MSc, London School of Economics and Political Science, London
MA, Business School, Yonsei University, Seoul
BA, Business School, Yonsei University, Seoul
Experience
Senior Hedge Fund Manager, GSA Capital, London
Professor in Finance, Cass Business School, London
Senior Research Associate, Department of Applied Economics, University of Cambridge
Senior Researcher, Korea Capital Market Institute, Seoul
Fund Manager, Dongsuh Securities, Seoul
Accountant (CPA), Arthur Young International, Seoul
Journal Articles
(2023)
In search of pairs using firm fundamentals: is pairs trading profitable?.
EUROPEAN JOURNAL OF FINANCE.
29,
5
(2022)
The Effects of Sentiment on Extreme Movements in Exchange Rates.
International Economic Journal.
36,
3
(2022)
Bayesian Selection of Asset Pricing Factors Using Individual Stocks*.
JOURNAL OF FINANCIAL ECONOMETRICS.
20,
4
(2022)
The cost of overconfidence in public information.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS.
79,
(2021)
Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly.
JOURNAL OF INTERNATIONAL MONEY AND FINANCE.
113,
1
(2020)
The impact of UK household overconfidence in public information on house prices.
Journal of Property Research.
37,
4
(2019)
네트워크를 통해 분석한 국내 금융기관간 상호연계성 연구 - 외환위기와 글로벌금융위기를 중심으로-.
금융안정연구.
20,
1
(2018)
An Analysis of Herding in the Korean Stock Market Using Network Theory.
한국증권학회지.
47,
3
(2018)
Loss aversion around the world: Empirical evidence from pension funds.
JOURNAL OF BANKING FINANCE.
88,
1
(2016)
Does illiquidity matter in residential properties?.
APPLIED ECONOMICS.
49,
1
(2015)
Market overreaction and investment strategies.
APPLIED ECONOMICS.
47,
54
(2015)
The disappearance of momentum.
EUROPEAN JOURNAL OF FINANCE.
21,
7
(2015)
주택시장의 과신과 가격거품.
부동산학연구.
21,
1
(2014)
The Dynamics of Appraisal Smoothing.
REAL ESTATE ECONOMICS.
42,
2
(2014)
Testing linear factor models on individual stocks using the average F-test.
EUROPEAN JOURNAL OF FINANCE.
20,
5
(2013)
A behavioral explanation of the value anomaly based on time-varying return reversals.
JOURNAL OF BANKING & FINANCE.
37,
7
(2012)
Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns.
REAL ESTATE ECONOMICS.
40,
4
(2012)
Some Exact Results for an asset pricing test based on the Average F Distribution.
Theoretical Economics Letters.
2,
5
(2012)
The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate.
JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS.
45,
3
(2010)
How loss averse are investors in financial markets?.
JOURNAL OF BANKING & FINANCE.
34,
10
Publications
(2018)
재무경제학.
피엔씨미디어.
Lead author
Honors / Awards
An Analysis of Herding in the Korean Stock Market Using Network Theory, 최우수 논문, 재무금융관련 5개학회 공동, 2016.
주택시장의 과신과 가격거품 (Overconfidence and Price Bubbles in the Housing Markets) with Jinho Shin, 2015, Journal of the Korea Real Estate Analysts Association 21(1), 5-29, 한국부동산분석학회 2015년 최우수논문
Excessive Arbitrage Trading by Overconfidence, the 9th International Conference on Asia-Pacific Financial Markets, 2014, Best paper award.
