUIRE-UK Research Grant Award,
2006
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BSI Gamma Foundation
Research Grant Award, 2006
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Dice Center Research Fellow,
The Ohio State University, 2003~2005
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Top 20 in Research Productivity of the
Finance Profession in the Asia-Pacific Region, 2001
(Pacific-Basin
Finance Journal Vol. 9)
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Highest Quality
Rating Paper by ANBAR Management Intelligence, 1998
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Vice President, Korean
American Finance Association (KAFA), 2009 ~ Current
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Co-Editor, Asia-Pacific Journal
of Financial Studies (the first SSCI-listed finance journal in Asia), 2008 ~
2010
· Board Member, Asia Finance Association (AsFA), 2008 ~ 2010
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President Nominating
Committee, American
Finance Association, 2006 ~ 2007
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Program Committee, Financial Management Association,
2005
~ Current
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Program Committee, Western Finance Association, 2003 ~
Current
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Program Committee, PACAP/FMA, 2001
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Editorial Board Member, Korea Finance
Association, 1997 ~ Current
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Editorial Board Member, Korean Association
of Futures and Options, 1999 ~ Current
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Editorial Board Member, Korean Securities Association,
2001 ~ Current
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Board of Directors, Korean Association of Futures and
Options, 2002 ~ Current
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Referee Work, 1995 ~ Current
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Journal of Finance, Review of Financial Studies, American Economic Review, Journal of International
Money and Finance, Pacific-Basin Finance
Journal
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Korean Journal of Finance, Journal of Korean Securities Association, Korean
Journal of Futures and Options, Korean Journal
of Money and Finance, Korean Management Review