Jim Kyung-Soo Liew

Johns Hopkins University - Carey Business School

Assistant Professor

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 3,675

SSRN RANKINGS

Top 3,675

in Total Papers Downloads

8,623

CITATIONS
Rank 2,898

SSRN RANKINGS

Top 2,898

in Total Papers Citations

192

Scholarly Papers (15)

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 1,838 (6,176)
Citation 192

Abstract:

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)

Abstract:

2.

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 1,578 (7,737)

Abstract:

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

3.

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 818 (20,353)

Abstract:

Columbia, Financial Engineering, Markets, Investments

4.

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 483 (41,956)

Abstract:

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

5.

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 436 (7,626)

Abstract:

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

6.

Tweet Sentiments and Crowd-Sourced Earnings Estimates as Valuable Sources of Information Around Earnings Releases

Posted: 29 Aug 2015 Last Revised: 17 Nov 2016
Jim Kyung-Soo Liew, Shenghan Guo and Tongli Zhang
Johns Hopkins University - Carey Business School, Johns Hopkins University and Johns Hopkins University

Abstract:

Earnings, Twitter, Sentiment, Risk-Adjusted Excess Returns, Events

7.

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

Abstract:

Twitter, Tweets, sentiment, IPO

8.

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

Abstract:

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

9.

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 42 (324,777)

Abstract:

Inflation, Prediction, Wealth Management

10.

Forecasting ETFs with Machine Learning Algorithms

Number of pages: 26 Posted: 17 Jan 2017 Last Revised: 30 Jan 2017
Jim Kyung-Soo Liew and Boris Mayster
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School (JHU), Students
Downloads 0 (15,008)

Abstract:

Machine Learning, ETFs, Forecasting and Predicting Returns

11.

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 0 (51,157)

Abstract:

Tweet, Sentiment, Market Efficiency, Stock Markets

12.

The 'Sixth' Factor -- Social Media Factor Derived Directly from Tweet Sentiments

Number of pages: 15 Posted: 09 Jan 2016 Last Revised: 21 Feb 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 0 (47,662)

Abstract:

Social Media Factor, tweet sentiment, Fama-French Factors, social media data, tweets

13.

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

Abstract:

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

14.

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

Abstract:

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

15.

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

Abstract:

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