Find us on Facebook Find us on LinkedIn Follow us on Twitter Subscribe to our YouTube channel Instagram

Byoung-Kyu Min

Byoung-Kyu Min


Senior Lecturer

Rm 410
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9036 6356
Fax 61 2 9351 6461
byoungkyu.min@sydney.edu.au
Web

Bio

Dr. Byoung-Kyu Min commenced as a Senior Lecturer at the University of Sydney in 2015. He received his Ph.D. degree from Korea Advanced Institute of Science and Technology (KAIST) Business School in 2010 and holds a Bachelor of Science from KAIST. Prior to joining the University of Sydney, he was an assistant professor of finance at University of Neuchatel in Switzerland. He was a post doctoral student at the Ohio State University. He was also a visiting doctoral student at Monash University.

Dr. Min’s primary research interests are in the area of asset pricing and investments. In particular, his research aims to understand the linkage between financial markets and the macroeconomy, determinants of the cross-sectional differences in asset returns, developing and testing of an asset pricing model, and financial market anomalies. His research publications have appeared in leading international journals. He has won a number of best paper awards from various conferences. He has taught various subjects including Derivatives, Fixed Income, Financial Modeling, and Capital Markets and Corporate Finance.

Research Interests

Dr. Byoung-Kyu Min’s primary research interests are in the area of asset pricing and investments. In particular, his research aims to understand determinants of cross-sectional differences in stock returns, predictability of stock returns and its implication for trading strategies, and how financial markets and the macroeconomy (such as the business cycles) are related and their implications for asset pricing.

Byoung-Kyu has a strong research interest in financial market anomalies. Financial market anomalies are cross-sectional patterns in security returns that are not predicted by a central paradigm or theory. A list includes the size effect, value premium, momentum effect, financial distress puzzle, and idiosyncratic volatility puzzle, among others. He proposes multiple explanations for financial market anomalies, including a risk-based explanation, lottery preference, and sentiment. He aims to understand a common driving force behind different anomalies.

Byoung-Kyu is also interested in developing equilibrium asset pricing models and studying their implications for the cross-section of stock returns. Specifically, he proposes consumption-based asset pricing models as well as intertemporal asset pricing models that can better explain cross-sectional variation in expected returns. The proposed models suggest new economic factors that have an equilibrium relation with asset returns. A suite of econometric techniques such as GMM is applied to evaluate his suggested models.

2017

4
Journal Article/s

Xiao Y, Faff R, Gharghor P and Min B 2017 'The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM', Journal of Business Ethics, vol.146:2, pp. 353-64 [Link]

5
Conference Paper/s

Liu S, Min B, Qiu B and Yao J 2017 'What Drives the Dispersion Effect: Investor Sentiment or Conditional Equity Premium?', 7th Auckland Finance Meeting, Queenstown, New Zealand, 20th December 2017

Liu S, Min B, Qiu B and Yao J 2017 'Analyst Forecast Dispersion and Market Return Predictability: Does Conditional Equity Premium Play a Role?', 30th Australasian Finance and Banking Conference (AFBC), Sydney, Australia, 15th December 2017

Min B, Qiu B and Roh T 2017 'What Drives the Dispersion Anomaly?', FIRN-Uluru Annual Conference, Uluru, Australia, 18th November 2017

2016

4
Journal Article/s

Min B and Kim TS 2016 'Momentum and downside risk', Journal of Banking and Finance, vol.72:Supplement, pp. S104–18 [Link]

5
Conference Paper/s

Min B 2016 'Consumption Growth Predictability and Asset Prices', 23rd Annual Conference of the Multinational Finance Society, Stockholm, Sweden, 29th June 2016

2015

5
Conference Paper/s

Min B and Kim TS 2015 'Momentum and Downside Risk', 5th Auckland Finance Meeting, Auckland, New Zealand, 19th December 2015

2014

4
Journal Article/s

Kim D, Roh T, Min B and Byun S 2014 'Time-Varying Expected Momentum Profits', Journal of Banking & Finance, vol.49, pp. 191-215 [Link]

2013

4
Journal Article/s

Xiao Y, Faff R, Gharghori P and Min B 2013 'Pricing Innovations in Consumption Growth: A Re-evaluation of the Recursive Utility Model', Journal of Banking & Finance, vol.37:11, pp. 4465–75 [Link]

2012

4
Journal Article/s

Min B and Kim TS 2012 'Are Good-News Firms Riskier than Bad-News Firms?', Journal of Banking & Finance, vol.36:5, pp. 1528–35 [Link]

2011

4
Journal Article/s

Kim D, Kim TS and Min B 2011 'Future Labor Income Growth and the Cross Section of Equity Returns', Journal of Banking & Finance, vol.35:1, pp. 67-81 [Link]

Kang J, Kim TS, Lee C and Min B 2011 'Macroeconomic Risk and the Cross-Section of Stock Returns', Journal of Banking & Finance, vol.35:12, pp. 3158–73 [Link]