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Professional Experiences
1997 – Current, Professor of Finance, Seoul National University, Business School
2013 – Current, Director of Institute of Finance and Banking (IFB), Seoul National University, Business school
2009 – 2013, Director of Advanced Banking Program(ABP), Seoul National University, Business School
2011 – Current, Board member of Foundation for Education and Research, Seoul National University, Business School
2008 – 2010, Associate Dean for MBA Programs, Seoul National University, Business School
2008 – 2009, Director of SNU MBA Program, Seoul National University, Business School
2007 – 2008, Director of Ph.D. Program, Seoul National University, Business School
2005 – 2007, Director of Business Library, Seoul National University, Business School
2005 – 2007, Associate Director of Institute of Finance and Banking(IFB), Seoul National University, Business School
2003 – 2005, Visiting Professor, Dice Center Research Fellow, The Ohio State University
1999 – Current, Academic Advisor of LFIRM., Seoul National University, Business School
1995 – 1997, Assistant Professor, University of Seoul
Education
1994, Ph.D. in Finance, The Ohio State University, Columbus, Ohio, U.S.A.
1989, MBA, Seoul National University, Seoul, Korea
1985, B.B.A., Seoul National University, Seoul, Korea
Research Interests
Investments - Asset Pricing, Market Efficiency, International Finance
Derivative Securities and Risk Management
Corporate Finance
Teaching Experiences
Financial Management - Undergraduate course
Investments - Undergraduate course
Derivative Securities - Undergraduate course
Studies in Corporate Finance - Master course
Seminar in Financial Management - Master course
Fixed Income Securities - Master course
Empirical Research in Investments - Master/Ph.D. course
Academic Activities
Vice President, Korean Finance Management Association, 2013 ~ Current
Vice President, Korean Securities Association, 2012 ~ 2013
Program Committee, Western Finance Association(WFA), 2002 ~ Current
Vice President, Korea America Finance Association (KAFA), 2008 ~ 2011
Editor, Asia-Pacific Journal of Financial Studies (the first SSCI-listed finance journal in Asia), 2007 ~ 2010
Board Member, Asia Finance Association (AsFA), 2008 ~ 2010
President Nominating Committee, American Finance Association(AFA), 2006 ~ 2007
Program Committee, Financial Management Association, 2005 ~ 2009
Program Committee, PACAP/FMA, 2001
Board of Directors, Korean Securities Association, 2006 ~ 2007
Board of Directors, Korean Finance Association, 2005 ~ 2006
Board of Directors, Korean Association of Futures and Options, 2002 ~ 2004
Board of Directors, Korean Financial Management Association, 1997 ~ 2010
Editorial Board Member, Korean Securities Association, 2001 ~ 2004
Editorial Board Member, Korean Association of Futures and Options, 1999 ~ 2004
Editorial Board Member, Korean Finance Association, 1998 ~ 2000
Other Activities
Member, Public Fund Oversight Committee, Financial Services Commission, 2011-Current
Member, Expert Committee on National Pension Investment Policy, Ministry of Health and Welfare, 2011-Current
Committee Chairman, Stock Price Index Management Committee, Korea Exchange, 2011-Current
Committee Member, Futures and Option Market Development Committee, Korea Exchange, 2002-2003
