Research Staff

Research Staff


Ph.D. Finance, KAIST College of Business, 2019.02
B.S. Mathematics, KAIST, 2013.02
Professional Experience
Research Fellow, Korea Capital Market Institute, 2019.03 ~ current
Part-time Lecturer, Hansung University, 2018.03 ~ 2018.08



Analysis of IPO Underpricing Factors and Implications / Mar. 05, 2024
IPO underpricing is often seen as a compensation mechanism to mitigate information asymmetry and prevent IPO failures. However, it should be noted that if the fair value of a company is not adequately reflected in the offer price, it can lead to higher financing costs for newly listed companies. In an analysis of IPO underpricing by country, Korea stands out for experiencing the most significant underpricing in its IPO market among other comparable countries, a trend that has persisted even allowing for temporal fluctuations and information effects. This phenomenon can be partly attributed to changes in the profile of newly listed companies, particularly increased listing of companies with substantial information asymmetry. In addition, inefficiencies in the IPO pricing process have likely contributed to this phenomenon. Upon closer examination of the IPO underpricing sample, the discount rate for the indicative offer price relative to the reference price, as assessed by underwriters, is slightly higher for underpriced companies. Additionally, the reference price is set substantially lower than the actual market value. Furthermore, although the demand exceeding the indicative price band is clearly observed in the bookbuilding process in the case of underpriced companies, this seems not to be fully reflected in the final offer price. These findings suggest that underwriters’ valuation of newly listed companies may lack the flexibility to align with market conditions or corporate characteristics. They also indicate that current market practices or regulatory frameworks may hinder underwriters from exercising their discretion in determining the final offer price. Considering the direct link between the maturity of the IPO market and the competitiveness of capital markets, there is a need for improvements in regulations and practices within the IPO market.
Low-carbon Portfolios and Capital Market Responses to Climate Change / Aug. 22, 2023
Amidst the trend of strengthening greenhouse gas (GHG) reduction regulations, climate risks are expected to gradually become a significant risk factor that investors should consider. Although there has not yet been a clear academic consensus on the impact of climate risk, there is a possibility that industries and companies with large GHG emissions are exposed to transition risks due to future carbon price increases. Therefore, long-term investors need to manage the climate risk of their portfolio, and it is urgent to activate low-carbon investment for facilitating capital market-driven incentives for carbon neutrality in the industrial sector in the mid- to long-run.Discussions and research have continued on low-carbon portfolio investment strategies for achieving net-zero internationally. This has resulted in the launch of various forms of decarbonized indices, and more adoption of related financial instruments and new types of benchmarks. In Europe, the EU Climate Benchmarks were announced to define the minimum criteria for decarbonized indices. Large institutional investors such as overseas pension funds are investing equity inflows into low-carbon portfolios. On the other hand, South Korea is taking a passive stance in terms of climate change. There is a need to enhance the awareness of capital market participants for addressing future climate risks and to activate low-carbon investments.
Potential for Growth of Active ETFs in Korea and Future Challenges / Mar. 07, 2023
An active exchange-traded fund (ETF) that pursues alpha compared to benchmark indices shows continuous growth. The number of active ETFs listed in Korea exceeded 100 last year and a wide range of products are now coming to the market. Since they are still in the early stage in terms of asset size, it is hard to predict whether active ETFs will achieve further growth. As benchmark indices become more diverse, the boundary between passive and active ETFs has been increasingly blurred, which could put constraints on the proliferation of active ETFs. Considering that the advantages of active ETFs become less outstanding compared to passive ETFs, the key to invigorating active ETFs lies in strong investment performance. In a recent analysis of returns on active ETFs listed in Korea, they are found to have generated significant alpha, which is evaluated positively.The existing regulatory regime should be reformed to give greater autonomy to fund managers to ensure that a wider range of active ETFs are launched and can contribute to the mutual fund market. If this happens, measures to minimize adverse effects from ETFs’ reduced transparency must be a prerequisite. In the long run, it is worth considering creating a system where retail investors can understand and compare various ETF products. Above all, investors also need to focus more on the long-term performance of active ETFs rather than short-term returns.
Direct Indexing and Personalized Passive Investing / Sep. 06, 2022
Known as a new paradigm in passive investing, direct indexing is accelerating personalized passive investment. With direct indexing, investors can build customized indexes to enjoy the benefits of passive investing. In overseas markets, it serves as a tool for tax savings and ESG investment. Direct indexing is expected to open up new opportunities in the passive investment ecosystem in that it helps overcome the limits of ETFs such as rigidity in the ETF market and liquidity mismatch and can promote effective behaviors of retail investors in the mid- and long-term. Major overseas investment firms are quickly responding to such changes to preoccupy the direct indexing market by offering distinctive services. Amid the growth of the ETF market and the increasing popularity of direct investment, Korea is likely to see direct indexing taking hold in the domestic market on the back of the potential tax reform and fractional trading services. In this regard, it is necessary to build direct indexing capabilities and implement measures to properly respond to it.

