Byoung-Kyu Min

Photo of 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
Web Byoung-Kyu Min's site


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.

Selected publications


Journal Articles

Ahn D, Min B, and Yoon B (2019) Why Has the Size Effect Disappeared? Journal of Banking & Finance, 102, 256-276. [More Information]

Kim T, Kim K, and Min B (2019) Dispersion in Analysts' Earnings Forecasts and Market Efficiency International Review of Finance, In Press. [More Information]

Lee D, Min B, and Kim T (2019) Dispersion of beliefs, ambiguity, and the cross-section of stock returns Journal of Empirical Finance, 50, 43-56. [More Information]

Min B, Kang J, Lee C, and Roh T (2019) The q-Factors and Macroeconomic Conditions: Asymmetric Effects of the Business Cycles on Long and Short Sides International Review of Finance, In Press. [More Information]

Roh T, Lee C, and Min B (2019) Consumption growth predictability and asset prices Journal of Empirical Finance, 51, 95-118. [More Information]


Journal Article

Xiao R, Faff R, Gharghori P, and Min B (2017) The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM Journal of Business Ethics, 146 (2), 353-364. [More Information]


Journal Article

Min B, and Kim T (2016) Momentum and downside risk Journal of Banking & Finance, 72 (Suppl.), S104-S118. [More Information]


Journal Article

Dongcheol K, Roh T, Min B, and Byun S (2014) Time-Varying Expected Momentum Profits Journal of Banking & Finance, 49, 191-215. [More Information]


Journal Article

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, 37 (11), 4465-4475. [More Information]


Journal Article

Min B, and Kim T (2012) Are Good-News Firms Riskier than Bad-News Firms? Journal of Banking & Finance, 36 (5), 1528-1535. [More Information]


Journal Articles

Kang J, Kim T, Lee C, and Min B (2011) Macroeconomic Risk and the Cross-Section of Stock Returns Journal of Banking & Finance, 35, 3158-3173.

Kim D, Kim T, and Min B (2011) Future Labor Income Growth and the Cross Section of Equity Returns Journal of Banking & Finance, 35 (1), 67-81. [More Information]