Publications & Research

Publications

Cross-Border Trade Competition and International Stock Return Comovement Accepted

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

Management Science

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

Return Extrapolation and Day/Night Effects

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
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