Soosung Hwang

Sungkyunkwan University - Department of Economics

Professor of Financial Economics

25-2, Sungkyunkwan-ro

Jongno-gu

Seoul, 03063

http://sites.google.com/view/soosunghwang

  • Sungkyunkwan University - Department of Economics

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    • Tel: +82 (0)2 760 0489
    • Fax: +82 (0)2 744 5717
SCHOLARLY PAPERS

42

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87

Scholarly Papers (42)

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1.

Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly

Number of pages: 62 Posted: 11 Feb 2002 Last Revised: 05 May 2022
Soosung Hwang, Alexandre Rubesam and Mark Salmon
Sungkyunkwan University - Department of Economics, IESEG School of Management and University of Cambridge - Faculty of Economics and Politics
Downloads 1,661 (18,902)
Citation 15

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Beta, Herding, Overconfidence, Low-beta Anomaly

2.

The Disappearance of Momentum

The European Journal of Finance, 21:7, 584-607, DOI: 10.1080/1351847X.2013.865654
Number of pages: 39 Posted: 05 Mar 2007 Last Revised: 13 Dec 2021
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 1,431 (23,707)
Citation 23

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Momentum premium, Arbitrage, High-tech and Telecom Bubble

3.

Too Many Factors! Do We Need Them All?

Number of pages: 45 Posted: 20 Mar 2007
Soosung Hwang and Chensheng Lu
Sungkyunkwan University - Department of Economics and Tudor Capital Europe
Downloads 1,038 (37,862)
Citation 1

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Asset Price Testing, Average F test, Data-Mining, Empirical Factors

4.

Is Share Price Relevant?

Number of pages: 39 Posted: 12 Feb 2009
Soosung Hwang and Chensheng Lu
Sungkyunkwan University - Department of Economics and Tudor Capital Europe
Downloads 831 (51,538)
Citation 6

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Share Prices, Cross-Sectional Returns, Nominal Price Illusion

5.

Bayesian selection of asset pricing factors using individual stocks

A previous version of this paper circulated under the title "Searching the Factor Zoo". A revised version has been published on the Journal of Financial Econometrics (https://doi.org/10.1093/jjfinec/nbaa045)
Number of pages: 48 Posted: 12 Mar 2018 Last Revised: 21 Oct 2021
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 768 (57,294)
Citation 4

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Multi-factor model, Factor zoo, Factor selection, Bayesian variable selection, SeeminglyUnrelated Regressions

6.

Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly

Number of pages: 62 Posted: 15 Aug 2018 Last Revised: 05 May 2022
Soosung Hwang, Alexandre Rubesam and Mark Salmon
Sungkyunkwan University - Department of Economics, IESEG School of Management and University of Cambridge - Faculty of Economics and Politics
Downloads 668 (68,787)
Citation 11

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Beta, Herding, Overconfidence, Sentiment, Low-beta Anomaly

7.

Is Value Really Riskier than Growth? An Answer with Time-Varying Return Reversal

AFA 2007 Chicago Meetings Paper, A revised version is published in Journal of Banking and Finance, Vol. 37, No. 7, 2013
Number of pages: 42 Posted: 17 Mar 2006 Last Revised: 26 Feb 2014
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 664 (69,324)
Citation 1

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Overconfidence, Self-attribution bias, Value anomaly, Return reversals

8.

How Loss Averse are Investors in Financial Markets?

Number of pages: 47 Posted: 22 Apr 2003 Last Revised: 04 May 2010
Soosung Hwang and Stephen E. Satchell
Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 650 (71,261)
Citation 13

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Loss Aversion Utility, Prospect Theory, Asset Allocation

9.

Cross-Sectional Stock Returns in the UK Market: The Role of Liquidity Risk

FORECASTING EXPECTED RETURNS, Butterworth-Heinemann, Forthcoming
Number of pages: 36 Posted: 15 Apr 2007
Chensheng Lu and Soosung Hwang
Tudor Capital Europe and Sungkyunkwan University - Department of Economics
Downloads 643 (72,263)

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Cross-Sectional Returns, Liquidity, Value Premium

10.

The Impact of Optimistic and Pessimistic Preferences on Decision Making

Number of pages: 20 Posted: 06 Aug 2013
Soosung Hwang and Stephen E. Satchell
Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 454 (110,765)

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Loss Aversion, Bayesian Rule, Relative Optimism, Asset Allocation

11.

Fishing with a Licence: An Empirical Search for Asset Pricing Factors

Number of pages: 41 Posted: 09 Nov 2008
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 434 (116,781)
Citation 1

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linear factor model, asset pricing, Bayesian, variable selection

12.

Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market

Downloads 431 (117,783)

Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market

Cass Business School Research Paper
Number of pages: 26 Posted: 20 Jan 2006
Shaun A. Bond, Soosung Hwang, Zhenguo (Len) Lin and Kerry D. Vandell
UQ Business School, Sungkyunkwan University - Department of Economics, Florida International University (FIU) - Hollo School of Real Estate and University of California, Irvine - Paul Merage School of Business
Downloads 431 (116,559)
Citation 7

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liquidity risk, commercial real estate

Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market

Journal of Real Estate Finance and Economics, Vol. 34, No. 4, 2007
Posted: 11 Jan 2007
Shaun A. Bond, Soosung Hwang, Zhenguo (Len) Lin and Kerry D. Vandell
UQ Business School, Sungkyunkwan University - Department of Economics, Florida International University (FIU) - Hollo School of Real Estate and University of California, Irvine - Paul Merage School of Business

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liquidity risk, commercial real estate, time on market, transaction process, UK

13.

Do Smart Beta ETFs Capture Factor Premiums? A Bayesian Perspective

IÉSEG WORKING PAPER SERIES 2018-ACF-04
Number of pages: 35 Posted: 12 Jun 2018 Last Revised: 16 Oct 2019
Alexandre Rubesam and Soosung Hwang
IESEG School of Management and Sungkyunkwan University - Department of Economics
Downloads 422 (120,761)
Citation 1

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Smart Beta, Strategic Beta, Factor Investing, Factor Selection, Bayesian Variable Selection

14.

Long-Term Dynamic Asset Allocation Under Asymmetric Risk Preferences

European Journal of Operational Research, Volume 312, Issue 2, pp. 765-782, 16 January 2024, DOI 10.1016/j.ejor.2023.07.038
Number of pages: 55 Posted: 22 Oct 2018 Last Revised: 25 Oct 2023
Vasileios Kontosakos, Soosung Hwang, Vasileios Kallinterakis and Athanasios A. Pantelous
Group Risk - Allianz SE, Sungkyunkwan University - Department of Economics, University of Liverpool - Management School (ULMS) and Monash University - Department of Econometrics & Business Statistics
Downloads 419 (121,724)
Citation 4

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Decision analysis, Asset Allocation, Asymmetric Risk Preferences, Parameter uncertainty, Simulation Study

15.

The Effects of Structural Breaks in Arch and GARCH Parameters on Persistence of GARCH Models

Cass Business School Research Paper
Number of pages: 13 Posted: 24 Nov 2004
Soosung Hwang and Pedro L. Valls Pereira
Sungkyunkwan University - Department of Economics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 368 (140,963)
Citation 2

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Volatility, GARCH, Structural Breaks, Persistence

16.

Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Indices

EFA 2004 Maastricht Meetings Paper No. 4782, Cass Business School Research Paper
Number of pages: 56 Posted: 10 Jun 2004
Shaun A. Bond and Soosung Hwang
UQ Business School and Sungkyunkwan University - Department of Economics
Downloads 356 (146,187)
Citation 4

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Smoothing, Nonsynchronous Appraisal, Long Memory

17.

Testing Linear Factor Models on Individual Stocks Using the Average F Test

European Journal of Finance, Forthcoming
Number of pages: 41 Posted: 18 Nov 2004 Last Revised: 29 Nov 2013
Soosung Hwang and Stephen E. Satchell
Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 329 (159,144)
Citation 3

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F Test, Linear Factor Model, Average F Test.

18.

Evaluating Unsmoothing Procedures for Appraisal Data

Number of pages: 32 Posted: 16 Aug 2009
Shaun A. Bond, Soosung Hwang and Gianluca Marcato
UQ Business School, Sungkyunkwan University - Department of Economics and Henley Business School - University of Reading
Downloads 308 (170,657)
Citation 1

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Smoothing, Nonsynchronous Appraisal, Long Memory

19.

Decomposition of Momentum Return: Which Component Contributes Most?

Number of pages: 41 Posted: 08 May 2008
Sirajum Munira, Yaz Gulnur Muradoglu, Yaz Gulnur Muradoglu and Soosung Hwang
City University - Sir John Cass Business School - Faculty of Finance, City University London - The Business SchoolQueen Mary University of London and Sungkyunkwan University - Department of Economics
Downloads 302 (174,191)
Citation 1

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Common components, Stock-Specific components, Fama-French factors, Macroeconomic factors

20.

Surprise vs. Anticipated Information Announcements: Are Prices Affected Differently? An Investigation in the Context of Stock Splits

Number of pages: 33 Posted: 17 May 2007
Soosung Hwang, Aneel Keswani and Mark B. Shackleton
Sungkyunkwan University - Department of Economics, Faculty of Finance, Cass Business School, City University, London and Lancaster University - Department of Accounting and Finance
Downloads 300 (175,389)

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Stock Splits, Market Efficiency, Underreaction

21.

