Seung C. Ahn

Arizona State University (ASU) - Economics Department

Associate Professor

Tempe, AZ 85287-3806

United States

SCHOLARLY PAPERS

12

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Top 7,207

in Total Papers Citations

130

CROSSREF CITATIONS

112

Scholarly Papers (12)

Two-Pass Cross-Sectional Regression of Factor Pricing Models: Minimum Distance Approach

Number of pages: 53 Posted: 30 Nov 1999
Seung C. Ahn and Christopher Gadarowski
Arizona State University (ASU) - Economics Department and Rowan University - Accounting & Finance
Downloads 632 (78,518)
Citation 11

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Two-Pass Cross-Sectional Regression of Factor Pricing Models: A Minimum Distance Approach

Number of pages: 48 Posted: 06 Dec 2009 Last Revised: 17 Apr 2011
Arizona State University (ASU) - Economics Department, Rowan University - Accounting & Finance and Wilfrid Laurier University - School of Business & Economics
Downloads 161 (340,427)

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two pass, Fama Macbeth, risk prices, autocorrelation

2.

Beta Matrix and Common Factors in Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Volume 53, Issue 3, 2018, Pages 1417-1440.
Number of pages: 46 Posted: 12 Mar 2010 Last Revised: 11 Feb 2021
Seung C. Ahn, Alex R. Horenstein and Na Wang
Arizona State University (ASU) - Economics Department, University of Miami - School of Business Administration - Department of Economics and Hofstra University - Frank G. Zarb School of Business
Downloads 353 (159,171)
Citation 12

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factor models, beta matrix, rank, risk factors, and asset prices

3.

Exploring Common Factors in the Term Structure of Credit Spreads: The Use of Canonical Correlations

Number of pages: 49 Posted: 08 May 2007 Last Revised: 31 Aug 2012
Arizona State University (ASU) - Economics Department, University of Pennsylvania - Finance Department and Wilfrid Laurier University - School of Business & Economics
Downloads 348 (161,679)
Citation 2

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Factor Analysis, Credit Risk, Common Factors, Canonical Correlations

4.

Large-N and Large-T Properties of Panel Data Estimators and The Hausman Test

Number of pages: 66 Posted: 20 Sep 2001
Seung C. Ahn and Hyungsik Roger Moon
Arizona State University (ASU) - Economics Department and University of Southern California - Department of Economics
Downloads 343 (164,251)
Citation 7

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5.

Small Sample Properties of the Model Specification Test Based on the Hansen-Jagannathan Distance

Number of pages: 37 Posted: 09 Nov 1999
Seung C. Ahn and Christopher Gadarowski
Arizona State University (ASU) - Economics Department and Rowan University - Accounting & Finance
Downloads 254 (224,071)
Citation 12

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6.

Market Betas in Multi-factor Models

Number of pages: 51 Posted: 29 Mar 2017 Last Revised: 30 Dec 2020
Seung C. Ahn and Alex R. Horenstein
Arizona State University (ASU) - Economics Department and University of Miami - School of Business Administration - Department of Economics
Downloads 203 (277,340)

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Market betas, well-diversified portfolios, multi-factor models.

7.

GMM Estimation of the Number of Latent Factors: With Application to International Stock Markets

Journal of Empirical Finance, Vol. 17, No. 4, 2010
Number of pages: 44 Posted: 21 May 2007 Last Revised: 14 Apr 2011
Seung C. Ahn and M. Fabricio Perez
Arizona State University (ASU) - Economics Department and Wilfrid Laurier University - School of Business & Economics
Downloads 180 (308,975)

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Factor Model, Number of Factors, GMM, Panel Data, Asset Pricing, International Asset Pricing

8.

Eigenvalue Ratio Test for the Number of Factors

Econometrica, Vol. 81, No. 3
Number of pages: 26 Posted: 29 Mar 2017
Seung C. Ahn and Alex R. Horenstein
Arizona State University (ASU) - Economics Department and University of Miami - School of Business Administration - Department of Economics
Downloads 147 (366,984)
Citation 42

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Approximate factor models, number of factors, eigenvalues

9.

Forecasting with Partial Least Squares Using Many Predictors

Number of pages: 48 Posted: 19 Oct 2022 Last Revised: 30 Nov 2023
Seung C. Ahn and Juhee Bae
Arizona State University (ASU) - Economics Department and University of Glasgow
Downloads 127 (411,430)
Citation 1

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Partial Least Squares, Factors, Forecasting

10.

Risk Premium Estimation with Multicollinear and Invariant Betas by the Two-Pass Cross-Sectional Regressions

Number of pages: 34 Posted: 19 Mar 2010 Last Revised: 17 Apr 2011
Arizona State University (ASU) - Economics Department, Rowan University - Accounting & Finance and Wilfrid Laurier University - School of Business & Economics
Downloads 98 (496,513)
Citation 4

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Two-Pass, risk prices, betas, beta rank

11.

Model Selection for General Multi-Level Group Factor Models with Global, Regional and Local Factors

Number of pages: 85 Posted: 17 Jul 2023
Seung C. Ahn and Xiangyu Zhang
Arizona State University (ASU) - Economics Department and Arizona State University (ASU) - Department of Economics, W.P. Carey School of Business
Downloads 73 (593,438)

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Multi-level factor models, number of factors, principal components, projection matrix, international stock comovements

12.

Estimation of Panel Data Models with Cross-Sectionally Heteroskedastic Data

Number of pages: 48 Posted: 17 Jul 2023
Seung C. Ahn and Xiangyu Zhang
Arizona State University (ASU) - Economics Department and Arizona State University (ASU) - Department of Economics, W.P. Carey School of Business
Downloads 26 (897,638)

Abstract:

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Panel data, cross-sectional heteroskedasticity, factor residuals, GMM estimation, transformed MLE