Large Sample Estimators of Stochastic Discount
Factor
with Robert
Korajczyk Journal of Financial Econometrics,
forthcoming.
[SSRN]
Analyzing Active Fund Managers’ Commitment to ESG:
Evidence from the United Nations Principles for Responsible
Investment
with Aaron
Yoon Management Science, (2023), 69,
723-1322.
[MS]
Revealed Heuristics: Evidence from Investment
Consultants’ Search Behavior
with Sudheer
Chava and Daniel
Weagley Review of Asset Pricing Studies, (2022),
12, 543-592.
[RAPS]
Characteristic-Based Returns: Alpha or Smart
Beta?
with Robert
Korajczyk and Andy
Neuhierl Journal of Investment Management, (2022),
20, 70-89.
[JOIM]
Arbitrage Portfolios
with Robert
Korajczyk and Andy
Neuhierl Review of Financial Studies, (2021), 34,
2813–2856.
[RFS]
Self-fulfilling arbitrages necessitate crash
risk
with Donghyun
Ahn and Kyoungwon Seo
Journal of Financial Markets, (2020), 51, 100547.
[JFM]
Ex-post risk premia estimation and asset pricing tests
using large cross sections: The regression-calibration
approach
with Georgios
Skoulakis Journal of Econometrics, (2018), 204,
159-188.
[JOE]
Capital Allocation and the Market for Mutual Funds:
Inspecting the Mechanism
with Jules
van Binsbergen and John Kim
[SSRN]
Testing Implications of Asset Pricing Models using
Individual Stocks over Short Horizons
with Georgios
Skoulakis
Market Returns Dormant in Option Panels
with Yoosoon
Chang, Youngmin
Choi and Joon
Y. Park
Market vs Social norms: Evidence from ESG fund
flows
with S. Katie
Moon and [Jiyeon Seo]
The More Resilient, the More Vulnerable!
with Dong-Hyun
Ahn, Heungju
Park and Kyoungwon
Seo