Soohun Kim

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

85 Hoegiro Dongdaemun-Gu

Seoul 02455

Korea, Republic of (South Korea)

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

SCHOLARLY PAPERS

17

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13,803

TOTAL CITATIONS
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Top 8,992

in Total Papers Citations

33

Scholarly Papers (17)

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1.

Analyzing Active Fund Managers' Commitment to ESG: Evidence from the United Nations Principles for Responsible Investment

Forthcoming, Management Science
Number of pages: 48 Posted: 29 Apr 2020 Last Revised: 20 Dec 2021
Soohun Kim and Aaron Yoon
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Northwestern University - Department of Accounting Information & Management
Downloads 5,843 (3,041)
Citation 4

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ESG, SRI, UN PRI, Asset Manager, Mutual Funds, Greenwashing

2.

Arbitrage Portfolios

Review of Financial Studies, vol. 34 No 6, 2813-2856
Number of pages: 95 Posted: 31 Oct 2018 Last Revised: 24 May 2021
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Northwestern University - Kellogg School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 1,504 (27,502)
Citation 7

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Arbitrage, Alpha, Factor Model, Hedge, Principal Components

3.

The Impact of High-Frequency Trading on Stock Market Liquidity Measures

Number of pages: 38 Posted: 13 Jun 2013 Last Revised: 26 Oct 2015
Soohun Kim and Dermot Murphy
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and University of Illinois at Chicago
Downloads 1,245 (36,250)
Citation 7

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microstructure, liquidity, high-frequency trading, HFT

4.

Tail Risk in Momentum Strategy Returns

Downloads 1,236 (36,616)
Citation 3

Tail Risk in Momentum Strategy Returns

Number of pages: 35 Posted: 05 Jun 2012
Kent D. Daniel, Ravi Jagannathan and Soohun Kim
Columbia University - Columbia Business School, Finance, Northwestern University - Kellogg School of Management and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 980 (50,360)
Citation 1

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Tail Risk in Momentum Strategy Returns

NBER Working Paper No. w18169
Number of pages: 69 Posted: 22 Jun 2012 Last Revised: 23 Feb 2023
Kent D. Daniel, Ravi Jagannathan and Soohun Kim
Columbia University - Columbia Business School, Finance, Northwestern University - Kellogg School of Management and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 256 (256,139)
Citation 2

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5.

Capital Allocation and the Market for Mutual Funds: Inspecting the Mechanism

Number of pages: 60 Posted: 14 Oct 2019 Last Revised: 30 Nov 2023
Jules H. van Binsbergen, Jeong Ho (John) Kim and Soohun Kim
University of Pennsylvania - The Wharton School, Florida State University - Department of Finance and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 713 (78,694)
Citation 2

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Capital Allocation, Mutual Funds, Returns to Scale, Flow–Performance Relation, Learning

6.

Characteristic-Based Returns: Alpha or Smart Beta?

Journal of Investment Management, 20 (First Quarter 2022):70-89., KAIST College of Business Working Paper Series
Number of pages: 32 Posted: 24 Jul 2021 Last Revised: 20 Jan 2022
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Northwestern University - Kellogg School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 661 (86,502)
Citation 1

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arbitrage, characteristic based model, smart beta, factor pricing

7.

Large Sample Estimators of the Stochastic Discount Factor

Journal of Financial Econometrics, (2024) 22:1672-1713., Journal of Financial Econometrics, volume 22, issue 5, 2024[10.1093/jjfinec/nbae012]
Number of pages: 114 Posted: 07 Mar 2018 Last Revised: 04 Feb 2025
Soohun Kim and Robert A. Korajczyk
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Northwestern University - Kellogg School of Management
Downloads 659 (86,844)

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Asset Pricing, Factor Structure, Stochastic Discount Factor, SDF, Pricing Kernel

8.

