Tong Suk Kim

College of Business, Korea Advanced Institute of Science and Technology (KAIST)

85 Hoegiro, Dongdaemoon-gu

Seoul 02455

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

23

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5,231

SSRN CITATIONS
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Top 39,779

in Total Papers Citations

12

CROSSREF CITATIONS

7

Scholarly Papers (23)

1.

Contagion Effects of the U.S. Subprime Crisis on International Stock Markets

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 49 Posted: 15 Jan 2010
Inchang Hwang, Francis Haeuck In and Tong Suk Kim
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Monash University - Department of Accounting and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 929 (32,143)
Citation 5

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Financial contagion, U.S. subprime crisis, Dynamic conditional correlation generalized autoregressive conditionally heteroskedastic (DCC-GARCH) model,Sovereign ratings, International stock markets

2.

Sovereign Credit Default Swaps, Sovereign Debt and Volatility Transmission Across Emerging Markets

Number of pages: 30 Posted: 11 Feb 2008
Byoung Uk Kang, Francis Haeuck In and Tong Suk Kim
The Hong Kong Polytechnic University - School of Accounting and Finance, Monash University - Department of Accounting and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 704 (46,934)
Citation 1

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Credit default swap, Credit Spread, Emerging market, International linkages, Price discovery

Macroeconomic Risk and the Cross-Section of Stock Returns

Journal of Banking and Finance, Vol. 35, No. 12, 2011
Number of pages: 54 Posted: 18 Feb 2009 Last Revised: 21 Sep 2014
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST), KAIST Business School and Hanyang University
Downloads 348 (109,993)

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Asset pricing, Macroeconomic variable, Stock return predictability, Consumption capital asset pricing model, Value premium

Macroeconomic Risk and the Cross-Section of Stock Returns

KAIST College of Business Working Paper Series No. 2009-003
Number of pages: 57 Posted: 23 Apr 2009
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST), KAIST Business School and Hanyang University
Downloads 183 (209,776)
Citation 1

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Asset pricing, macroeconomic variable, stock return predictability, consumption capital asset pricing model, value premium

Macroeconomic Risk and the Cross-Section of Stock Returns

Number of pages: 53 Posted: 19 Mar 2009 Last Revised: 23 Mar 2009
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST), Hanyang University and KAIST Business School
Downloads 101 (334,035)

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Asset pricing, Macroeconomic variable, Stock return predictability, Consumption capital asset pricing model, Value premium

4.

Abnormal Trading Volume and the Cross-Section of Stock Returns

KAIST College of Business Working Paper Series No. 2016-008
Number of pages: 58 Posted: 21 Jul 2016
Deok Hyeon Lee, Min Ki Kim and Tong Suk Kim
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST) and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 407 (92,763)

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5.

A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market

Journal of Financial and Quantitative Analysis, Vol. 45, No. 3, June 2010, pp. 763-789
Number of pages: 43 Posted: 01 Feb 2008 Last Revised: 03 Nov 2012
The Hong Kong Polytechnic University - School of Accounting and Finance, Monash University - Department of Accounting, Monash Business School and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 389 (97,658)
Citation 3

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Hedge Funds, Investment Horizon Effect, Nonlinear Dependence, Tail Dependence, Copulas, Filtered Historical Simulation

6.

Investment Horizon of Shareholders and Post-Earnings-Announcement Drift

Number of pages: 32 Posted: 06 Jan 2015 Last Revised: 02 Dec 2015
Min Kyeong Kwon and Tong Suk Kim
Korea Capital Market Institute and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 351 (109,685)

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Post-Earnings-Announcement Drift, Investment Horizon, Portfolio Turnover Level

7.

Risk-Return Relationship in High Frequency Data: Multiscale Analysis and Long Memory Effect

KAIST College of Business Working Paper Series No. 2008-007
Number of pages: 57 Posted: 30 May 2008
Jihyun Lee, Tong Suk Kim and Hoe Kyung Lee
KEB Hana Bank, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and KAIST Business School
Downloads 234 (167,198)

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risk-return relationship, high-frequency data, leverage effect, volatility feedback effect, multiresolution, wavelet, long memory

8.

Timescale Betas and the Cross Section of Equity Returns: Framework, Application, and Implication for Interpreting the Fama-French Factors

Journal of Empirical Finance, Forthcoming
Number of pages: 60 Posted: 05 Apr 2012 Last Revised: 26 Jan 2017
Byoung Uk Kang, Francis Haeuck In and Tong Suk Kim
The Hong Kong Polytechnic University - School of Accounting and Finance, Monash University - Department of Accounting and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 211 (184,419)
Citation 1

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Asset Pricing, Timescale Betas, Cross Section of Stock Returns, Fama-French Factors, Wavelets

9.

Information Content of Volatility Spreads

Journal of Futures Markets, Forthcoming
Number of pages: 32 Posted: 13 Jul 2009 Last Revised: 13 Apr 2010
Byung Jin Kang, Tong Suk Kim and Sun-Joong Yoon
Soongsil University, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Hallym University - Department of Finance
Downloads 191 (201,996)
Citation 4

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Volatility spreads, Realized volatility, Implied volatility, Historical volatility, Risk preference, Skewness, Kurtosis

10.

