Soohun Kim

Georgia Institute of Technology - Scheller College of Business

800 West Peachtree St.

Atlanta, GA 30308

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 17,080

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Top 17,080

in Total Papers Downloads

2,736

CITATIONS
Rank 33,062

SSRN RANKINGS

Top 33,062

in Total Papers Citations

6

Scholarly Papers (11)

1.
Downloads 842 ( 27,017)
Citation 4

Tail Risk in Momentum Strategy Returns

Number of pages: 35 Posted: 05 Jun 2012
Columbia Business School - Finance and Economics, Northwestern University - Kellogg School of Management and Georgia Institute of Technology - Scheller College of Business
Downloads 735 (32,065)
Citation 4

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Tail Risk in Momentum Strategy Returns

NBER Working Paper No. w18169
Number of pages: 69 Posted: 22 Jun 2012
Columbia Business School - Finance and Economics, Northwestern University - Kellogg School of Management and Georgia Institute of Technology - Scheller College of Business
Downloads 107 (248,900)
Citation 4

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2.

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
Georgia Institute of Technology - Scheller College of Business and University of Illinois at Chicago - Department of Finance
Downloads 788 (29,606)
Citation 2

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microstructure, liquidity, high-frequency trading, HFT

3.

Arbitrage Portfolios

Georgia Tech Scheller College of Business Research Paper No. 18-43
Number of pages: 84 Posted: 31 Oct 2018 Last Revised: 17 Apr 2019
Georgia Institute of Technology - Scheller College of Business, Northwestern University and University of Notre Dame - Department of Finance
Downloads 235 (127,062)

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Arbitrage, Alpha, Factor Model, Hedge, Principal Components

4.

Asset Prices in Turbulent Markets with Rare Disasters

Number of pages: 85 Posted: 19 Jan 2014
Soohun Kim
Georgia Institute of Technology - Scheller College of Business
Downloads 149 (192,140)

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

5.

Large Sample Estimators of the Stochastic Discount Factor

Georgia Tech Scheller College of Business Research Paper No. 18-10
Number of pages: 106 Posted: 07 Mar 2018 Last Revised: 07 Feb 2019
Soohun Kim and Robert A. Korajczyk
Georgia Institute of Technology - Scheller College of Business and Northwestern University
Downloads 140 (202,056)

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Asset Pricing, Factor Structure, Stochastic Discount Factor, SDF

6.

News Shocks, Long-Run Risk, and Asset Returns

Number of pages: 50 Posted: 05 Sep 2014 Last Revised: 03 Mar 2017
Soohun Kim and Chang Lee
Georgia Institute of Technology - Scheller College of Business and University of Illinois at Chicago - Department of Finance
Downloads 138 (205,616)

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

7.

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
Georgia Institute of Technology - Scheller College of Business
Downloads 131 (213,158)

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

8.

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

Number of pages: 91 Posted: 01 Oct 2012
Soohun Kim
Georgia Institute of Technology - Scheller College of Business
Downloads 105 (250,813)

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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

9.

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
Georgia Institute of Technology - Finance Area, Georgia Institute of Technology - Scheller College of Business, Georgia Institute of Technology and University of Wyoming, College of Business
Downloads 78 (302,802)

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Firm-level global integration; International diversification; Local stocks

10.

Revealed Heuristics: Evidence from Investment Consultants’ Search Behavior

Georgia Tech Scheller College of Business Research Paper No. 18-44, 14th Annual Mid-Atlantic Research Conference in Finance (MARC)
Number of pages: 68 Posted: 12 Nov 2018 Last Revised: 07 May 2019
Sudheer Chava, Soohun Kim and Daniel Weagley
Georgia Institute of Technology - Scheller College of Business, Georgia Institute of Technology - Scheller College of Business and Georgia Institute of Technology - Scheller College of Business
Downloads 72 (317,051)

Abstract:

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

11.

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
Georgia Institute of Technology - Scheller College of Business
Downloads 58 (354,547)

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asset pricing, factor structure, stochastic discount factor