Asset pricing theory, factor models, stochastic discount factors, and mispricing
Asset price dynamics, predictability, momentum, and systemic risk
Portfolio theory, active investment management, and performance evaluation
Corporate finance, accounting-based valuation, and capital structure
Macroeconomic flows, value creation and conversion, and economic equilibrium
Lee, W. (2026): Short-Sales Constraints, Portfolio Weights, and the Cross-Section of Stock Returns, in: Asset Management Review, Vol. 14, No. 1, pp. 1–16. [KCI] [PDF]
Lee, W. (2024): New Approaches to Fund Evaluation: An Analysis of the Korean Fund Industry, in: Korean Journal of Financial Studies, Vol. 53, No. 5, pp. 525–554. DOI: 10.26845/KJFS.2024.10.53.5.525 [PDF]
Lee, W., Park, J. L., Sohn, B. (2021): Aggregate Volatility Risk and Empirical Factors: An International Study, in: Emerging Markets Finance and Trade, Vol. 57, No. 5, pp. 1489–1513. DOI: 10.1080/1540496X.2019.1633305
Lee, W. (2018): On the Idiosyncratic Volatility and Heteroscedasticity in Stock Return Data, in: Korean Journal of Financial Studies, Vol. 47, No. 6, pp. 947–975. DOI: 10.26845/KJFS.2018.12.47.6.947 [PDF]
Lee, I., Lee, W. (2018): Determinants and Impact on Macroeconomic Performance of Non-Performing Loans Growth, in: Journal of Insurance and Finance, Vol. 29, No. 2, pp. 3–37. DOI: 10.23842/jif.2018.29.2.001 [PDF]
Jeong, D., Kim, Y. R., Lee, S., Choi, Y., Lee, W., Shin, J. M., An, H. R., Hwang, H., Kim, J. (2015): A Fast and Robust Numerical Method for Option Prices and Greeks in a Jump-Diffusion Model, in: Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, Vol. 22, No. 2, pp. 159–168. DOI: 10.7468/jksmeb.2015.22.2.159 [PDF]
Out of the APT Shadow (single-authored) - working paper on SocArXiv
Shifting toward a Micro ICAPM (single-authored) - working paper on SocArXiv
Dealing with Factor Mismeasurement (single-authored) - working paper on SocArXiv
Informational Limits behind the Puzzle (single-authored) - working paper on SocArXiv
An Algorithmic Multifactor Extension (single-authored) - working paper on SocArXiv
Between Multifactor and Multi-Beta (single-authored) - working paper on SocArXiv
Arbitrage-Induced Mispricing (single-authored) - working paper on SocArXiv
Exact Linear Present Value (single-authored) - working paper on SocArXiv
Speculation-Based Asset Pricing (single-authored) - working paper on SocArXiv
Chaotic Dynamics of Asset Prices (single-authored) - working paper on SocArXiv
Intertemporal Dynamics of Asset Prices (single-authored) - working paper on SocArXiv
Dual Momentum: Cash Flows and Discount Rates (single-authored) - working paper on SocArXiv
Dual Exposure: Systematic and Systemic Risk (single-authored) - working paper on SocArXiv
Price Dynamics and Investor Mobility (single-authored) - working paper on SocArXiv
Predictability in Strategic Asset Allocation (single-authored) - working paper on SocArXiv
Fund Manager Beta in Tactical Asset Allocation (single-authored) - working paper on SocArXiv
Fund Manager Alpha in Tactical Asset Allocation (single-authored) - working paper on SocArXiv
Performance Measures and Mean-Variance Efficiency (single-authored) - working paper on SocArXiv
From Business Accounting to Market Valuations (single-authored) - working paper on SocArXiv
A General Framework for Tax Shield Valuation (single-authored) - working paper on SocArXiv
A General Framework for Equity Valuation (single-authored) - working paper on SocArXiv
Firm Optimization across Capital Forms (single-authored) - working paper on SocArXiv
From National Accounting to Macroeconomic Flows (single-authored) - working paper on SocArXiv