Time Preference and Speculative Stocks

Number of pages: 34 Posted: 11 Oct 2013 Last Revised: 02 Dec 2015
Tong Suk Kim and Min Kyeong Kwon
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Korea Capital Market Institute
Downloads 158 (237,788)

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Time preference; Speculative stocks; Realization utility; Volatility preference; Skewness preference

11.

Idiosyncratic Risk and Cross Section of Hedge Fund Returns

Number of pages: 28 Posted: 19 Nov 2013 Last Revised: 04 Jan 2014
Dong Woo Lee and Tong Suk Kim
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 144 (256,503)

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Hedge funds, Idiosyncratic risk, EGARCH, Cross-sectional returns

12.

Money is Smart: New Evidence from Investors’ Buys and Sells

KAIST College of Business Working Paper Series No. 2016-011
Number of pages: 53 Posted: 21 Jul 2016
Pusan National University, College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST) and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 117 (299,860)

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Smart money effect, fund performance, fund inflow, fund outflow

13.

V-Shaped Disposition Effect, Stock Prices, and Post-Earnings-Announcement Drift: Evidence from Korea

KAIST College of Business Working Paper Series No. 2018-006
Number of pages: 56 Posted: 31 May 2018
Min Ki Kim, Toyoung Kim and Tong Suk Kim
College of Business, Korea Advanced Institute of Science and Technology (KAIST), KAIST College of Business and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 97 (340,513)

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V-shaped net selling propensity, post-earnings announcement drift, disposition effect, underreaction, individual investor

14.

The Information Content of Changes in Index Composition

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 36 Posted: 18 Jun 2010 Last Revised: 30 Oct 2010
Joo Young Yun and Tong Suk Kim
Mirae Asset Global Investment and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 95 (345,062)

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Changes, Additions, Deletions, KOSPI 200, Index

15.

Does Disagreement Explain Financial Anomalies?

KAIST College of Business Working Paper Series No. 2016-009
Number of pages: 70 Posted: 21 Jul 2016
Deok Hyeon Lee and Tong Suk Kim
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 94 (347,385)

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16.

Future Labor Income Growth and the Cross Section of Equity Returns

Journal of Banking and Finance, Vol. 35, No. 1, 2011
Number of pages: 49 Posted: 18 Oct 2009 Last Revised: 21 Sep 2014
Byoung-Kyu Min, Tong Suk Kim and Dongcheol Kim
Hanyang University, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Korea University Business School
Downloads 94 (347,385)

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Future labor income growth, Fama-French factors, Economic tracking portfolio, Intertemporal CAPM

17.

Macroeconomic Conditions and Credit Default Swap (CDS) Spread Changes

Number of pages: 53 Posted: 26 Nov 2014
Tong Suk Kim, Yuen Park and Jaewon Park
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Hallym University and KAIST Business School
Downloads 76 (394,837)
Citation 1

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credit default swap; business cycle; expected market risk premium; credit spread puzzle; structural model.

18.

Does It Matter Who Owns the Stock?

Number of pages: 35 Posted: 21 Jun 2014 Last Revised: 18 Mar 2015
Min Kyeong Kwon and Tong Suk Kim
Korea Capital Market Institute and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 74 (400,784)
Citation 1

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Mutual Fund, Portfolio Turnover Level, Volatility Preference

19.

Option-Implied Tail Risk, Timing by Hedge Funds, and Performance

KAIST College of Business Working Paper Series No. 2017-016
Number of pages: 67 Posted: 11 Aug 2017
Ewha Womans University, College of Business, Korea Advanced Institute of Science and Technology (KAIST), Mirae Asset Maps Global Investment and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 73 (403,829)

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Option-implied tail risk, Hedge funds, Tail risk timing, Fund performance

20.

Assessing the Proportionality Assumption in Default Rate Forecasting Using the Proportional Hazard Model

KAIST College of Business Working Paper Series No. 2013-011
Number of pages: 41 Posted: 29 Aug 2013
NICE Investors Services Co., Ltd, Ratings Policy and Research Center, Korea Capital Market Institute (KCMI), College of Business, Korea Advanced Institute of Science and Technology (KAIST) and KAIST Business School
Downloads 69 (416,361)

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Cox’s proportional hazard model, proportionality assumption, macroeconomic variable

21.

Dispersion of Beliefs, Ambiguity, and the Cross-Section of Stock Returns

Journal of Empirical Finance, Vol. 50, 2019
Number of pages: 42 Posted: 02 Apr 2019
Deok-Hyeon Lee, Byoung-Kyu Min and Tong Suk Kim
Korea Development Bank, Hanyang University and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 46 (502,889)

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Ambiguity, Dispersion of Beliefs, Stock Returns

22.

Momentum and Downside Risk

Journal of Banking and Finance, Vol. 72, 2016
Number of pages: 50 Posted: 16 Mar 2010 Last Revised: 12 Mar 2019
Byoung-Kyu Min and Tong Suk Kim
Hanyang University and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 44 (511,754)
Citation 1

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Momentum; Economic state; Expected market risk premium

23.

Dispersion in Analysts’ Earnings Forecasts and Market Efficiency

International Review of Finance, Vol. 20, Issue 1, pp. 247-260, 2020
Number of pages: 14 Posted: 13 Mar 2020 Last Revised: 17 May 2020
Tong Suk Kim, Ki‐Deok Kim and Byoung-Kyu Min
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Samsung Investment Trust Management - Samsung Asset Management and Hanyang University
Downloads 2 (790,260)
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