Revealed Heuristics: Evidence from Investment Consultants’ Search Behavior

Review of Asset Pricing Studies, forthcoming, Georgia Tech Scheller College of Business Research Paper No. 18-44, 14th Annual Mid-Atlantic Research Conference in Finance (MARC)
Number of pages: 71 Posted: 12 Nov 2018 Last Revised: 15 Dec 2021
Sudheer Chava, Soohun Kim and Daniel Weagley
Georgia Institute of Technology - Scheller College of Business, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and University of Tennessee, Knoxville
Downloads 343 (189,474)
Citation 4

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cognitive reference points, heuristics, consider-then-choose, investment consultants, mutual funds, investor search, fund flows

9.

Disruptive Technology, Long-Run Risk, and Asset Prices

Number of pages: 68 Posted: 05 Sep 2014 Last Revised: 02 Jan 2024
Sangheum Cho, Soohun Kim and Chang Lee
Bank of Korea, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 265 (248,952)

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news shock, long-run risk, stock returns, technology shock, consumption based asset pricing model

10.

Asset Prices in Turbulent Markets with Rare Disasters

Number of pages: 85 Posted: 19 Jan 2014
Soohun Kim
College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 200 (327,357)
Citation 3

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Term Structure of Equity, Markov-Switching Multifractal, Option Pricing

11.

Global Diversification with Local Stocks: A Road Less Traveled

Georgia Tech Scheller College of Business Research Paper No. 17-26
Number of pages: 60 Posted: 14 Jul 2017
Cheol S. Eun, Soohun Kim, Fengrong Wei and Tim Zhang
Georgia Institute of Technology - Finance Area, College of Business, Korea Advanced Institute of Science and Technology (KAIST), Georgia Institute of Technology and University of Texas at San Antonio - Alvarez College of Business
Downloads 190 (343,251)
Citation 2

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Firm-level global integration; International diversification; Local stocks

12.

Testing for Weak Factors in Asset Pricing

IESE Business School Working Paper No. 4819759
Number of pages: 64 Posted: 07 May 2024
Soohun Kim, Valentina Raponi and Paolo Zaffaroni
College of Business, Korea Advanced Institute of Science and Technology (KAIST), University of Navarra, IESE Business School and Imperial College Business School
Downloads 185 (351,792)

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Weak Factors, Inference, Two-Pass Methodology, Misspecification, Cross-Sectional Asset Pricing, Conditional Asset Pricing

13.

A Structural Model of Analyst Forecasts: Applications to Forecast Informativeness and Dispersion

Number of pages: 63 Posted: 12 Jun 2020
Jonathan Clarke, Soohun Kim, Kyuseok Lee and Kyoungwon Seo
Georgia Institute of Technology - Scheller College of Business, College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Seoul National University
Downloads 170 (379,334)

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Analyst, herding, EPS forecast, structural model

14.

Modeling Dynamic Term Structure of Equity Premia with Regime Switching Economy

Number of pages: 66 Posted: 14 May 2012 Last Revised: 26 Oct 2015
Soohun Kim
College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 163 (393,375)

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Regime Switching, Consumption Based Asset Pricing Model, Term Structure, Equity Yield, Equity Premium

15.

Market vs Social norms: Evidence from ESG fund flows

Number of pages: 52 Posted: 24 Jul 2024 Last Revised: 04 Dec 2024
Soohun Kim, S. Katie Moon and Jiyeon Seo
College of Business, Korea Advanced Institute of Science and Technology (KAIST), University of Colorado at Boulder - Leeds School of Business and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 153 (415,117)

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textual analysis, market norms, social norms, ESG funds, fund flows

16.

Asset Prices in an Economy Where Volatility Comes with the Intensity of Rare Disaster

Number of pages: 91 Posted: 01 Oct 2012
Soohun Kim
College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 141 (443,598)

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Multifractal Volatility, Rare Disaster, Regime Switching, Consumption Based Asset Pricing Model, Term Structure, Equity Yield, Equity Premium, Excessive Volatility, Return Predictability, Variance Risk Premium, Volatility Surface

17.

Properties of the Pukthuanthong-Roll Stochastic Discount Factor

Georgia Tech Scheller College of Business Research Paper No. 17-14
Number of pages: 17 Posted: 29 Mar 2017
Soohun Kim
College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 132 (467,875)

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asset pricing, factor structure, stochastic discount factor