Research Interests

Asset Pricing, Portfolio Optimization, Behavioral Finance, Fund Performance, Real Estate Finance, Financial Econometrics

Published Papers

(Click to see all published papers in topics and other research activities)

► "Beta Herding through Overconfidence: A Behavioral Explanation of the Low-Beta Anomaly" with Alexandre Rubesam, 2020, accepted by Journal of International Money and Finance.

► "Bayesian selection of asset pricing factors using individual stocks" with Alexandre Rubesam, 2020, accepted by Journal of Financial Econometrics.

► “The impact of UK household overconfidence in public information on house prices” with Youngha Cho and Jinho Shin, 2020, Journal of Property Research 37(4), 360-389.

► “Loss Aversion around the World: Empirical Evidence from Pension Funds” with Yuxin Xie and Athanasios A. Pantelous, 2018, Journal of Banking and Finance 88, 52-62.

► “Does illiquidity matter in residential properties?” with Youngha Cho and Jinho Shin, 2017, Applied Economics 49(1), 1-20.

► "Market Overreaction and Investment Strategies" with Chulwoo Han and Doojin Ryu, 2015, Applied Economics 47(54), 5868-5885.

► "The Disappearance of Momentum" with Alexandre Rubesam, 2015, European Journal of Finance 21(7), 584-607.

► "The Dynamics of Smoothing" with Youngha Cho and Yong-ki. Lee, 2014, Real Estate Economics 42(2), 497-529.

► "Testing Linear Factor Models on Individual Stocks Using the Average F Test" with Steve E. Satchell, 2014, European Journal of Finance 20 (5), 463-498.

► "A Behavioral Explanation of the Value Anomaly Based on Time-varying Return Reversals" with Alexandre Rubesam, 2013, Journal of Banking and Finance 37, 2367-2377.

► "Some Exact Results for an Asset Pricing Test Based on the Average F Distribution" with Steve E. Satchell, 2012, Theoretical Economics Letters 2(5), 435-437.

► "Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns" with Shaun Bond and Gianluca Marcato, 2012, Real Estate Economics 40(4), 637-661.

► "The Optimal Mortgage Loan Portfolio in the UK Regional Residential Real Estates" with Youngha Cho and Steve Satchell, 2012, Journal of Real Estate Finance and Economics 45, 645-677.

► "How Loss Averse Are Investors in Financial Markets?" with S. E. Satchell, 2010, Journal of Banking and Finance 34, 2425-2438.

► "Irrational Exuberance in the Long-run UK Stock Market" with B. Song, 2008, Applied Economics 40(24), 3199-3211.

► "Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits?" with Aneel Keswani and Mark B. Shackleton, 2008, Journal of Banking and Finance, 32(5), 643-653.

► "The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH models" with P. Valls, 2008, Communications in Statistics-Simulation and Computation, 37(3), 571-578.

► "How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models" with S. E. Satchell and Pedro Valls, 2007, Journal of Business Finance and Accounting 34(5), 1002-1024.

► "Does Downside Beta Matter in Asset Pricing?" with Christian S. Pedersen, 2007, Applied Financial Economic, 17(12), 961-978.

► "Will Private Equity and Hedge Funds Replace Real Estate in Mixed-Asset Portfolios?" with S. Bond, S. Satchell, and P. Mitchell, 2007, Special Real Estate Issue, Journal of Portfolio Management 33(5), 74-84.

► "Cross-Sectional Stock Returns in the UK Market: the Role of Liquidity Risk" with Chensheng Lu, 2007, in S. Satchell eds., Forecasting Expected Returns, Butterworth-Heinemann, London.

► "Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market?" with S. Bond, Z. Lin, and K. Vandell, 2007, Journal of Real Estate Finance and Economics 34(4), 447-461.

► "Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Index" with S. Bond, 2007, Real Estate Economics 35(3), 349-382.

► "The Disappearance of Style in the US Equity Market" with S. E. Satchell, 2007, Applied Financial Economic 17(8), 597-613.

► "Optimal Allocation to Real Estate Incorporating Illiquidity Risk" with Shaun A. Bond and Kimberley Richards, 2006, Journal of Asset Management 7(1), 2-16.

► "Small Sample Properties of GARCH Estimates and Persistence" with Pedro Valls, 2006, European Journal of Finance 12 (6/7), 473-494.

► "Performance Measure with Loss Aversion" with Gordon Gemmill and Mark Salmon, 2006, Journal of Asset Management 7(3/4), 190-207.

