Soosung Hwang

Sungkyunkwan University - Department of Economics

Professor of Financial Economics

25-2 Sungkyunkwan-ro

Jongno-Gu

110-745 Seoul

  • Sungkyunkwan University - Department of Economics

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

40

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Scholarly Papers (40)

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1.

Underconfidence, Pessimism and the Low-Beta Anomaly

Number of pages: 59 Posted: 11 Feb 2002 Last Revised: 15 Sep 2017
Soosung Hwang and Mark Salmon
Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 1,457 (11,882)

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

2.

The Disappearance of Momentum

European Journal of Finance, Forthcoming
Number of pages: 39 Posted: 05 Mar 2007 Last Revised: 24 Oct 2014
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 1,287 (14,444)

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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 affiliation not provided to SSRN
Downloads 986 (21,611)

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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 affiliation not provided to SSRN
Downloads 696 (35,285)

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Share Prices, Cross-Sectional Returns, Nominal Price Illusion

5.

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 605 (42,565)

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

6.

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 567 (46,366)

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Loss Aversion Utility, Prospect Theory, Asset Allocation

7.

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
affiliation not provided to SSRN and Sungkyunkwan University - Department of Economics
Downloads 533 (50,133)

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Cross-Sectional Returns, Liquidity, Value Premium

8.

Searching the Factor Zoo

IÉSEG Working Paper Series 2018-ACF-03
Number of pages: 51 Posted: 12 Mar 2018 Last Revised: 24 Mar 2019
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 451 (61,834)

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

9.

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

Downloads 381 ( 75,626)

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
University of Cincinnati, 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 381 (74,956)

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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
University of Cincinnati, 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

10.

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 374 (77,271)

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linear factor model, asset pricing, Bayesian, variable selection

11.

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

Downloads 347 ( 84,328)

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
University of Cincinnati and Sungkyunkwan University - Department of Economics
Downloads 315 (93,383)

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Smoothing, Nonsynchronous Appraisal, Long Memory

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

Real Estate Economics, Vol. 35, No. 3, pp. 349-382, Fall 2007
Number of pages: 34 Posted: 24 Aug 2007
Shaun A. Bond and Soosung Hwang
University of Cincinnati and Sungkyunkwan University - Department of Economics
Downloads 32 (460,924)
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12.

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 342 (85,754)

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Volatility, GARCH, Structural Breaks, Persistence

13.

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 328 (89,882)

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Loss Aversion, Bayesian Rule, Relative Optimism, Asset Allocation

14.

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 294 (101,224)

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F Test, Linear Factor Model, Average F Test.

15.

Decomposition of Momentum Return: Which Component Contributes Most?

Number of pages: 41 Posted: 08 May 2008
Sirajum Munira, Yaz Gulnur Muradoglu and Soosung Hwang
City University - Sir John Cass Business School - Faculty of Finance, Queen Mary University of London and Sungkyunkwan University - Department of Economics
Downloads 277 (107,950)

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

16.

Overconfidence, Sentiment and Beta Herding: A Behavioral Explanation of the Low-Beta Anomaly

Number of pages: 55 Posted: 15 Aug 2018
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 275 (108,775)

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

17.

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 258 (116,270)

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Stock Splits, Market Efficiency, Underreaction

18.

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 253 (118,700)

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Value of Information, CAPM, Fama-French Model

19.

Evaluating Unsmoothing Procedures for Appraisal Data

Number of pages: 32 Posted: 16 Aug 2009
Shaun A. Bond, Soosung Hwang and Gianluca Marcato
University of Cincinnati, Sungkyunkwan University - Department of Economics and Henley Business School - University of Reading
Downloads 251 (119,665)

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Smoothing, Nonsynchronous Appraisal, Long Memory

20.

'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 202 (147,844)

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Irrational exuberance, macroeconomic variables, stock price, equilibrium

21.

Performance Measurement with Loss Aversion

Downloads 196 (152,062)

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 168 (174,825)

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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 (481,595)
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Performance measurement, loss-aversion, prospect theory, closed-end-fund puzzle

22.

Excessive Arbitrage Trading by Overconfidence

Number of pages: 67 Posted: 29 Apr 2014 Last Revised: 15 Mar 2015
Min Hwang, Soosung Hwang and Sanha Noh
George Washington University - Department of Finance, Sungkyunkwan University - Department of Economics and Sungkyunkwan University - Department of Economics
Downloads 190 (156,486)

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Overconfidence, Ambiguity aversion, Excessive arbitrage trading, Market efficiency

23.

Is Beta Really Not Priced?

Number of pages: 51 Posted: 05 Mar 2007
Soosung Hwang
Sungkyunkwan University - Department of Economics
Downloads 188 (157,991)

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Beta, Cross-sectional Asset Pricing

24.

