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

14

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4,318

SSRN CITATIONS
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Top 37,223

in Total Papers Citations

3

CROSSREF CITATIONS

15

Scholarly Papers (14)

1.

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

Number of pages: 47 Posted: 29 Apr 2020 Last Revised: 18 May 2020
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 971 (24,898)

Abstract:

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

2.
Downloads 901 ( 27,705)
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 College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 776 (33,652)
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
Columbia Business School - Finance and Economics, Northwestern University - Kellogg School of Management and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 125 (245,978)
Citation 1

Abstract:

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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 - Department of Finance
Downloads 842 (30,524)
Citation 5

Abstract:

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microstructure, liquidity, high-frequency trading, HFT

4.

Arbitrage Portfolios

Review of Financial Studies, Forthcoming
Number of pages: 96 Posted: 31 Oct 2018 Last Revised: 18 May 2020
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Northwestern University and Washington University in St. Louis - John M. Olin Business School
Downloads 451 (68,967)
Citation 3

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Arbitrage, Alpha, Factor Model, Hedge, Principal Components

5.

Large Sample Estimators of the Stochastic Discount Factor

Georgia Tech Scheller College of Business Research Paper No. 18-10
Number of pages: 102 Posted: 07 Mar 2018 Last Revised: 17 Apr 2020
Soohun Kim and Robert A. Korajczyk
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Northwestern University
Downloads 191 (172,975)

Abstract:

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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
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 158 (203,132)

Abstract:

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

7.

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 157 (204,232)
Citation 3

Abstract:

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

8.

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 136 (229,511)

Abstract:

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

9.

Revealed Heuristics: Evidence from Investment Consultants’ Search Behavior

Georgia Tech Scheller College of Business Research Paper No. 18-44
Number of pages: 70 Posted: 12 Nov 2018 Last Revised: 16 Apr 2020
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 122 (249,484)
Citation 2

Abstract:

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

10.

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 115 (260,557)

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

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 University of Wyoming, College of Business
Downloads 92 (302,939)
Citation 1

Abstract:

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Firm-level global integration; International diversification; Local stocks

12.

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

Georgia Tech Scheller College of Business Research Paper No. 3462749
Number of pages: 50 Posted: 14 Oct 2019 Last Revised: 02 Jun 2020
University of Pennsylvania - The Wharton School, Emory University - Department of Economics and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 83 (322,924)
Citation 1

Abstract:

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Capital Allocation, Mutual Funds, Returns to Scale, Fund Flows

13.

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 68 (361,669)

Abstract:

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asset pricing, factor structure, stochastic discount factor

14.

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 31 (499,741)

Abstract:

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Analyst, herding, EPS forecast, structural model