# overview
My research focuses on asset pricing theory, portfolio management, fixed income, and interactions among investors, policy makers, and corporate managers.

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Regime Switching Volatility With Smooth Transitions

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Central Counterparty Jel Classification: G12

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35 Commerce, Management, Tourism And Services

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University of Chicago - (Chicago, Illinois, United States)

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Seoul National University - (Seoul, South Korea)

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University of Chicago - (Chicago, Illinois, United States)

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Yield Forecasts and Stochastic Volatility in Affine Models with Macro Factors

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Macroeconomic Uncertainty and Asset Prices: A Stochastic Volatility Model

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The Effect of Seniority and Security Covenants on Bond Price Reactions to Credit News

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How to (Properly) Compute Credit Default Swap Returns

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Ambiguity, Macro Factors, and Stock Return Volatility

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Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility

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Do Individuals Have Preferences Used in Macro-Finance Models? An Experimental Investigation

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Institute for Operations Research and the Management Sciences (INFORMS)

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Ambiguous Credit Information Quality and Debt Maturity Structure

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Time-Varying Expectation Effects of Switching Financial Uncertainty

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Decomposition of Interest Rate Differentials (in Korean)

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Misallocation of Debt and Aggregate Productivity

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Does Uncertain Credit Information Quality Matter for Bond Funds?

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Evaluating factor pricing models using high-frequency panels

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Term structure dynamics with macro-factors using high frequency data

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Velocity of money and inflation dynamics

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Momentum Effect as Part of a Market Equilibrium

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CEO Ambiguity Aversion and Corporate Investment

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Central Clearing and Cross-market Price Discovery in the Credit Markets

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Using the credit spread as an option-risk factor: Size and value effects in CAPM

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Value or Growth? Pricing of Idiosyncratic Cash-Flow Risk with Heterogeneous Beliefs

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A Consumption-Based Identification of Global Economic Uncertainty

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Dividend Policy, Investment, and Stock Returns

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Bank Capital and Bank Stock Performance: When Times are Tough, Capital is King

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A Monetary Explanation of the Term Structure of Interest Rates and Bond Risk Premia

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Do Macroeconomic Variables Forecast Bond Returns?

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Transactions Cost and Interest Rate Rules

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Ambiguous Information about Interest Rates and Bond Uncertainty Premiums

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Trade, structural transformation and growth

# streetAddress
Texas A&M University; Finance; 4218 TAMU

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Nam, Changwoo (2011-08). Essays on A Rational Expectations Model of Dividend Policy and Stock Returns. Doctoral Dissertation.

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Kang, Le (2018-08). Two Essays on Ambiguity and Stock Return Volatility. Doctoral Dissertation.

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Jhang, Ho Gyu (2014-05). Value or Growth? Pricing of Idiosyncratic Cash Flow Risk with Heterogeneous Beliefs. Doctoral Dissertation.

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Kim, Hyunjung (2009-12). Essays on the Market for Corporate Control. Doctoral Dissertation.

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Haque, Syed Imranul (2016-08). Essays on Financial Institutions. Doctoral Dissertation.

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Shin, Sang-Ook (2019-08). Essays on Intermediary Asset Pricing. Doctoral Dissertation.

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Yeo, Hyosung (2016-05). Three Essays in Macroeconomics and Empirical Finance. Doctoral Dissertation.

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Park, Ha-Il (2009-12). Term Structure Dynamics with Macroeconomic Factors. Doctoral Dissertation.

# etdChairOf[].label
Kim, Eul Jin (2012-08). Essays on Bank Optimal Portfolio Choice under Liquidity Constraint. Doctoral Dissertation.