Jim Kyung-Soo Liew

Johns Hopkins University - Carey Business School

Assistant Professor

100 International Drive

Baltimore, MD 21202

United States

  • Johns Hopkins University - Carey Business School

SCHOLARLY PAPERS

20

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18,614

SSRN CITATIONS
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SSRN RANKINGS

Top 22,272

in Total Papers Citations

47

CROSSREF CITATIONS

12

Scholarly Papers (20)

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1.

This Time Is Different, but It Will End the Same Way: Unrecognized Secular Changes in the Bond Market since the 2008 Crisis That May Precipitate the Next Crisis

Number of pages: 50 Posted: 17 May 2019
Daniel Zwirn, Daniel Zwirn, Jim Kyung-Soo Liew and Ahmad Ajakh
Brookings InstitutionArena Investors, LP, Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 3,641 (6,158)
Citation 2

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US bond market, institutional investors, credit markets, fixed-income, OTC trading, secular changes, over-regulations, auto loans, CLOs

2.

Custom v. Standardized Risk Models

Risks 3(2) (2015) 112-138
Number of pages: 30 Posted: 09 Sep 2014 Last Revised: 21 May 2015
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Downloads 2,659 (10,146)
Citation 4

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Risk model, multi-factor, risk factor, short horizon, quant trading, style, industry, specific risk, factor risk, alpha, portfolio optimization, regression

3.

Can Book-to-Market, Size, and Momentum Be Risk Factors that Predict Economic Growth?

Downloads 2,200 (13,723)
Citation 52

Can Book-to-Market, Size, and Momentum Be Risk Factors that Predict Economic Growth?

Number of pages: 46 Posted: 18 Apr 1999
Jim Kyung-Soo Liew and Maria Vassalou
Johns Hopkins University - Carey Business School and Centre for Economic Policy Research (CEPR)
Downloads 2,200 (13,473)
Citation 52

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Can Book-to-Market, Size, and Momentum Be Risk Factors that Predict Economic Growth?

Journal of Financial Economics
Posted: 03 Apr 2000
Jim Kyung-Soo Liew and Maria Vassalou
Johns Hopkins University - Carey Business School and Centre for Economic Policy Research (CEPR)

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4.

The Case for Bitcoin for Institutional Investors: Bubble Investing or Fundamentally Sound?

Number of pages: 17 Posted: 11 Dec 2017
Jim Kyung-Soo Liew and Levar Hewlett
Johns Hopkins University - Carey Business School and Maryland State Retirement and Pension System
Downloads 2,100 (14,746)

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bitcoin, asset allocation, portfolio optimization, cryptocurrencies

5.

Hedge Fund Investing: Some Quantitative Notes

Number of pages: 32 Posted: 14 Mar 2005
Craig W. French and Jim Kyung-Soo Liew
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads 1,799 (18,853)

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hedge fund, factor model, serial correlation, portfolio construction, asset allocation, skew

6.

Coronavirus: Case for Digital Money?

World Economics 21(1) (2020) 177-190, Johns Hopkins Carey Business School Research Paper No. 20-08
Number of pages: 12 Posted: 07 Aug 2020 Last Revised: 20 Aug 2020
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Downloads 1,678 (21,008)
Citation 7

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coronavirus, COVID-19, SARS-CoV-2, digital money, monetary system, cash, digital wallet, dollar, U.S., China, currency, cryptocurrency, cashless society, touchless technology, payment, policy, regulation, government, mobile device, transaction, data protection, exorbitant privilege, crisis, debt

7.

CryptoRuble: From Russia with Love

Risk, January 2018, pp. 53-54; World Economics 19(4) (2018) 165-187
Number of pages: 20 Posted: 26 Oct 2017 Last Revised: 26 Jan 2019
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Downloads 1,540 (23,966)
Citation 6

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Cryptocurrency, Government, Bitcoin, Etherium, Blockchain, GDP, Universal, Numeraire, Supply, Demand, World Currency, Algorithmic, CryptoRuble, Russia, Populace, Economy, Finance, Monetary System, Stakeholder, Central Bank, Internet Commerce, Transaction Cost, Control, Information, Decentralized

8.

Introduction to Financial Engineering: Markets and Investments

Number of pages: 106 Posted: 31 Mar 2008
Craig W. French and Jim Kyung-Soo Liew
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads 1,006 (44,470)

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Columbia, Financial Engineering, Markets, Investments

9.

Do Tweet Sentiments Still Predict the Stock Market?

Number of pages: 16 Posted: 22 Aug 2016
Jim Kyung-Soo Liew and Tamás Budavári
Johns Hopkins University - Carey Business School and Johns Hopkins University - Department of Applied Mathematics and Statistics
Downloads 954 (47,880)
Citation 6

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Tweet, Sentiment, Market Efficiency, Stock Markets

10.

Neutralizing Betas without Neutralizing Alphas in Funds of Hedge Funds

Number of pages: 32 Posted: 04 Apr 2008
Craig W. French and Jim Kyung-Soo Liew
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads 588 (90,451)

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hedge fund, factor model, serial correlation, portfolio construction, asset allocation, skew

11.

Extracting Fama-French Factors in India, Premature?

Number of pages: 30 Posted: 22 Nov 2017 Last Revised: 02 Jan 2018
Jim Kyung-Soo Liew and Ravpritpal (Ravi) Kohli
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 183 (316,062)

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Fama-French, Smart Beta, Capital Markets, Indian Equities, NSE, Emerging Markets, BSE, Bid/Ask Spread, Nifty 500

12.