In Search of Pairs using Firm Fundamentals: Is Pairs Trading Profitable?

Number of pages: 34 Posted: 14 Nov 2021 Last Revised: 14 Apr 2022
Sungju Hong and Soosung Hwang
Sungkyunkwan University - Department of Economics and Sungkyunkwan University - Department of Economics
Downloads 292 (180,467)
Citation 1

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Elastic Net Regression; Multiple Hypothesis Testing Problem; Fundamental Similarity; Disappearance of Pairs Trading

22.

Valuing Information Using Utility Functions: How Much Should We Pay for Forecasts of Returns?

City University Business School Banking & Finance Working Paper
Number of pages: 37 Posted: 11 May 2001
Soosung Hwang and Stephen E. Satchell
Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 270 (195,480)

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Value of Information, CAPM, Fama-French Model

23.

Loss Aversion around the World: Empirical Evidence from Pension Funds

Journal of Banking and Finance, Volume 88, pp. 52-62, 2018, DOI 10.1016/j.jbankfin.2017.11.007
Number of pages: 48 Posted: 02 Apr 2016 Last Revised: 04 Dec 2017
Yuxin Xie, Soosung Hwang and Athanasios A. Pantelous
Southwestern University of Finance and Economics, School of Finance, Sungkyunkwan University - Department of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 247 (213,534)
Citation 6

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Loss Aversion; Cultural factors; Reference-Dependent Utility; Pension Funds

24.

Excessive Arbitrage Trading by Overconfidence

Number of pages: 67 Posted: 29 Apr 2014 Last Revised: 02 Feb 2020
Min Hwang, Soosung Hwang and Sanha Noh
George Washington University - Department of Finance, Sungkyunkwan University - Department of Economics and Jeonbuk National University
Downloads 243 (216,954)

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Overconfidence, Ambiguity aversion, Excessive arbitrage trading, Market efficiency

25.

Performance Measurement with Loss Aversion

Downloads 237 (222,320)
Citation 5

Performance Measurement with Loss Aversion

Cass Business School Research Paper
Number of pages: 47 Posted: 12 Mar 2005
Gordon Gemmill, Mark Salmon and Soosung Hwang
Warwick Business School, University of Cambridge - Faculty of Economics and Politics and Sungkyunkwan University - Department of Economics
Downloads 209 (249,779)
Citation 2

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Behavioral Finance, Mutual Funds

Performance Measurement with Loss-Aversion

CEPR Discussion Paper No. 5173
Number of pages: 42 Posted: 25 Aug 2005
Gordon Gemmill, Mark Salmon and Soosung Hwang
Warwick Business School, University of Cambridge - Faculty of Economics and Politics and Sungkyunkwan University - Department of Economics
Downloads 28 (838,562)
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Performance measurement, loss-aversion, prospect theory, closed-end-fund puzzle

26.

'Irrational Exuberance' in the Long-Run UK Stock Market

Cass Business School Research Paper
Number of pages: 38 Posted: 09 Nov 2004
Soosung Hwang and Byung Khun Song
Sungkyunkwan University - Department of Economics and Sungkyunkwan University - Department of Economics
Downloads 223 (235,707)
Citation 2

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Irrational exuberance, macroeconomic variables, stock price, equilibrium

27.

Is Beta Really Not Priced?

Number of pages: 51 Posted: 05 Mar 2007
Soosung Hwang
Sungkyunkwan University - Department of Economics
Downloads 218 (240,761)
Citation 1

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Beta, Cross-sectional Asset Pricing

28.

An Analysis of Herding in the Korean Stock Market Using Network Theory

Number of pages: 30 Posted: 27 May 2016
Soosung Hwang, Young-Il Kim and Jinho Shin
Sungkyunkwan University - Department of Economics, Sungkyunkwan University and Kakaobank
Downloads 195 (266,571)
Citation 1

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Herd behavior, Cross-sectional standard deviation, Network analysis

29.

Is Value Really Riskier Than Growth?

A revised version is published in Journal of Banking and Finance, Vol. 37, No. 7, 2013
Number of pages: 59 Posted: 21 Aug 2011 Last Revised: 26 Feb 2014
Alexandre Rubesam and Soosung Hwang
IESEG School of Management and Sungkyunkwan University - Department of Economics
Downloads 178 (289,062)

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Value premium, Regime switching, Risk measures, Biased self-attribution

30.

The Cost of Overconfidence in Public Information

Number of pages: 51 Posted: 27 May 2016 Last Revised: 28 Sep 2021
Soosung Hwang, Youngha Cho and Sanha Noh
Sungkyunkwan University - Department of Economics, Oxford Brookes University and Jeonbuk National University
Downloads 168 (303,808)

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Overconfidence, Factors, Public Signals, Short-term Return Reversals, Overconfidence

31.

