Sahn-Wook Huh

State University of New York (SUNY) - Department of Finance

Associate Professor

347 Jacobs Management Center

Buffalo, 14260-4000

United States

https://sites.google.com/site/sahnwookhuh/home

  • State University of New York (SUNY) - Department of Finance

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    • Tel: 716-645-5435
    • Fax: 716-645-3823
SCHOLARLY PAPERS

15

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122

CROSSREF CITATIONS

28

Scholarly Papers (15)

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1.

An Analysis of the Amihud Illiquidity Premium

Number of pages: 63 Posted: 08 Jun 2011 Last Revised: 04 Apr 2012
Michael J. Brennan, Sahn-Wook Huh and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,289 (27,689)
Citation 27

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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
State University of New York (SUNY) - Department of Finance, California State University, Sacramento and University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 1,027 (38,406)
Citation 2

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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
Michael J. Brennan, Sahn-Wook Huh and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 826 (52,001)
Citation 18

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

4.

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, State University of New York (SUNY) - Department of Finance and Florida State University
Downloads 690 (66,003)
Citation 1

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Kalman filter, asset pricing, dynamic factors

5.

The Cross-Section of Expected Trading Activity

Number of pages: 47 Posted: 02 Jul 2004
Tarun Chordia, Sahn-Wook Huh and Avanidhar Subrahmanyam
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 676 (67,741)
Citation 42

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Volume, Market Efficiency, Liquidity

6.

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
Michael J. Brennan, Sahn-Wook Huh and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 620 (75,559)
Citation 12

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

7.

Theory-Based Illiquidity and Asset Pricing

Downloads 613 (76,633)

Theory-Based Illiquidity and Asset Pricing

Number of pages: 59 Posted: 21 Nov 2008
Tarun Chordia, Sahn-Wook Huh and Avanidhar Subrahmanyam
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 613 (75,699)
Citation 30

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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
Tarun Chordia, Sahn-Wook Huh and Avanidhar Subrahmanyam
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

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G12, G14

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
State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 518 (94,551)
Citation 2

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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 State University of New York (SUNY) - Department of Finance
Downloads 400 (128,400)
Citation 1

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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 State University of New York (SUNY) - Department of Finance
Downloads 356 (146,187)
Citation 6

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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
State University of New York (SUNY) - Department of Finance
Downloads 320 (163,927)
Citation 4

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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 State University of New York (SUNY) - Department of Finance
Downloads 274 (192,656)
Citation 2

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

13.

Brand Innovation and Informed Trading

Number of pages: 62 Posted: 16 Oct 2019 Last Revised: 04 Mar 2022
SeungOh Han, SeungOh Han, Po-Hsuan Hsu, Sahn-Wook Huh and Chao-Jhih Liu
Sejong University, National Tsing Hua University - Department of Quantitative Finance, State University of New York (SUNY) - Department of Finance and State University of New York (SUNY) - Buffalo
Downloads 214 (244,998)

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Trademark Registrations; Brand Innovation; Informed Trading; Price Impacts; Posterior Probability of Informed Buying and Selling; Directional Price Impacts

14.

Liquidity Spillovers: Evidence from Two-Step Spinoffs

Number of pages: 59 Posted: 11 Feb 2021 Last Revised: 15 Mar 2022
Yakov Amihud, Sahn-Wook Huh and Avanidhar Subrahmanyam
New York University - Stern School of Business, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 189 (274,220)

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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, SeungOh Han, Sahn-Wook Huh and Jeayoung Park
Sejong University, State University of New York (SUNY) - Department of Finance and State University of New York (SUNY) - Buffalo
Downloads 53 (644,358)

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