Cross-sectional Examination of the Corporate Bond Market Performance - The Rise of the Momentum and Contrarian Unidentified Factor Mimicking Corporate Bond Portfolios!

Johns Hopkins Carey Business School Research Paper No. 20-15
Number of pages: 19 Posted: 13 Oct 2020 Last Revised: 18 Nov 2020
Himanshu Verma, Ahmad Ajakh and Jim Kyung-Soo Liew
Johns Hopkins University - Department of Economics, Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 167 (342,757)

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Corporate Bond, Momentum, Short-term Reversal

13.

Predicting Inflation: Portfolio Erosion or Collapse?

Number of pages: 19 Posted: 04 Oct 2012 Last Revised: 07 Nov 2012
George Crawford, Jim Kyung-Soo Liew and Andrew Marks
The Investment Research Foundation, Johns Hopkins University - Carey Business School and The Investment Research Foundation
Downloads 99 (512,739)

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Inflation, Prediction, Wealth Management

14.

Pairs Trading Strategy with Geolocation Data: The Battle Between Under Armour and Nike

Posted: 19 Aug 2019
Jim Kyung-Soo Liew, Tamás Budavári, Zixiao Kang, Fengxu Li, Xuzhi Wang and Brandon Fremin
Johns Hopkins University - Carey Business School, Johns Hopkins University - Department of Applied Mathematics and Statistics, Johns Hopkins University, Johns Hopkins University - Carey Business School, Johns Hopkins University and Johns Hopkins University

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pairs trading, geolocation data, machine learning, tweet sentiments, alternative data, artificial intelligence, intraday trading

15.

Forecasting ETFs with Machine Learning Algorithms

Posted: 17 Jan 2017 Last Revised: 16 Sep 2018
Jim Kyung-Soo Liew and Boris Mayster
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School (JHU), Students

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Machine Learning, ETFs, Forecasting and Predicting Returns

16.

Twitter Sentiment and IPO Performance: A Cross-Sectional Examination

Journalof Portfolio Management, Vol. 42, No. 4, 2016
Posted: 20 Feb 2015 Last Revised: 07 Aug 2016
Jim Kyung-Soo Liew and Garrett Zhengyuan Wang
Johns Hopkins University - Carey Business School and The Johns Hopkins University

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Twitter, Tweets, sentiment, IPO

17.

iGDP?

The Journal of Portfolio Management 41(3) (2015) 4-6, Invited Editorial
Posted: 26 Dec 2014 Last Revised: 04 Jun 2015
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School

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GDP, universal numeraire, FX rates, purchasing power parity, cryptocurrency, supply and demand, universal world currency

18.

Is It Possible to OD on Alpha?

The Journal of Alternative Investments 18(2) (2015) 39-49
Posted: 03 Apr 2014 Last Revised: 13 Nov 2015
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School

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hedge fund, alpha stream, crossing trades, transaction costs, portfolio turnover, correlation structure, large N limit

19.

Commodities as Inflation Protection

Posted: 09 May 2013
Andrew Marks, George Crawford and Jim Kyung-Soo Liew
The Investment Research Foundation, The Investment Research Foundation and Johns Hopkins University - Carey Business School

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inflation, gold, commodities, hedging, volatility, spot prices, energy, metals, silver, CPI

20.

Quantitative Topics in Hedge Fund Investing

Journal of Portfolio Management, Vol. 31, No. 4, pp. 21-32, Summer 2005
Posted: 15 Sep 2005
Craig W. French and Jim Kyung-Soo Liew
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School

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hedge fund, factor model, serial correlation, portfolio construction, asset allocation, skew

Other Papers (4)

Total Downloads: 301
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1.

Boldly Go, Blockchain!

Number of pages: 7 Posted: 05 Dec 2018
Jose Arrieta and Jim Kyung-Soo Liew
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 129

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Blockchain, AI, BTC, Pele Multiplier, Micro-Services, Machine Learning

2.

Forecasting ETFs With Machine Learning Algorithms (Presentation Slides)

4th Industrial-Academic Workshop on Optimization and Artificial Intelligence in Finance (Nov-2018) at the Fields Institute
Number of pages: 27 Posted: 10 Dec 2018
Jim Kyung-Soo Liew
Johns Hopkins University - Carey Business School
Downloads 65

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ETF, Machine Learning, AI

3.

Is Geo-Location Information Helpful in Trading the Spread Between Under Armour and Nike? (Presentation Slides)

IDIES Annual Symposium Oct 2018
Number of pages: 15 Posted: 10 Dec 2018
Jim Kyung-Soo Liew, Tamás Budavári, Xuzhi Wang and Shihao Ma
Johns Hopkins University - Carey Business School, Johns Hopkins University - Department of Applied Mathematics and Statistics, Johns Hopkins University and Johns Hopkins University
Downloads 63

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Pairs, Trading, Geolocation, Machine Learning, AI

4.

The Case for Bitcoin for Institutional Investors: Bubble Investing or Fundamentally Sound? (Presentation Slides)

Number of pages: 16 Posted: 10 Dec 2018
Jim Kyung-Soo Liew and Levar Hewlett
Johns Hopkins University - Carey Business School and Maryland State Retirement and Pension System
Downloads 44

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