Soohun Kim

Georgia Institute of Technology - Scheller College of Business

800 West Peachtree St.

Atlanta, GA 30308

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 16,765

SSRN RANKINGS

Top 16,765

in Total Papers Downloads

2,831

CITATIONS
Rank 48,612

SSRN RANKINGS

Top 48,612

in Total Papers Citations

9

Scholarly Papers (11)

1.
Downloads 852 ( 27,047)
Citation 2

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 740 (32,338)
Citation 1

Abstract:

Loading...

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 112 (244,670)
Citation 1

Abstract:

Loading...

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 800 (29,523)
Citation 3

Abstract:

Loading...

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 264 (114,725)
Citation 3

Abstract:

Loading...

Arbitrage, Alpha, Factor Model, Hedge, Principal Components

4.

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 155 (188,980)

Abstract:

Loading...

Asset Pricing, Factor Structure, Stochastic Discount Factor, SDF

5.

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 152 (192,113)
Citation 1

Abstract:

Loading...

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

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 142 (203,058)

Abstract:

Loading...

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 132 (215,411)

Abstract:

Loading...

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 108 (249,814)

Abstract:

Loading...

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.

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 83 (296,534)

Abstract:

Loading...

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

10.

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 83 (296,534)

Abstract:

Loading...

Firm-level global integration; International diversification; Local stocks

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 60 (354,412)

Abstract:

Loading...

asset pricing, factor structure, stochastic discount factor