Tong Suk Kim

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

85 Hoegiro, Dongdaemoon-gu

Seoul, 130-722

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 8,946

SSRN RANKINGS

Top 8,946

in Total Papers Downloads

4,052

CITATIONS
Rank 25,464

SSRN RANKINGS

Top 25,464

in Total Papers Citations

10

Scholarly Papers (19)

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
KAIST Business School, Monash University - Department of Accounting and Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 752 (21,961)
Citation 2

Abstract:

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 Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 667 (28,637)
Citation 1

Abstract:

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
Korea Advanced Institute of Science and Technology (KAIST) - College of Business, Korea Advanced Institute of Science and Technology (KAIST) - College of Business, KAIST Business School and University of Sydney Business School
Downloads 318 (74,176)
Citation 2

Abstract:

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

Macroeconomic Risk and the Cross-Section of Stock Returns

KAIST Business School Working Paper Series No. 2009-003
Number of pages: 57 Posted: 23 Apr 2009
Korea Advanced Institute of Science and Technology (KAIST) - College of Business, Korea Advanced Institute of Science and Technology (KAIST) - College of Business, KAIST Business School and University of Sydney Business School
Downloads 154 (153,953)
Citation 2

Abstract:

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
Korea Advanced Institute of Science and Technology (KAIST) - College of Business, Korea Advanced Institute of Science and Technology (KAIST) - College of Business, University of Sydney Business School and KAIST Business School
Downloads 87 (236,748)
Citation 2

Abstract:

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

4.

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 Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 365 (61,278)
Citation 3

Abstract:

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

5.

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

KAIST Business School 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, Korea Advanced Institute of Science and Technology (KAIST) - College of Business and KAIST Business School
Downloads 211 (110,215)

Abstract:

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

6.

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
affiliation not provided to SSRN, Korea Advanced Institute of Science and Technology (KAIST) - College of Business and Hallym University - Department of Finance
Downloads 157 (144,072)

Abstract:

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

7.

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 Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 131 (105,514)

Abstract:

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

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 Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 125 (155,473)

Abstract:

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

9.

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
Korea Advanced Institute of Science and Technology (KAIST) - College of Business and Korea Capital Market Institute
Downloads 118 (162,766)

Abstract:

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

10.

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
KAIST Business School and Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 83 (196,461)
Citation 2

Abstract:

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

11.

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
University of Sydney Business School, Korea Advanced Institute of Science and Technology (KAIST) - College of Business and Korea University Business School
Downloads 83 (241,843)

Abstract:

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

12.

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 Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 79 (241,843)

Abstract:

Changes, Additions, Deletions, KOSPI 200, Index

13.

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 Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 45 (287,605)

Abstract:

Mutual Fund, Portfolio Turnover Level, Volatility Preference

14.

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), Korea Advanced Institute of Science and Technology (KAIST) - College of Business and KAIST Business School
Downloads 43 (305,128)

Abstract:

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

15.

Macroeconomic Conditions and Credit Default Swap (CDS) Spread Changes

Number of pages: 53 Posted: 26 Nov 2014
Tong Suk Kim, Yuen Jung Park and Jaewon Park
Korea Advanced Institute of Science and Technology (KAIST) - College of Business, Hallym University and KAIST Business School
Downloads 21 (343,079)

Abstract:

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

16.

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
Korea Advanced Institute of Science and Technology (KAIST) - College of Business and Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 0 (299,896)

Abstract:

17.

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
Korea Advanced Institute of Science and Technology (KAIST) - College of Business, Korea Advanced Institute of Science and Technology (KAIST) - College of Business and Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 0 (171,357)

Abstract:

18.

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, Korea Advanced Institute of Science and Technology (KAIST) - College of Business, Korea Advanced Institute of Science and Technology (KAIST) - College of Business and Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 0 (321,838)

Abstract:

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

19.

Momentum and Downside Risk

Number of pages: 50 Posted: 16 Mar 2010 Last Revised: 18 Apr 2016
Byoung-Kyu Min and Tong Suk Kim
University of Sydney Business School and Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 0 (424,883)

Abstract:

Momentum; Economic state; Expected market risk premium