Asset Pricing, Behavioural Finance, Asset Allocation

 

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

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

► "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.

► "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.

► "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.

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

► "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.

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

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

► "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.

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

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

► "Market Stress and Herding" with M. Salmon with Mark 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 Vol 5(1), 109-128.

► "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.

► "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.

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

► "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 (reprinted in J. Knight and S. Satchell eds., Return Distribution in Finance, Butterworth-Heinemann, London.)

 

Real Estate Finance

 

► “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.

► "Does illiquidity matter in residential properties?" with Youngha Cho and Jinho Shin, 2016, Applied Economics 49(1), 1-20.

► "Overconfidence and Price Bubbles in the Housing Markets", with Jinho Shin, 2015, Journal of the Korea Real Estate Analysts Association 21(1), 5-29.

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

► "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.

► "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.

► "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.

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

► "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.

 

Financial Econometrics

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

► "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.

► "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.

► "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.

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

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

► "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.

► "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.

► "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.

► "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.

 

Risk Measures

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

► "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.

► "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.

 

Performance Measures

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

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

 

Funding

► Faculty Research Fund, Sungkyunkwan University, 2010-2011 (KRW13,000,000)

► ESRC fund for the project "The New Basel Accord and Credit Risk Analytics with Applications to UK Mortgage Risk" (with Steve Satchell and Ba Chu), June 2006 – May 2007 (£47,062,  RES-000-22-1606).

► Asset Allocation in the Morden World: Property and Alternative Asset Classes, Investment Property Forum, with Shaun Bond and Steve Satchell, May 2006 – November 2006 (£25,000).

► Liquidity in Commercial Property Markets, the Investment Property Forum, with Shaun Bond, Neil Crosby, Tony Key, Colin Lizieri, George Matysiak, Patrick McAllister, and Charles Ward, September 2003 – March 2004 (£20,000).

► Econometrics of Emerging Markets, Alpha Strategies, with S. E. Satchell, 1998 (£28,000)

 

 Conferences and Seminars

 

International Conferences

► "A New Herd Measure; Applications to the UK, US and Korean Market," May 2001, the International Conference on the Econometrics of Financial Markets, Delphi, Greece.

► "Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions," May 2001, the Eighth International Conference of Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management, London.

► "A New Measure of Herding and Empirical Evidence", July 2001, the PACAP/FMA Finance Conference and Pacific Basin Financial Management Society Annual Meeting, Seoul.

► "Assessing the Merits of Rank-Based Optimisation for Portfolio Construction," March 2002, the Knightian Uncertainty Seminar, Financial Econometrics Research Centre, Cass Business School.

► "The Asset Allocation Decision in a Loss Aversion World," June 2002, the 2002 FMA European Conference, Denmark.

► "The Asset Allocation Decision in a Loss Aversion World," July 2002, the 2002 APFA/PACAP/FMA Finance Conference, Tokyo, Japan.

► "On the Measurement of Risk under Asymmetric Returns," October 2002, the 2002 FMA Annual Meeting, San Antonio, Texas.

► "Small Sample Properties of GARCH Estimates and Persistence", 2003, the Tenth International Conference of Forecasting Financial Markets, Paris; Seminar, Universidade Carlos III, Madrid, Spain; University of Surrey.

► "Stochastic Volatility Models with Markov Regime Switching State Equations", 2003, European Economic Association & Econometric Society, Stockholm; Workshop on Econometric Time Series, Linz, Austria.

► "Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Index", June 2004, The 11th European Real Estate Society Conference, Milan.

► "Irrational Exuberance in the UK Stock Market: A Historical View", July 2004, The 11th Annual Conference of the Multinational Finance Society, Istanbul.

► "Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Index", August 2004, The 2004 Annual Meeting of the European Finance Association, Maastricht.

► "Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Index", January 2005, The 2005 Annual Meeting of the American Real Estate and Urban Economics Association, Philadelphia, USA.

