Sahn-Wook Huh

The State University of New York (SUNY) at Buffalo - School of Management

134 Jacobs Hl

Buffalo, NY 14260

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 10,998

SSRN RANKINGS

Top 10,998

in Total Papers Downloads

9,130

TOTAL CITATIONS
Rank 10,546

SSRN RANKINGS

Top 10,546

in Total Papers Citations

166

Scholarly Papers (16)

1.

An Analysis of the Amihud Illiquidity Premium

Number of pages: 63 Posted: 08 Jun 2011 Last Revised: 04 Apr 2012
University of California, Los Angeles (UCLA) - Finance Area, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,429 (29,369)
Citation 28

Abstract:

Loading...

2.

Options Market Makers' Hedging and Informed Trading: Theory and Evidence

Number of pages: 56 Posted: 05 Aug 2012 Last Revised: 07 Aug 2014
Sahn-Wook Huh, Hao Lin and Antonio S. Mello
The State University of New York (SUNY) at Buffalo - School of Management, California State University, Sacramento and University of Wisconsin-Madison - Department of Finance, Investment and Banking
Downloads 1,129 (41,505)
Citation 2

Abstract:

Loading...

Options Market Making, Hedging, Informed Trading, Information Asymmetry, Adverse Selection, Bid-Ask Spreads

3.

High-Frequency Measures of Informed Trading and Corporate Announcements

Review of Financial Studies, Forthcoming, Institute of Global Finance Working Paper No. 2
Number of pages: 73 Posted: 15 Mar 2015 Last Revised: 25 Dec 2017
University of California, Los Angeles (UCLA) - Finance Area, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 907 (56,371)
Citation 26

Abstract:

Loading...

High-Frequency Measures of Information Asymmetry; Daily Conditional Probability of Informed Trading; Good- and Bad-News Components; Earnings Surprises; CAR; SUE

4.

The Cross-Section of Expected Trading Activity

Number of pages: 47 Posted: 02 Jul 2004
Emory University - Department of Finance, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 732 (75,186)
Citation 45

Abstract:

Loading...

Volume, Market Efficiency, Liquidity

5.

Dynamic Factors and Asset Pricing

Number of pages: 46 Posted: 11 Sep 2007 Last Revised: 04 Oct 2008
Zhongzhi Lawrence He, Sahn-Wook Huh and Bong-Soo Lee
Brock University, Goodman School of Business, The State University of New York (SUNY) at Buffalo - School of Management and Florida State University
Downloads 720 (76,793)
Citation 1

Abstract:

Loading...

Kalman filter, asset pricing, dynamic factors

6.
Downloads 674 (83,529)
Citation 34

Theory-Based Illiquidity and Asset Pricing

Number of pages: 59 Posted: 21 Nov 2008
Emory University - Department of Finance, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 674 (82,360)
Citation 34

Abstract:

Loading...

illiquidity, Kyle lambda, theory-based illiquidity, asset pricing

Theory-Based Illiquidity and Asset Pricing

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3629-3668, 2009
Posted: 08 Sep 2009
Emory University - Department of Finance, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Loading...

G12, G14

7.

Asymmetric Effects of Informed Trading on the Cost of Equity Capital

Management Science, Forthcoming
Number of pages: 59 Posted: 12 Jan 2013 Last Revised: 12 May 2015
University of California, Los Angeles (UCLA) - Finance Area, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 667 (84,668)
Citation 13

Abstract:

Loading...

Information Asymmetry; Decomposition of PIN; Good-News PIN; Bad-News PIN; Earnings Announcements; Earnings Surprises; CAR; SUE; Cost of Equity Capital

8.

Order Flow Patterns Around Seasoned Equity Offerings and Their Implications for Stock Price Movements

Number of pages: 52 Posted: 04 Jan 2005
Sahn-Wook Huh and Avanidhar Subrahmanyam
The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 545 (109,650)
Citation 2

Abstract:

Loading...

SEOs, order imbalance, market efficiency

9.

Competitors' Innovation and Informed Trading: Evidence from Weekly Patent Announcements

Number of pages: 57 Posted: 08 Mar 2021 Last Revised: 11 Apr 2022
Zhenyu Gao, Po-Hsuan Hsu and Sahn-Wook Huh
The Chinese University of Hong Kong (CUHK) - CUHK Business School, National Tsing Hua University - Department of Quantitative Finance and The State University of New York (SUNY) at Buffalo - School of Management
Downloads 507 (119,611)
Citation 1

Abstract:

Loading...

