Skip to content

Publications & Research

Publications

Peer-reviewed journal articles.

Cross-Border Trade Competition and International Stock Return Comovement Forthcoming

Journal of International Economics 2026 • with Johan Sulaeman
Stock-Bond Dynamics and the Expected Country Stock Returns

Management Science 2025 • Working paper version
Consumption Growth Persistence and the Stock-Bond Correlation

Journal of Financial and Quantitative Analysis 2025 • with Christopher Jones
Variance Risk in Aggregate Stock Returns and Time-varying Return Predictability

Journal of Financial Economics 2019

Working paper version • Download updated data (2019)

Working Papers

Active working papers and works in progress.

Return Extrapolation and Day/Night Effects

with Christopher Jones and Tong Wang
The Dollar Variance Risk Premium: A Tale of Two Investors

with Young Ho Eom, Woon Wook Jang, and Keon Hee Oh
Rethinking Exchange Rate Exposure in Equity Markets Through International Trade Networks

with Seoha Kim 2025 SFS Cavalcade Asia-Pacific Best Paper in Asset Pricing
Systematic Credit Information in Stock–Bond Return Predictability

with Heungju Park

Older working papers

Implied Variance and Market Index Reversal

with Christopher Jones and Tong Wang

Variance Risk Premium in Individual Stocks and the Exposure to Factor Variance Risk