Research

 1. Publications 

• "Evaluating Factor Pricing Models Using High Frequency Panels," (with Y. Chang, and J. Y. Park), Quantitative Economics: Journal of the Econometric Society, accepted, (presented at various places and conferences including Oxford, Princeton, Yale, and the SETA meetings)
• "Does Ambiguity Matter? Estimating Asset Pricing Models with a Multiple-Priors Recursive Utility," (with D. Jeong and J. Y. Park), Journal of Financial Economics,  (February 2015): Vol. 115 (2): 361-382
• "Do Individuals Have Preferences Used in Macro-Finance Models? An Experimental Investigation," (with A. Brown), Management Science, (April 2014): Vol. 60 (4): 939-958 (Online Appendix)
• "Momentum Effect as Part of a Market Equilibrium,'' (with S. Choi), Journal of Financial and Quantitative Analysis, (February 2014): Vol. 49 (1) 107-130 (Online Appendix)
• "Term Structure Dynamics with Macro Factors using High Frequency Data," (with H. Park), Journal of Empirical Finance, (June 2013): Vol. 22, 78-93
• "Using the Credit Spread as an Option-Risk Factor: Size and Value Effects in CAPM," (with Y. Hwang, H. Min, J. McDonald), Journal of Banking and Finance (December 2010): Vol. 34, Issue 12: 2995-3009
• "Velocity of Money and Inflation Dynamics," (with C. Subramanian), Applied Economics Letters, (December 2009): Vol. 16, Issue 18: 1777-1781
• "Transactions Cost and Interest Rate Rules," (with C. Subramanian), Journal of Money, Credit, and Banking, Vol. 38 No.4 (June 2006): 1077-1092

 2. Revise & Resubmits

• “Ambiguous Information about Interest Rates and Bond Uncertainty Premiums,” Revise and resubmit at Journal of Financial Economics (presented at Bank of Korea, Indiana University, International Monetary Fund, Korea University, and Texas A&M University)
• "A Monetary Explanation of the Term Structure of Interest Rates and Bond Risk Premia," (with A. J. Moon), Revise and resubmit at Review of Financial Studies (presented at the AFA meetings, the Econometric Society meetings, and various places)
• "Macroeconomic Uncertainty and Asset Prices: A Stochastic Volatility Model," (with H. Lee, H. Yeo, and J. Y. Park), Revise and resubmit at Journal of Financial and Quantitative Analysis (presented at various places and conferences including the AFA meetings and the Econometric Society meetings)

 3. Selected Working papers

• “A General Approach to Extract Stochastic Volatilities with an Empirical Analysis of Volatility Premium,’’ (with H. Lee and J.Y. Park) (presented at the ASSA Winter meetings)
• "Dividend Policy, Investment, and Stock Returns," (with S. Choi, S. Johnson and C. Nam), (presented at the CICF (2013), Finance Down Under (2014))
• "Do Macroeconomic Variables Forecast Bond Returns?,” (presented at the ASSA Winter meetings)
• "Sources of Momentum in Bonds," (with A. Mahajan and A. Petkevich) (presented at various places)
• “Testing for No Arbitrage in Continuous Time: A Resolution to Forward Premium Anomaly,” (with J. Y. Park)
• "Trade, Structural Transformation, and Economic Growth," (with S. Choi and X. Ma) (presented at various places)
•  “Value or Growth? Pricing of Idiosyncratic Cash-Flow Risks with Heterogeneous Beliefs,’’ (with M. Gallmeyer and H. Jhang) (presented at CICF (2014), EFA (2014), Econometric Society Summer Meetings (2014), ASSA Winter Meetings (2015), Finance Down Under (2015), FIRS meetings (2015), Econometric Society World Congress (2015: scheduled))