Can Common Components Eliminate Momentum Returns?

Number of pages: 41 Posted: 08 May 2008
Sirajum Munira, Yaz Gulnur Muradoglu, Yaz Gulnur Muradoglu and Soosung Hwang
City University - Sir John Cass Business School - Faculty of Finance, City University London - The Business SchoolQueen Mary University of London and Sungkyunkwan University - Department of Economics
Downloads 145 (343,431)

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Momentum return, Common Components, Market States, Fama-French factors, Macroeconomic factors

32.

The Price Impact of Deposit in Residential Lease Contracts: The Collapse of Chonsei System in Korea

Number of pages: 39 Posted: 10 Jan 2015
Soosung Hwang, Sanha Noh and Jinho Shin
Sungkyunkwan University - Department of Economics, Jeonbuk National University and Kakaobank
Downloads 143 (347,274)

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Property pricing model, Deposit to price ratio, Antichresis lease, Chonsei

33.

The Dynamics of Smoothing: What Drives Appraisal Smoothing?

Number of pages: 44 Posted: 02 Sep 2011 Last Revised: 07 Nov 2011
Youngha Cho, Soosung Hwang and Yong-ki Lee
Oxford Brookes University, Sungkyunkwan University - Department of Economics and Sungkyunkwan University - Department of Economics
Downloads 135 (363,188)

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Smoothing, Time-varying model, Fundamentals

34.

네트워크를 통해 분석한 국내 금융기관간 상호연계성 연구- 외환위기와 글로벌금융위기를 중심으로-(Measuring the Systemic Risk in the Korean Financial Institution Using Network Analysis)

Financial Stability Studies, Vol. 20, No. 1, Korea Deposit Insurance Corporation(KDIC), 2019, pp. 51-101.
Number of pages: 54 Posted: 28 Jun 2019
Jeonghun Mun and Soosung Hwang
Sungkyunkwan University and Sungkyunkwan University - Department of Economics
Downloads 105 (437,381)

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시스테믹 리스크, 상호연계성, 네트워크 분석, 구조변화, 위험전이, systemic risk, interconnectedness, network analysis, structural break, contagion

35.

When Do the Discount Sums of Moving Averages Converge to the Normality?

Number of pages: 22 Posted: 04 Sep 2008
Ba M. Chu and Soosung Hwang
Carleton University and Sungkyunkwan University - Department of Economics
Downloads 83 (509,185)

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Absolutely regular mixing, CLT (FCLT), Discount sums, Moving average

36.

Multi-facets of Beta

Number of pages: 52 Posted: 19 Oct 2022 Last Revised: 23 Dec 2022
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 59 (612,568)

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Asymmetric Response Model, Firm Characteristics, Fama-MacBeth procedure, Contemporaneous Risk-Return Relationship.

37.

Market Stress and Herding

Number of pages: 53 Posted: 13 May 2004
Soosung Hwang and Mark Salmon
Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 40 (723,883)
Citation 11
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Herding, heterogenous beliefs, cross-sectional volatility

38.

The Impact of UK Household Overconfidence in Public Information on House Prices

Posted: 27 May 2016 Last Revised: 24 Aug 2021
Soosung Hwang, Youngha Cho and Jinho Shin
Sungkyunkwan University - Department of Economics, Oxford Brookes University and Kakaobank

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Overconfidence; Public Signals; Households; House Prices; Bayesian Updating

39.

Does Illiquidity Matter in Residential Properties?

Posted: 29 Apr 2014 Last Revised: 24 Aug 2021
Youngha Cho, Soosung Hwang and Jinho Shin
Oxford Brookes University, Sungkyunkwan University - Department of Economics and Kakaobank

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Illiquidity costs, Residential properties, Flight to Quality

40.

The Dynamics of Appraisal Smoothing

Real Estate Economics, Forthcoming
Posted: 27 Nov 2012
Youngha Cho, Soosung Hwang and Yong-ki Lee
Oxford Brookes University, Sungkyunkwan University - Department of Economics and Sungkyunkwan University - Department of Economics

Abstract:

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Smoothing, Time-varying model, Fundamentals

41.

The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate

Journal of Real Estate Finance and Economics, Vol. 45, No. 3, 2012
Posted: 19 Nov 2012 Last Revised: 02 Dec 2013
Youngha Cho, Soosung Hwang and Stephen E. Satchell
Oxford Brookes University, Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics

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Large deviation theory, Mortgage loans, Optimal portfolio, Regional allocation

42.

Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns

Real Estate Economics, Forthcoming
Posted: 11 Aug 2011
Shaun A. Bond, Soosung Hwang and Gianluca Marcato
UQ Business School, Sungkyunkwan University - Department of Economics and Henley Business School - University of Reading

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Commercial real estate, smoothing, ARFIMA