A Macroeconomic Theory of Value Conversion (single-authored) - working paper on SocArXiv
Price Setting, Free Riding, and Equilibrium (single-authored) - working paper on SocArXiv
Full Reporting in Empirical Asset Pricing: A Statistical Decision-Theoretic Approach (single-authored) - working paper on SocArXiv
Books
Lee, W. (2026): New Ideas in Financial Economics: 25 Theoretical Proposals, private edition, Seoul, South Korea, xxi, 392 pp. [Preview PDF]
Lee, W. (2025): Academic Synonymbank: A Writing Resource, 164 pp. (ISBN-13: 979-8-2625-6228-2). [Amazon]
Chapters in New Ideas in Financial Economics: 25 Theoretical Proposals
PART I · PRICING FACTORS AND MISPRICING
Lee, W. (2026): Chapter 1, Out of the APT Shadow, pp. 5–23. [PDF]
Lee, W. (2026): Chapter 2, Shifting toward a Micro ICAPM, pp. 25–35. [PDF]
Lee, W. (2026): Chapter 3, Dealing with Factor Mismeasurement, pp. 37–48. [PDF]
Lee, W. (2026): Chapter 4, Informational Limits behind the Puzzle, pp. 49–59. [PDF]
Lee, W. (2026): Chapter 5, An Algorithmic Multifactor Extension, pp. 61–74. [PDF]
Lee, W. (2026): Chapter 6, Between Multifactor and Multi-Beta, pp. 75–84. [PDF]
Lee, W. (2026): Chapter 7, Arbitrage-Induced Mispricing, pp. 85–94. [PDF]
PART II · DYNAMICS OF ASSET PRICES
Lee, W. (2026): Chapter 8, Exact Linear Present Value, pp. 97–112. [PDF]
Lee, W. (2026): Chapter 9, Speculation-Based Asset Pricing, pp. 113–124. [PDF]
Lee, W. (2026): Chapter 10, Chaotic Dynamics of Asset Prices, pp. 125–135. [PDF]
Lee, W. (2026): Chapter 11, Intertemporal Dynamics of Asset Prices, pp. 137–148. [PDF]
Lee, W. (2026): Chapter 12, Dual Momentum: Cash Flows and Discount Rates, pp. 149–162. [PDF]
Lee, W. (2026): Chapter 13, Dual Exposure: Systematic and Systemic Risk, pp. 163–181. [PDF]
Lee, W. (2026): Chapter 14, Price Dynamics and Investor Mobility, pp. 183–197. [PDF]
PART III · ACTIVE INVESTING THROUGH ASSET PRICING
Lee, W. (2026): Chapter 15, Predictability in Strategic Asset Allocation, pp. 201–214. [PDF]
Lee, W. (2026): Chapter 16, Fund Manager Beta in Tactical Asset Allocation, pp. 215–225. [PDF]
Lee, W. (2026): Chapter 17, Fund Manager Alpha in Tactical Asset Allocation, pp. 227–235. [PDF]
Lee, W. (2026): Chapter 18, Performance Measures and Mean-Variance Efficiency, pp. 237–254. [PDF]
PART IV · CORPORATE FINANCE THROUGH ASSET PRICING
Lee, W. (2026): Chapter 19, From Business Accounting to Market Valuations, pp. 257–274. [PDF]
Lee, W. (2026): Chapter 20, A General Framework for Tax Shield Valuation, pp. 275–297. [PDF]
Lee, W. (2026): Chapter 21, A General Framework for Equity Valuation, pp. 299–314. [PDF]
Lee, W. (2026): Chapter 22, Firm Optimization across Capital Forms, pp. 315–333. [PDF]
PART V · ECONOMICS THROUGH ASSET PRICING
Lee, W. (2026): Chapter 23, From National Accounting to Macroeconomic Flows, pp. 337–357. [PDF]
Lee, W. (2026): Chapter 24, A Macroeconomic Theory of Value Conversion, pp. 359–370. [PDF]
Lee, W. (2026): Chapter 25, Price Setting, Free Riding, and Equilibrium, pp. 371–385. [PDF]
Research Projects and Applications
Crypto Bubble Dashboard - an online dashboard applying speculation-based asset pricing to decompose prices into fundamental and bubble components and report the speculative upside indicator for eight major cryptocurrencies
Econengine (Economics Engine) - an independent research project exploring a systematic grammar for economic analysis
Selected Research in Progress
Fama-MacBeth-Style Portfolio Sorting
Structure of Factor Model Similarity
Structure of Factor Model Overlaps
Dividend Policy and Stock Returns
Credit Risk and Stock Returns
Augmented GARCH Models
Return Predictor Selection
Inference for R-Squared
Pure Predictability
Pure Causality