Do Smart Beta ETFs Capture Factor Premiums? A Bayesian Perspective

IÉSEG WORKING PAPER SERIES 2018-ACF-04
Number of pages: 41 Posted: 12 Jun 2018 Last Revised: 23 Jan 2019
Alexandre Rubesam and Soosung Hwang
IESEG School of Management and Sungkyunkwan University - Department of Economics
Downloads 186 (159,499)

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

25.

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, The School of Securities and Futures, Sungkyunkwan University - Department of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 168 (174,682)

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

26.

Dynamic Asset Allocation under Disappointment Aversion Preferences

Number of pages: 71 Posted: 22 Oct 2018 Last Revised: 19 Mar 2019
Vasileios Kontosakos, Soosung Hwang, Vasileios Kallinterakis and Athanasios A. Pantelous
Monash University - Department of Econometrics & Business Statistics, Sungkyunkwan University - Department of Economics, University of Liverpool - Management School (ULMS) and Monash University - Department of Econometrics & Business Statistics
Downloads 157 (185,968)

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Disappointment Aversion, Loss Aversion, Dynamic Asset Allocation, Parameter Uncertainty

27.

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 Sungkyunkwan University - Department of Economics
Downloads 141 (202,033)

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Herd behavior, Cross-sectional standard deviation, Network analysis

28.

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 117 (233,503)

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

29.

Can Common Components Eliminate Momentum Returns?

Number of pages: 41 Posted: 08 May 2008
Sirajum Munira, Yaz Gulnur Muradoglu and Soosung Hwang
City University - Sir John Cass Business School - Faculty of Finance, Queen Mary University of London and Sungkyunkwan University - Department of Economics
Downloads 117 (233,503)

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

30.

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, Sungkyunkwan University - Department of Economics and Sungkyunkwan University - Department of Economics
Downloads 100 (260,722)

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

31.

Empirical Evidence of Overconfidence in Cross-Sectional Asset Returns

Number of pages: 53 Posted: 27 May 2016
Soosung Hwang
Sungkyunkwan University - Department of Economics
Downloads 90 (279,063)

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Overconfidence, Contrarian behavior, Response to Signal

32.

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 90 (279,063)

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Smoothing, Time-varying model, Fundamentals

33.

Household Overconfidence in the UK Housing Market

Number of pages: 43 Posted: 27 May 2016
Soosung Hwang, Youngha Cho and Jinho Shin
Sungkyunkwan University - Department of Economics, Oxford Brookes University and Sungkyunkwan University - Department of Economics
Downloads 65 (336,741)

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Overconfidence, Housing Returns, Bayesian Updating, Epstein-Zin Utility

34.

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 62 (344,919)

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

35.

Does Illiquidity Matter in Residential Properties?

Number of pages: 43 Posted: 29 Apr 2014 Last Revised: 14 Jan 2015
Youngha Cho, Soosung Hwang and Jinho Shin
Oxford Brookes University, Sungkyunkwan University - Department of Economics and Sungkyunkwan University - Department of Economics
Downloads 57 (359,488)

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Illiquidity costs, Residential properties, Flight to Quality

36.

Market Stress and Herding

CEPR Discussion Paper No. 4340
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 39 (420,898)
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Herding, heterogenous beliefs, cross-sectional volatility

37.

How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models

Journal of Business Finance & Accounting, Vol. 34, No. 5-6, pp. 1002-1024, June/July 2007
Number of pages: 23 Posted: 11 Jul 2007
Soosung Hwang, Stephen E. Satchell and Pedro L. Valls Pereira
Sungkyunkwan University - Department of Economics, University of Cambridge - Faculty of Economics and Politics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 16 (535,382)
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38.

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

Downloads 1 (638,962)

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

Real Estate Economics, Vol. 40, Issue 4, pp. 637-661, 2012
Number of pages: 25 Posted: 28 Dec 2012
Shaun A. Bond, Soosung Hwang and Gianluca Marcato
University of Cincinnati, Sungkyunkwan University - Department of Economics and Henley Business School - University of Reading
Downloads 1 (670,851)
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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
University of Cincinnati, Sungkyunkwan University - Department of Economics and Henley Business School - University of Reading

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Commercial real estate, smoothing, ARFIMA

39.

The Dynamics of Appraisal Smoothing

Downloads 0 (657,040)

The Dynamics of Appraisal Smoothing

Real Estate Economics, Vol. 42, Issue 2, pp. 497-529, 2014
Number of pages: 33 Posted: 20 May 2014
Youngha Cho, Soosung Hwang and Yong-ki Lee
Oxford Brookes University, Sungkyunkwan University - Department of Economics and Sungkyunkwan University - Department of Economics
Downloads 0
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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

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Smoothing, Time-varying model, Fundamentals

40.

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