Committee Member, Asset Management Committee, Government Employees Pension Service, 2010-Current
Committee Member, Risk Management Committee, Government Employees Pension Service, 2005-2008
Committee Member, Foreign Exchange Risk Management Committee, Korea Hydro and Nuclear Power Co., Ltd, 2011-Current
Committee Member, Evaluation Committee of KEPCO Subsidiaries’ performance, Korea Electric Power Corporation, 2008
Committee Member, Investment Management Committee, Korea Expressway Corporation, 2005-2009
Committee Member, IPO Task Force Consulting Committee, Financial Supervisory Service, 2003
Committee Member, Public Funds Evaluation Committee, Ministry of Strategy and Finance, 2001
Outside Board Member, SINDOH, 2012-Current
Outside Board Member, SFA, 2012-Current
Outside Board Member, Mirae Asset Investments, 2008-2010
Committee Member, Business Consulting Committee, Hana Bank, 2005-2010
Honors, Awards, and Grants
Certificate of Top Research Outcomes Sponsored by National Research Foundation of Korea (Awarded by Ministry of Education), 2012
Best Paper Award, Shinhan Bank and Korea America Finance Association(KAFA), 2011
Best Research Award, Seoul National University, Business School, 2001, 2010, 2012
Best Teaching Award, Seoul National University, Business School, 2008
Best Paper Award, Korea Securities Association, 2003, 2007, 2010
Best Research Award, National Research Foundation of Korea, 2006
Best Paper Award, International Conference on Asia-Pacific Financial Markets, 2006
INQUIRE-UK Research Grant Award, 2006
BSI Gamma Foundation Research Grant Award, 2006
Best Paper Award, Korea Financial Management Association, 2006
Maekyung Economist Award, 2006
Dice Center Research Fellow, The Ohio State University, 2003 ~ 2005
Korea Research Foundation Grant, 2004
Top 20 in Research Productivity of the Finance Profession in the Asia-Pacific Region, 2001
(Pacific-Basin Finance Journal Vol. 9)
Highest Quality Rating Paper by ANBAR Management Intelligence, 1998
Publications in Journals
[International Journal]
What Factors Drive Global Stock Returns? Review of Financial Studies, Vol. 24, No. 8, August 2011(with Andrew Karolyi and Kewei Hou) (SSRN)
The Impact and Role of Foreign Investors in Korea, Asian Review of Financial Research, Vol. 24, No. 1, February 2011
Financial Globalization, Governance, and the Evolution of the Home Bias, Journal of Accounting Research, Vol. 47, No. 2, May 2009 (with René M. Stulz and Frank Warnock; Also published in NBER Working paper No. 12389)
The Impacts of Day-Trading on Volatility and Liquidity, Asia-Pacific Journal of Financial Studies, Vol. 38, No. 2, pp. 237~275, April 2009 (with Hyuk Choe and J. M. Chung; Presented at the Korean Finance Association Annual Conference in 2002)
Does National Pension Service’s Trading Destabilize Korean Stock Market? Asia-Pacific Journal of Financial Studies, Vol. 37, No. 3, June 2008
Earnings Forecast Accuracy and Recommendation Profitability of the Analysts in Korea, Asia-Pacific Journal of Financial Studies, Vol. 36, No. 6, 2007
Does the Accrual Anomaly Reflect a Risk Factor? The Case of the Korean Stock Market, Asia-Pacific Journal of Financial Studies, Vol. 36, No. 3, 2007
Interaction of Momentum Returns in Stock and Bond Markets in Korea, Asia-Pacific Journal of Financial Studies, Vol. 35, No. 1, 2006
Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea, Review of Financial Studies, Vol. 18, No. 3, 2005. (with Hyuk Choe and René M. Stulz; Presented at the American Economic Association Annual Conference in 2003)
Momentum Strategies: Some Bootstrap Tests, Journal of Empirical Finance, Vol. 11, No. 4, 2004. (with Andrew Karolyi; Presented at the Journal of Empirical Finance’s Special Conference on Behavioral Finance in October 2002)
U.S. Banks, Crisis, and Bailouts: From Mexico to LTCM, American Economic Review, Vol. 90, No. 2, 2000. (with Dong Wook Lee and René M. Stulz; Presented at the IMF Annual Conference in 1999, and the American Economic Association Annual Conference in 2000; Also published in NBER Working paper No. 7529)
Banks, the IMF, and the Asian Crisis, Pacific-Basin Finance Journal, Vol. 8, 2000. (with René M. Stulz; Presented at the Federal Reserve Board, Columbia University, the Ohio State University, the University of St. Gallen, and the American Economic Association Annual Conference in 2000; Also published in NBER Working paper No. 7361)
Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997, Journal of Financial Economics, Vol. 54, No. 2, 1999. (with Hyuk Choe, and René M. Stulz; Presented at the Federal Reserve Board, Korea University, London Business School, MIT, Seoul National University, the Ohio State University, Virginia Tech University, Yale University, University of California at Berkley, World Bank, the NBER Asset Pricing Group, Q-Group, and the Korea Finance Association meeting in 1998; Also published in NBER Working paper No. 6661, and the NBER Digest, October 1998)
Time-varying Risk Premia, Volatility, and Technical Trading Rule Profits: Evidence from Foreign Currency Futures Markets, Journal of Financial Economics, Vol. 41, No. 2, 1996. (Rated with the Highest Quality Rating by ANBAR Management Intelligence in 1998)
Information, Trading, and Stock Returns: Lessons from Dually-listed Securities, Journal of Banking and Finance, Vol. 20, No. 7, 1996. (with K. C. Chan, W.-M. Fong, and René M. Stulz; Rated with the Highest Quality Rating by ANBAR Management Intelligence in 1998)
[Domestic Journal] R2와 기업가치의 관계에 관한 실증연구, 재무관리연구, 29권 3호, 2012
액티브펀드의 성과와 종목선택능력에 대한 연구, 재무관리연구, 28권 4호, 2011
ELW 시장의 투자자 인식과 투자행태 분석, 한국증권학회지, 40권 1호, 2011
국내 주식형 펀드의 스타일 분석과 활용, 선물연구, 19권 1호, 2011
뮤추얼펀드의 자금흐름과 주식거래가 주가에 미치는 효과, 재무관리연구, 27권 2호, 2010
발생액 이상현상과 차익거래기회에 관한 연구, 한국증권학회지, 38권 1호 pp.77-105, 2009
국민연금기금의 주식시장왜곡에 관한 연구, 증권학회지, 37권 3호, 2008
애널리스트 이익예측의 정확성과 추천종목의 수익성, 증권학회지, 36권 6호, 2007
발생액 이상현상에 대한 위험평가, 증권학회지, 36권 3호, 2007
국내 채권시장 모멘텀과 주식시장과의 선행관계, 증권학회지, 35권 1호, pp. 103~133, 2006
확률베타모형의 베이지안 분석, 재무관리연구, 22권 2호, 2005
KOSPI200 선물시장과 내외국인의 거래가격 분석, 선물연구, 13권 1호, 2005
외환위기 전후의 KOSPI200 지수선물시장 투자자별 영향분석, 경영논집, 37권 4호, 2003
자본시장을 통한 대기업의 재무활동, 증권금융저널, 2권 1호, 2003
주가수익률의 Skewness에 대한 위험프리미엄 실증연구, 증권금융저널, 2권 1호, 2003
국채선물옵션시장의 일중 가격변화와 거래량, 선물연구, 10권 2호, 2002
내부자거래 규제의 경제적 타당성 평가, 증권학회지, 30권, 2002
축약모형을 이용한 국내 회사채 신용위험 분석, 증권금융저널, 1권 1호, 2002
변동금리채의 기준금리와 차익거래기회에 관한 실증연구, 28권, 2001
Threshold Cointegration을 이용한 KOSPI200 현선물의 비선형 동적관계 연구, 선물연구, 9권 1호, 2001
증권발행회사의 장단기성과에 관한 연구, 증권학회지, 27권, 2000
시장가 및 지정가주문의 거래체결성과에 관한 실증연구, 재무연구, 12권 2호, 1999
시간가변적 위험프레미엄과 상대적세력 투자전략의 수익성, 경영논집, 33권 1호, 1999
