Soohun Kim

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

85 Hoegiro Dongdaemun-Gu

Seoul 02455

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

16

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11,800

SSRN CITATIONS
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SSRN RANKINGS

Top 9,900

in Total Papers Citations

145

CROSSREF CITATIONS

21

Scholarly Papers (16)

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 5,049 (3,395)
Citation 4

Abstract:

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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
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 1,299 (29,579)
Citation 7

Abstract:

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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 1,165 (34,616)
Citation 7

Abstract:

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microstructure, liquidity, high-frequency trading, HFT

4.
Downloads 1,158 (34,904)
Citation 4

Tail Risk in Momentum Strategy Returns

Number of pages: 35 Posted: 05 Jun 2012
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 927 (47,141)
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
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 231 (244,388)
Citation 2

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5.

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
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 574 (89,661)
Citation 1

Abstract:

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arbitrage, characteristic based model, smart beta, factor pricing

6.

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

Number of pages: 60 Posted: 14 Oct 2019 Last Revised: 30 Nov 2023
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 567 (90,993)
Citation 2

Abstract:

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

7.

Large Sample Estimators of the Stochastic Discount Factor

Journal of Financial Econometrics, forthcoming.
Number of pages: 114 Posted: 07 Mar 2018 Last Revised: 15 Apr 2024
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 536 (97,731)

Abstract:

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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 Georgia Institute of Technology - Scheller College of Business
Downloads 292 (195,056)
Citation 4

Abstract:

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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
World Bank, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 233 (243,453)

Abstract:

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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 189 (295,436)
Citation 3

Abstract:

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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
Georgia Institute of Technology - Finance Area, College of Business, Korea Advanced Institute of Science and Technology (KAIST), Georgia Institute of Technology and The University of Texas at San Antonio - Alvarez College of Business
Downloads 162 (338,030)
Citation 2

Abstract:

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Firm-level global integration; International diversification; Local stocks

12.

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 153 (354,713)

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

13.

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

Number of pages: 63 Posted: 12 Jun 2020
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 149 (362,326)

Abstract:

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Analyst, herding, EPS forecast, structural model

14.

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 136 (389,504)

Abstract:

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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

15.

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 114 (445,399)

Abstract:

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asset pricing, factor structure, stochastic discount factor

16.

Testing for Weak Factors in Asset Pricing

Number of pages: 64 Posted: 07 May 2024
College of Business, Korea Advanced Institute of Science and Technology (KAIST), University of Navarra, IESE Business School and Imperial College Business School
Downloads 24 (924,052)

Abstract:

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