Primary research interests

Financial intermediaries, empirical asset pricing, international finance


Ph.D. in Finance, M.Res. in Finance, London Business School, 2019

M.S. in Statistics, University of Chicago, 2012

B.B.A. in Business Administration, B.A. in Education, Korea University, 2010

Contact at

+61 (0)3 8344 6408

Working papers

I study how mutual fund managers affect equilibrium asset prices due to two types of risk they have to face inherently: fund flow risk and liquidity risk. Fund flows are uncertain to managers, affect managers' income, and may force managers to liquidate their asset holdings even when the liquidating cost is high. I present an equilibrium model with two types of investors: direct investors and delegated managers. The model implies that aggregate shock to fund flows  enter  the stochastic discount factor (SDF) in addition to the aggregate market returns, and that the expected returns are driven by two factors: liquidity-adjusted market beta and fund flow beta. The fund flow beta measures how a stock's returns and liquidating costs co-move with unexpected aggregate fund flows.  I empirically test the model and find that the implied SDF explains the average returns of 50 size, book-to-market, liquidity, and flow beta portfolios jointly and separately. In fact, the fund flow beta subsumes  liquidity-adjusted market beta across different model specifications. Moreover, the magnitude of the price of risk for fund flow beta is very similar across the different sets of test assets, supporting the prediction that aggregate innovations in fund flows are an important component of the SDF. Conditional on liquidity risk, the fund flow risk premium is 3.17% for illiquid stocks and  1.74% for liquid stocks annually.

"Differential Real Effects of Foreign Bank Loan Supply," 2018

During foreign bank loan outflows, aggregate investment and employment relative to GDP decline at a sharper rate in emerging economies than in advanced economies. This paper studies how the supply of foreign bank loans affects debt financing and subsequently real investment and employment of non-financial firms in 70 different countries using company-level data. In particular, I explore if the real effects of foreign loan supply differ depending on the firm's ability to substitute with other forms of financing. For identification, I use detailed bank-firm level syndicated loan data that captures lending from foreign banks and local banks, supplemented with firms’ bond issuances, investment and employment. I exploit Lehman Brothers bankruptcy as a shock to a bank's health during 2008 financial crisis, measured by change in the number of loans made by the bank to all firms during the crisis relative to the pre-crisis period. To isolate supply effects, I show that, for a given firm borrowing from multiple banks, a change in the loan amounts from each bank is strongly correlated with the bank’s health, controlling for the firm specific change before and during the crisis. I then instrument the bank’s health using the pre-crisis share of the revolving facilities co-syndicated with Lehman Brothers. Using the instrument, I find that firms with a high share of foreign bank loans do not decrease debt financing, real investment, and employment as much as firms with a low share of foreign bank loan during the negative foreign loan supply. This points to a mechanism in which firms with a high foreign loan share substitute with local loan or bond financing at the expense of firms with a low foreign loan share who are crowded out from the local debt market. I also explore if a larger share of firms are crowded out in the emerging market economy than in the advance economy during the negative foreign loan supply. 

Work in progress
"Portfolio choice and liquidity management of open-end funds," with Oliver Randall, 2019