Information Asymmetry; Informed Trading; Conditional Probability of Informed Trading; Corporate Innovation; Patenting Activities; Product Similarity Scores; Technology Competition; Relative Disadvantage

10.

The Noninformation Cost of Trading and Its Relative Importance in Asset Pricing

Review of Asset Pricing Studies, Forthcoming
Number of pages: 59 Posted: 02 Aug 2015 Last Revised: 11 Feb 2016
Kee H. Chung and Sahn-Wook Huh
State University of New York at Buffalo - School of Management and The State University of New York (SUNY) at Buffalo - School of Management
Downloads 393 (161,787)
Citation 8

Abstract:

Loading...

Order Flows, Lee-Ready Method, Holden-Jacobsen Algorithm, Trading Costs, Order-Processing Cost, Inventory-Holding Cost, Non-Information Cost, Information Asymmetry, Adverse-Section Cost, Asset Pricing, Equilibrium Returns

11.

Price Impact and Asset Pricing

Number of pages: 58 Posted: 11 Feb 2013
Sahn-Wook Huh
The State University of New York (SUNY) at Buffalo - School of Management
Downloads 346 (185,797)
Citation 4

Abstract:

Loading...

Price-Impact Parameters, Order Flows, High-Frequency-Based Measures, Illiquidity, Adverse-Selection, Asset Pricing

12.

Distance-Based Metrics: A Bayesian Solution to the Power and Extreme-Error Problems in Asset-Pricing Tests

Swiss Finance Institute Research Paper No. 18-78
Number of pages: 56 Posted: 11 Dec 2018 Last Revised: 09 Jan 2019
Amit Goyal, Zhongzhi Lawrence He and Sahn-Wook Huh
University of Lausanne, Brock University, Goodman School of Business and The State University of New York (SUNY) at Buffalo - School of Management
Downloads 311 (208,372)
Citation 2

Abstract:

Loading...

Asset-Pricing Tests, Power Problem, Extreme-Error Problem, Distance-Based Metrics, Optimal Transport Theory, Bayesian Interpretations, Model Comparisons and Rankings

13.

Brand Innovation and Trading Activities in Financial Markets

Number of pages: 66 Posted: 16 Oct 2019 Last Revised: 13 Sep 2024
SeungOh Han, Po-Hsuan Hsu and Sahn-Wook Huh
Sejong University, National Tsing Hua University - Department of Quantitative Finance and The State University of New York (SUNY) at Buffalo - School of Management
Downloads 277 (235,412)

Abstract:

Loading...

14.

Liquidity Spillovers: Evidence from Two-Step Spinoffs

Number of pages: 59 Posted: 11 Feb 2021 Last Revised: 15 Mar 2022
New York University - Stern School of Business, The State University of New York (SUNY) at Buffalo - School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 271 (240,748)

Abstract:

Loading...

liquidity, asset pricing, spinoffs

15.

Detecting Jumps amidst Prevalent Zero Returns: Evidence from the U.S. Treasury Securities

Number of pages: 62 Posted: 12 Nov 2018 Last Revised: 31 Aug 2021
SeungOh Han, Sahn-Wook Huh and Jeayoung Park
Sejong University, The State University of New York (SUNY) at Buffalo - School of Management and The State University of New York- SUNY, Korea
Downloads 119 (501,276)

Abstract:

Loading...

U.S. Treasury Notes; Proportions of Zero Returns; Trade Execution; Monte Carlo Simulations; Discrete Price Grids; Combined Jump-Identification Methods

16.

ESG Reputational Risk and Debt Risk Premia: Evidence from the Secondary Market for U.S. Corporate Bonds *

Number of pages: 55 Posted: 26 Aug 2024
Sahn-Wook Huh, Chunchi Wu and Jeayoung Park
The State University of New York (SUNY) at Buffalo - School of Management, The State University of New York (SUNY) at Buffalo - School of Management and The State University of New York- SUNY, Korea
Downloads 103 (558,338)

Abstract:

Loading...

JEL Classification: G12, G14 ESG Reputational Risk, U.S. Corporate Bonds, Secondary Market, Debt Risk Premium, Yield Spreads, Political Affiliations, Paris Agreement, Green Bonds and Greenium, Default Risk JEL Classification: G12, G14 ESG Reputational Risk, U.S. Corporate Bonds, Secondary Market, Debt Risk Premium, Yield Spreads, Political Affiliations, Paris Agreement, Green Bonds and Greenium, Default Risk