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교수진

교수진안내

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약력/경력

  • Ph.D, University of Cambridge
  • Senior Hedge Fund Manager, GSA Capital, London
  • Professor in Finance, Cass Business School, London
  • Senior Research Associate, Department of Applied Economics, University of Cambridge
  • Accountant, Arthur Young International

관심분야

  • 자산가격, 기계학습

연구키워드

  • Asset Pricing Behavioral Finance : 투자가들의 투자의사결은 비합리적인 요소가 개재되어 있고 따라서 이들이 거래하는 자산가격도 심리적 요인에 의하여 왜곡됨 Financial Econometrics Risk Management Real Estate Finance
  • Machine Learning Machine Learning을 활용한 신용평가 분석 Big Data를 활용한 주식투자전략 및 최적 포트폴리오 Machine Learning을 통해 본 투자자의 비합리적 투자행위

연구성과

  • National Research Foundation of Korea, “Optimal Regulatory Reform for Sustainable Economic Growth in Korea”, 2014-2017.

논문

  • "A Behavioral Explanation of the Value Anomaly Based on Time-varying Return Reversals" with Alexandre Rubesam, 2013, Journal of Banking and Finance 37, 2367-2377.
  • "How Loss Averse Are Investors in Financial Markets?" with S. E. Satchell, 2010, Journal of Banking and Finance 34, 2425-2438.
  • "Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Index" with S. Bond, 2007, Real Estate Economics 35(3), 349-382.
  • "Market Stress and Herding" with M. Salmon, 2004, Journal of Empirical Finance Vol. 11, 585-616.
  • "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models" with A. Hall and S. E. Satchell, 2002, Journal of Banking and Finance Vol. 26, 2301- 2325.
  • "Modelling Emerging Market Risk Premia Using Higher Moments" with S. E. Satchell, 1999, International Journal of Finance and Economics, Vol. 4, No. 4, 271-296.

수상

  • SKKU Fellow, Sungkyunkwan University, 2010-2011
  • Best Paper awards (International Conference on Asia-Pacific Financial Markets, 2014)