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교수진

교수진안내

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학력

  • Ph.D, University of Cambridge, Cambridge
  • MSc, London School of Economics and Political Science, London
  • MA, Business School, Yonsei University, Seoul
  • BA, Business School, Yonsei University, Seoul

약력/경력

  • Senior Hedge Fund Manager, GSA Capital, London
  • Professor in Finance, Cass Business School, London
  • Senior Research Associate, Department of Applied Economics, University of Cambridge
  • Senior Researcher, Korea Capital Market Institute, Seoul
  • Fund Manager, Dongsuh Securities, Seoul
  • Accountant, Arthur Young International, Seoul

관심분야

  • 자산가격, 부동산 가격, 포트폴리오, 행동기반 투자론, 금융계량, 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

  • Since 2009
  • “The impact of UK household overconfidence in public information on house prices” with Youngha Cho and Jinho Shin, 2020, Journal of Property Research.
  • "네트워크를 통해 분석한 국내 금융기관간 상호연계성 연구: 외환위기와 글로벌금융위기를 중심으로" 문정훈 공저, 2019, 금융안정연구 20(1), 51-101.
  • “Loss Aversion around the World: Empirical Evidence from Pension Funds” with Yuxin Xie and Athanasios A. Pantelous, 2018, Journal of Banking and Finance 88, 52-62.
  • "An Analysis of Herding in the Korean Stock Market Using Network Theory" with Young-Il Kim and Jinho Shin, 2018, 한국증권학회지 47(3), 505-542.
  • “Does illiquidity matter in residential properties?” with Youngha Cho and Jinho Shin, 2017, Applied Economics 49(1), 1-20.
  • "Market Overreaction and Investment Strategies" with Chulwoo Han and Doojin Ryu, 2015, Applied Economics 47(54), 5868-5885.
  • "The Disappearance of Momentum" with Alexandre Rubesam, 2015, European Journal of Finance 21(7), 584-607.
  • 주택시장의 과신과 가격거품 (Overconfidence and Price Bubbles in the Housing Markets) with Jinho Shin, 2015, Journal of the Korea Real Estate Analysts Association 21(1), 5-29.
  • "The Dynamics of Smoothing" with Youngha Cho and Yong-ki. Lee, 2014, Real Estate Economics 42(2), 497-529.
  • "Testing Linear Factor Models on Individual Stocks Using the Average F Test" with Steve E. Satchell, 2014, European Journal of Finance 20 (5), 463-498.
  • "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.
  • "Some Exact Results for an Asset Pricing Test Based on the Average F Distribution" with Steve E. Satchell, 2012, Theoretical Economics Letters 2(5), 435-437.
  • "Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns" with Shaun Bond and Gianluca Marcato, 2012, Real Estate Economics 40(4), 637-661.
  • "The Optimal Mortgage Loan Portfolio in the UK Regional Residential Real Estates" with Youngha Cho and Steve Satchell, 2012, Journal of Real Estate Finance and Economics 45, 645-677.

저서

  • 재무경제학 (신진호 공저), 2018, 피엔씨미디어

수상

  • An Analysis of Herding in the Korean Stock Market Using Network Theory, 최우수 논문, 재무금융관련 5개학회 공동, 2016.
  • 주택시장의 과신과 가격거품 (Overconfidence and Price Bubbles in the Housing Markets) with Jinho Shin, 2015, Journal of the Korea Real Estate Analysts Association 21(1), 5-29, 한국부동산분석학회 201년 최우수논문
  • Excessive Arbitrage Trading by Overconfidence, the 9th International Conference on Asia-Pacific Financial Markets, 2014, Best paper award.
  • SKKU Fellow, Sungkyunkwan University, 2010-2011