Kyung Hwan Shim

University of New South Wales (UNSW)

306 Level 3 ASB

UNSW Kensington Campus

UNSW Sydney , NSW 2052

Australia

SCHOLARLY PAPERS

8

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Rank 41,662

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Top 41,662

in Total Papers Downloads

992

CITATIONS

0

Scholarly Papers (8)

1.

Stochastic Idiosyncratic Cash Flow Risk and Real Options: Implications for Stock Returns

Journal of Economic Theory, Forthcoming, 2015 Society for Economic Dynamics in Warsaw, 2015 American Finance Association Annual Meetings in Boston, 2014 European Finance Association Annual Meetings in Lugano , 2013 Adam Smith Asset Pricing Conference in Oxford , 2013 China International Finance Conference in Shanghai , 2013 Northern Finance Association Annual Meetings in Quebec , 2013 Tel Aviv Finance Conference
Number of pages: 43 Posted: 12 Jan 2013 Last Revised: 28 Nov 2016
Harjoat Singh Bhamra and Kyung Hwan Shim
Imperial College Business School and University of New South Wales (UNSW)
Downloads 275 (108,817)
Citation 2

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Idiosyncratic return volatility, cross-section of stock returns, asset pricing, real options, growth options, stochastic volatility, regime switching, mixed jump-diffusion processes

Small Growth and Distress Returns: Two Sides of the Same Coin?

2015 World Congress of the Econometric Society, 1st Place 2015 CQAsia Academic Competition, Hong Kong, 2014 SAFE Asset Pricing Workshop, Best Paper on Valuation, 2014 26th Annual Meetings Northern Finance Association, Ottawa, 2014 International Conference on Asia-Pacific Financial Markets
Number of pages: 53 Posted: 21 Nov 2013 Last Revised: 23 Feb 2016
Harjoat Singh Bhamra and Kyung Hwan Shim
Imperial College Business School and University of New South Wales (UNSW)
Downloads 116 (236,243)

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Distress, size, book-to-market, small, growth, glamor, stocks, failure risk, default risk, anomalies, cross section of stock returns, asset pricing, real options, growth options, mixed jump-diffusion process

Small Growth and Distress Returns: Two Sides of the Same Coin?

2015 World Congress of the Econometric Society, 1st Place, 2015 CQAsia Academic Competition, Hong Kong, 2014 SAFE Asset Pricing Workshop, Best Paper on Valuation, 2014 26th Annual Meetings Northern Finance Association, Ottawa, 2014 International Conference on Asia-Pacific Financial Markets
Number of pages: 53 Posted: 17 Jun 2013 Last Revised: 23 Feb 2016
Harjoat Singh Bhamra and Kyung Hwan Shim
Imperial College Business School and University of New South Wales (UNSW)
Downloads 85 (291,881)

Abstract:

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Distress, size, book-to-market, small, growth, glamor, stocks, failure risk, default risk, anomalies, cross section of stock returns, asset pricing, real options, growth options, mixed jump-diffusion process

3.

The Relation between Idiosyncratic Volatility and Returns: A Growth Option Model with Stochastic Volatility and Jumps

Number of pages: 60 Posted: 15 Mar 2012
Kyung Hwan Shim
University of New South Wales (UNSW)
Downloads 121 (227,822)

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Idiosyncratic return volatility, cross section of stock returns, asset pricing, growth options, stochastic volatility, competitive product market industry equilibrium, regime switching, mixed jump-diffusion processes, excess skewness, excess kurtosis

4.

Capital to Labor Growth Ratio and the Cross-Section of Stock Returns

2016 Northern Finance Association Annual Meetings, Mont Tremblant, Quebec, Canada, The 11th Conference on Asia-Pacific Financial Markets (CAFM), Seoul, Korea, The 2014 Jerusalem Finance Conference - In honor of Professor Dan Galai and Professor Itzhak Venezia
Number of pages: 59 Posted: 27 Feb 2013 Last Revised: 28 Nov 2016
Kyung Hwan Shim
University of New South Wales (UNSW)
Downloads 103 (255,664)

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Cross section of stock returns, asset pricing, corporate investments, growth option, production technology, substitutability of labor for physical capital, factors of production, operating risk, stock return and risk, financial constraints, production flexibility

5.

Contraction Options: Implications for the Profitability-Return Relation and Momentum Profits

Number of pages: 36 Posted: 08 Mar 2015 Last Revised: 04 Aug 2015
Kyung Hwan Shim
University of New South Wales (UNSW)
Downloads 98 (264,273)

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Abandonment, shutdown, contraction, growth, real options, Q-theory, investments, operating profitability, momentum, stock returns, asset pricing, CAPM, beta

6.

The Substitutability of Labor: Implications for the Cross-Section of Stock Returns

The 2014 Jerusalem Finance Conference - In honor of Professor Dan Galai and Professor Itzhak Venezia
Number of pages: 64 Posted: 29 Mar 2014 Last Revised: 15 Apr 2016
Kyung Hwan Shim
University of New South Wales (UNSW)
Downloads 77 (306,912)

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Cross-section of stock returns, asset pricing, corporate investments, growth options, production technology, substitutability of labor for physical capital, factors of production, operating risk, stock return and risk, financial constraints, production flexibility

7.

Human Capital and Household Portfolio Choice: The Importance of the Persistence of Labor Income Shocks

Number of pages: 61 Posted: 21 Apr 2015 Last Revised: 27 Nov 2015
Kyung Hwan Shim
University of New South Wales (UNSW)
Downloads 70 (323,803)

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Household portfolio choice, household consumption choice, consumption, savings, human capital, human wealth, labor income, income persistence, permanent income, financial wealth, equity risk, equity investment, stock market

8.

Capital to Labor Growth Ratio and the Cross-Section of Stock Returns

2016 Northern Finance Association Annual Meetings, Mont Tremblant, Quebec, Canada, The 11th Conference on Asia-Pacific Financial Markets (CAFM), Seoul, Korea, 2014 Jerusalem Finance Conference - In honor of Professor Dan Galai and Professor Itzhak Venezia
Number of pages: 59 Posted: 06 Oct 2015 Last Revised: 28 Nov 2016
Kyung Hwan Shim
University of New South Wales (UNSW)
Downloads 47 (391,939)
Citation 2

Abstract:

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Cross-section of stock returns, asset pricing, corporate investments, growth options, production technology, substitutability of labor for physical capital, factors of production, operating risk, stock return and risk, financial constraints, production flexibility