► "Valuing Information Using Utility Functions" with S. E. Satchell, 2005, European Journal of Finance, Vol. 11(1), 1-16.

► "GARCH Model with Cross-sectional Volatility; GARCHX Model" with S. E. Satchell, 2005, Applied Financial Economics, 15, 203-216.

► "Market Stress and Herding" with M. Salmon, 2004, Journal of Empirical Finance Vol. 11, 585-616.

► "Asymmetric Risk Measures When Modelling Emerging Markets Equities: Evidence for Regional and Timing Effects" with Christian Pedersen, 2004, Emerging Markets Review 5(1), 109-128.

► "Liquidity Risk and Real Estate: A Quantitative Approach to Assessing Risk" with Shaun Bond, 2004, in Liquidity in Commercial Property Markets published by the Investment Property Forum.

► "A Measure of Fundamental Volatility in the U.K. Commercial Property Market" with Shaun A. Bond, 2003, Real Estate Economics Vol. 31 (4), 577-600.

► "Assessing the Merits of Rank-based Optimisation for Portfolio Construction" with Stephen M. Wright and S. E. Satchell, 2003, in S. Satchell eds., New Advances in Portfolio Construction and Implementation, Butterworth-Heinemann, London

► "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models" with A. Hall and S. E. Satchell, 2002, Journal of Banking and Finance Vol. 26, 2301-2325.

► "An Analysis of Performance Measures using Copulae" with Mark. Salmon, 2002, in  J. Knight and S. Satchell eds., Performance Measurement, Butterworth-Heinemann, London.

► "Calculating the Misspecification in Beta from Using a Proxy for the Market Portfolio" with S. E. Satchell, 2002, Applied Financial Economics Vol.12, No. 11, 771-781.

► "Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions" with J. Knight and S. E. Satchell, 2001, Annals of Economics and Finance Vol.2., 187-213.

► "Tracking Error: Ex-Ante versus Ex-Post Measures" with S. E. Satchell, 2001, Journal of Asset Management Vol. 2, No. 3, 241-246.

► "VaR versus Tracking Error: the Strengths and Weaknesses of Two Performance Measures" with S. E. Satchell, 2001, in I. Acar eds., Measuring Added Value: In Financial Institutions, Financial Times Prentice Hall, London.

► "The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and Their Finite Sample Properties", 2000, Econometric Theory, Vol.16, 347-372.

► "Market Risk and the Concept of Fundamental Volatility: Measuring Volatility across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets" with S. E. Satchell, 2000, Journal of Banking and Finance, Vol. 24(5), 759-785.

► "An Exponential Risk Measure with Application to UK Asset Allocation" with D. C. Damant and S. E. Satchell, 2000, Applied Mathematical Finance Vol.7 (2), 127-152.

► "Modelling Emerging Market Risk Premia Using Higher Moments" with S. E. Satchell, 1999, International Journal of Finance and Economics, Vol. 4, No. 4, 271-296.

► "Empirical Identification of Common Factors in Emerging Markets Returns" with S. E. Satchell, 1999, Emerging Markets Quarterly, Vol.3, No.4, 7-26.

► "Implied Volatility Forecasting: A Comparison of Different Procedures Including fractionally Integrated Models with Applications to UK Equity Options" with S. E. Satchell, 1998, in J. Knight and S. Satchell eds., Forecasting Volatility in the Financial Markets, Butterworth-Heinemann, London.

► "Evaluation of Mutual Fund Performance in Emerging Markets" with S. E. Satchell, 1998, Emerging Markets Quarterly, Vol. 2, No. 3, 39-50.

Published Papers in Korean

► "네트워크를 통해 분석한 국내 금융기관간 상호연계성 연구: 외환위기와 글로벌금융위기를 중심으로" 문정훈 공저, 2019, 금융안정연구 20(1), 51-101.

► "An Analysis of Herding in the Korean Stock Market Using Network Theory" with Young-Il Kim and Jinho Shin, 2018, 한국증권학회지 47(3), 505-542.

► "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.

Working Papers

"Too many factors! Do we need them all?" with ChenSheng Lu.

"Ambiguity, overconfidence, and excess arbitrage" with Min Hwang and Sanha Noh.

"Defining optimism/pessimism via forecasting and loss aversion" with Steve E. Satchell.

"Why does Jeonse-to-price ratio affect residential property returns?" with Sanha Noh and Jinho Shin.