“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.
"The Risk-Return Trade-off of Real Estate as an Asset Class in Korea: Evidence from the Last Half Century," with Dojoon Park and Young Ho Eom, Asian Review of Financial Research Vol 38(1), 2025, 37 -87.
