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

SCHOLARLY PAPERS

15

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Top 9,163

in Total Papers Downloads

7,266

SSRN CITATIONS
Rank 12,809

SSRN RANKINGS

Top 12,809

in Total Papers Citations

60

CROSSREF CITATIONS

32

Scholarly Papers (15)

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, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,218 (23,944)
Citation 9

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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 894 (37,312)
Citation 2

Abstract:

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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
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 749 (47,464)
Citation 8

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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 670 (54,888)

Abstract:

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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
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 641 (58,090)
Citation 31

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Volume, Market Efficiency, Liquidity

Theory-Based Illiquidity and Asset Pricing

Number of pages: 59 Posted: 21 Nov 2008
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 577 (65,632)
Citation 24

Abstract:

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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
Emory University - Department of Finance, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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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, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 570 (67,457)
Citation 4

Abstract:

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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

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 487 (81,118)
Citation 2

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SEOs, order imbalance, market efficiency

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

International Review of Finance, Vol. 5, No. 1-2, pp. 75-111, March/June 2005
Number of pages: 37 Posted: 25 May 2006
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 26 (668,896)

Abstract:

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9.

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 326 (129,402)
Citation 3

Abstract:

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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

10.

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 311 (135,891)

Abstract:

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

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 299 (141,725)
Citation 1

Abstract:

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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 236 (179,417)
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
State University of New York (SUNY) - BuffaloWenzhou-Kean University, National Tsing Hua University - Department of Quantitative Finance, State University of New York (SUNY) - Department of Finance and National Tsing Hua University - Department of Quantitative Finance
Downloads 137 (289,025)

Abstract:

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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
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 115 (328,806)

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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
State University of New York (SUNY) - BuffaloWenzhou-Kean University, State University of New York (SUNY) - Department of Finance and State University of New York at Buffalo
Downloads 10 (779,791)

Abstract:

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