► "Evaluating Unsmoothing Procedures for Appraisal Data", January 2006, The 2006 Annual Meeting of the American Real Estate and Urban Economics Association, Boston, USA.

► "Sentiment and Beta Herding", March 2006, Behavioural Finance and Market Efficiency, Warwick Business School.

► "Is Value Really Riskier Than Growth?", The 2007 Annual Meeting of the American Finance Association, Chicago, USA.

► "Is Beta Really Not Priced?", The 2007 European Financial Management Association, Vienna, Austria

► "Cross-Sectional Stock Returns in the UK Market: the Role of Liquidity Risk", The 2007 European Financial Management Association, Vienna, Austria

► "Option-Implied Probabilities in a Loss Aversion World", The 2007 Financial Management Association, Orlando, Florida, USA.

► "Is Value Really Riskier Than Growth?", The 2009 Annual Meeting of the Korea Money and Finance Association, Pyongchang, Korea.

► "The Disappearance of Momentum", The 2009 Western Finance Meetings, San Diego, USA.

► "Is Share Price Relevant?", The 16th Annual Meeting of the Multinational Finance Society, Crete, Greece.

► "The Optimal Mortgage Loan Portfolio in the UK Regional Residential Real Estates", The 2009 AsRES-AREUEA Joint International Conference, Los Angeles, USA.

► "Testing Linear Factor Models on Individual Stocks Using the Average F Test", The 2010 FMA Annual Meeting, New York, USA.

► "Fishing with a License? In Search of Empirical Factors", The 19th Annual Multinational Finance Society Conference, Krakow, Polane.

 

 

Invited External Seminars

► "Implied Volatility Forecasting: A Comparison of Different Procedures Including fractionally Integrated Models with Applications to UK Equity Options," April 1999, Reading University, UK.

► "Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions", July 2001, the Finance Seminar, Korea Security Research Institute, Seoul, Korea.

► "The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and Their Finite Sample Properties," February 2002, Queen Mary, University of London.

► "A New Measure of Herding and Empirical Evidence", November 2002, School of Banking and Finance, University of New South Wales, Australia.

► "Market Stress and Herding", April 2003, School of Economics, Sungkyungkwan University, Seoul, South Korea.

► "The Magnitude of Loss Aversion Parameters in Financial Markets," February 2004, Warwick Business School, Warwick University, UK.

► "Stock Splits: What Does the Market Tell Us Ex Ante?", March 2005, Management School, Lancaster University, UK.

► "Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Index", May 2005, Warwick Business School, Warwick University, UK.

► "Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Index", June 2005, Financial Market Group, London School of Economics, UK.

► "Is Beta Really Not Priced?", October 2006, ICMA Centre, Reading University, UK.

► "Stock Splits: What Does the Market Tell Us Ex Ante?", February 2006, Leeds University Business School, UK.

► "Is Beta Really Not Priced?", March 2007, Department of Economics, City University, UK.

► "Is Beta Really Not Priced?", June 2007, Graduate School of Finance, KAIST. Seoul.

► "Sentiment and Beta Herding", February 2008, School of Economics, Mathematics and Statistics, Birkbeck College, University of London, UK.

► "Beta Herding and Sentiment", The First SKKU-WISE-BOK Workshop, SKKU, Seoul.

► "Sentiment, Beta Herding, and Cross-sectional Asset Returns ", 2012, Swansea University and Birmingham University, UK.

 

 

Refereeing and Other Activities

 

Refereeing

Applied Economics, Computational Statistics & Data Analysis, Economic Journal, Emerging Markets Review, European Journal of Finance, International Economic Review, International Review of Economics and Finance, Journal of Banking and Finance, Journal of Econometrics, Journal of Empirical Finance, Journal of Financial Econometrics, Journal of Financial Forecasting, Journal of Forecasting, Journal of the Operational Research Society, Journal of Real Estate Finance and Economics, Quantitative Finance, Real Estate Economics, etc.

 

Associate Editor

European Journal of Finance

Korean Economic Review