Time-varying Risk Premia and Profits from Portfolio Trading Strategies in the U.S. Stock Markets, Seoul Journal of Business, Vol. 4, No. 1, 1998
Currency Futures Prices, Volume, and Volatility: A Semi-nonparametric Approach, Journal of Economics and Management, Vol. 12, No 1, 1997
주가와 거래량: 반비모수적 접근방법, 재무연구, 13호, 1997
주식 및 채권발행회사의 장기성과에 관한 실증연구, 금융학회지, 2권 2호, 1997
위험프리미엄과 상대적세력 투자전략의 수익성, 재무관리연구, 14권 1호, 1997
Working Papers
Do Domestic Investors Have More Valuable Information About Individual Stocks Than Foreign Investors? (with Hyuk Choe and René M. Stulz; Presented at the Ohio State University, Hong Kong University of Science and Technology, Duke University, Bank of Korea; published in NBER Working paper No. 8073) (SSRN)
Price Manipulation Using Fictitious Orders in an Electronic Limit Order Market, (with Hyuk Choe, J. M. Chung, and I. S. Myung)
Time-Varying Risk Premia and the Returns to Buying Winners and Selling Losers: Caveat Emptor et Venditor, (with Andrew Karolyi; Presented at the Chicago CRSP Seminar, Queen’s University, University of Michigan, and the Ohio State University) (SSRN)
Work in Progress
Characteristics versus Covariances: A Global Perspective, (with Andrew Karolyi and Kewei Hou)
On the Value Relevance of Cash Flow: A Cross-Country Analysis, (with Andrew Karolyi and Kewei Hou)
Explaining the Long-run Abnormal Performance Following New Security Issues, (with René M. Stulz)
Raising Competitiveness of Derivative Securities Markets in Korea, (with I. J. Kim, Y. H. Eum, and I. M. Lee; Presented at the Special Symposium of the Korean Association of Futures and Options, Fall 2000)
Do International Investors Perform Better? (with Hyuk Choe; Presented at the Financial Management Association Meeting in Chicago, October 1998)
Stock Prices, Volume, and Volatility: The Case of the Korean Stock Market, (Presented at the Ohio State University, and the Financial Management Association in Honolulu, Hawaii, October 1997)
Research and Consulting Report
액티브펀드의 종목선택능력 구성요인들의 상대적 중요성 검증, 서울대학교 경영대학, 2012
주식시장 변동성에 따른 투자성향의 변화, 서울대학교 경영대학, 2012
ELW 발행이 기초자산의 가격과 거래량에 미치는 효과, 서울대학교 경영대학, 2012
국내 ELW 시장과 DMA 거래에 관한 의견서, 서울대학교 경영대학, 2011
공무원연금공단 중장기 자산배분전략 연구, 공무원연금공단, 2010
신종 Equity-Linked Warrant 금융상품 시장조사 보고서, 서울대학교 경영대학, 2010
주식매수가액의 공정가치 산정에 관한 의견서, 서울대학교 경영대학, 2010
한전 자회사 경영평가 보고서, 한국전력(주), 2008
POSCO의 재무정책,” 서울대학교 경영대학, 2008
한국 금융산업 발전을 위한 교육 및 연구센터 설립방안 연구, 서울대학교 경영대학 2007
국민연금과 국내 주식시장 투자자별 거래행태 연구, 국민연금, 2005
KRX의 기업공개 및 상장을 위한 사회적 공감대 도출에 관한 연구, 한국증권거래소, 2005
파생상품시장의 선진화 및 효율성 제고방안, 한국선물학회/한국증권거래소, 2003
주주중시경영 주가지수 개발: 배당지수 산정, 한국증권거래소, 2003
M&A에 대한 재무적 접근, 한국공인회계사회, 2001
데이트레이딩과 허수주문에 관한 연구, 한국증권거래소, 2001
건전한 증권시장의 발전방안: 내부자거래 규제의 경제적 타당성 평가, 한국증권거래소, 2000
투기등급채권의 가격산정 모델 개발, KIS채권평가(주), 2000
변동금리부 산금채 발행가격결정에 관한 연구, 산업은행, 2000
채권포트폴리오 최적화전략과 성과평가, 산업은행, 2000
채권종류별 신용스프레드 결정에 관한 연구, 산업은행, 2000
국채전문딜러의 최적 운용전략, 주택은행, 1999
Books and Monographs
Handbook of Finance Research in Korea, Volume 1, The Korea Finance Association, 2012
Value: 기업가치란 무엇인가?, 역저, 인피니티북스, 2011. (원저: McKinsey & Co., Wiley)
국내 금융기관의 해외진출 전략 도출을 위한 사례연구, 경영사례시리즈, 서울대학교 경영연구소, 2011
국내 주식형펀드의 성과평가측도 비교사례, 경영사례시리즈, 서울대학교 경영연구소, 2010
사이버 금융위험관리, 서울대학교 전자상거래지원센터, 2003
1990년대 주주가치창조 기준 우량기업의 특성, 경영학 뉴패러다임, 박영사, 2001
한국기업의 재무구조와 배당정책, 경영학 뉴패러다임, 박영사, 2001
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