Seminar Presentation

Research performance

「Capital Market Regulatory Reform to Establish a Competitive System for Trading Platforms」, 2023.12, Nextrade Co.
「Informativeness and Utility of Real-time Trading Information」, 2023.10, Korea Exchange
「Analysis of Overseas Exchanges' Delisting System and Implication to KOSDAQ Markets」, 2023.10, Korea Exchange
「Performance of Growth Ladder Fund and Reshaping the Role of  Policy Fund」, 2023.05, Korea Growth Investment Corp.(K-Growth)
「A Study on Enhancing and Modernizing the Emission Trading Market」, 2022.12, Ministry of Environment
「Effects and Implications of ETF Ownership on the Stock Market」, 2022.11, Korea Exchange
「A Study on Order Systems in Overseas Markets and Plan for Domestic Introduction」, 2022.10, Korea Exchange
「Capital Market Outlook for Tax Projection in 2022」, 2022.02, Korea Institute of Public Finance
「Overseas Fund of Funds Case Analysis: Development Direction for Korea FoFs」, 2022.02, Korea Venture Investment Corporation
「A Study on Revitalizing OTC Stock Markets」, 2021.10, Korea Financial Investment Association
「Capital Market Outlook for Tax Projection in 2021」, 2021.04, Korea Institute of Public Finance
「Proposal for Improvement of Pricing Method of Final Settlement Price of KTB Futures」, 2020.10, Korea Exchange
「Case Study and Implication of Global Innovative Financial Services」, 2020.10, FinTech Center Korea
「Analysis of the Operation of Market-making system and Suggestions for Strengthening the Capabilities of Market Makers」, 2020.09, Korea Exchange
「Economic Outlook and Tax Projection for 2020」, 2020.05, National Research Council for Economics, Humanities and Social Sciences
「A Study on Listing Process for Derivatives and ETP」, 2019.12, Korea Financial Investment Association
「A Study on Guideline for Active Exercise of Shareholders' Rights by Nation Pension Fund of Korea」, 2019.10, National Pension Fund

Other Activities

Academic Research
- Twitter-Based Chinese Economy Policy Uncertainty (with K. Lee & E. Choi), 2023. 
Finance Research Letters, 53, 103627.
- V-shaped Disposition Effect, Stock Prices, and Post-Earnings-Announcement Drift: Evidence from Korea  (with T. Kim & T.S. Kim), 2023. Journal of Behavioral Finance, 24(3), 345-364. 

- Which Uncertainty Measures Matter for the Cross-section of Stock Returns? (with K. Lee & Y. Jeon), 2022. Finance Research Letters, 46(B), 102390.
- Investor Sentiment and Bond Risk Premia: Evidence from China (with K. Lee), 2019. Emerging Markets Finance and Trade, 55(4), 915-933. 
- Do Hedge Funds Time Market Tail Risk? Evidence from Option-implied Tail Risk (with J.S. Shin, D. Oh, & T.S. Kim), 2019. Journal of Futures Markets, 39(2), 205-237. 
- Measuring Chinese Economic Uncertainty and Predictability of the Great China Stock Market Volatility (with K. Lee), 2018. Korean Journal of Finance and Knowledge Studies, 16(3), 55-83. 
- Dissecting Profitability Premium in Korean Stock Markets (with J. Jung and T.S. Kim), 2018. Korean Journal of Financial Management, 35(4), 69-108. 

[Working Papers]
- Re-Interpreting the Profitability Premium 
- Resurrecting Lottery-related Anomalies 
- Why Does Trading Volume Predict Stock Returns? Evidence from a Decomposition Approach 

- Official Commendation, Financial Services Commission, 2022
- Best Research Report, KCMI, 2020, 2021
- Outstanding Paper Award, Joint Conference hosted by Allied Korea Finance Association, 2017