Publications & Research

Publications

• Stock-Bond Dynamics and the Expected Country Stock Returns Forthcoming

  Management Science

  Working paper version

• Consumption Growth Persistence and the Stock-Bond Correlation (2025)

  Journal of Financial and Quantitative Analysis, with Christopher Jones

• Variance Risk in Aggregate Stock Returns and Time-varying Return Predictability (2019)

  Journal of Financial Economics

  Working paper version | Download updated data (2019)

Working Papers

• Cross-Border Trade Competition and International Stock Return Comovement Conditionally accepted

  Journal of International Economics, with Johan Sulaeman

• Return Extrapolation and Day/Night Effects

  With Christopher Jones and Tong Wang

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

• Implied Variance and Market Index Reversal

  With Christopher Jones and Tong Wang

• The Dollar Variance Risk Premium

  With Young Ho Eom, Woon Wook Jang, and Keon Hee Oh

• Rethinking Exchange Rate Exposure in Equity Markets Through International Trade Networks

  With Seo Ha Kim