Sahn-Wook Huh

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

Associate Professor

347 Jacobs Management Center

Buffalo, 14260-4000

United States

http://www.acsu.buffalo.edu/~swhuh/

SCHOLARLY PAPERS

11

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CITATIONS
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87

Scholarly Papers (11)

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 803 (18,714)
Citation 5

Abstract:

2.

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 550 (34,451)

Abstract:

Kalman filter, asset pricing, dynamic factors

3.

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 535 (32,077)

Abstract:

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

4.

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 533 (36,902)
Citation 54

Abstract:

Volume, Market Efficiency, Liquidity

5.
Downloads 503 ( 42,977)
Citation 23

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 503 (42,438)
Citation 23

Abstract:

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:

G12, G14

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 457 (47,968)
Citation 5

Abstract:

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 25 (416,770)
Citation 5
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Abstract:

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 306 (53,003)

Abstract:

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

8.

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 183 (110,182)

Abstract:

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

9.

High-Frequency Measures of Informed Trading and Corporate Announcements

Institute of Global Finance Working Paper No. 2
Number of pages: 69 Posted: 15 Mar 2015 Last Revised: 27 Sep 2016
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 172 (53,003)

Abstract:

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

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 80 (118,096)

Abstract:

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.

Intellectual Property News and Informed Trading: Evidence from Patenting Activities

Number of pages: 63 Posted: 10 Dec 2016
Po-Hsuan Hsu and Sahn-Wook Huh
University of Hong Kong and State University of New York (SUNY) - Department of Finance
Downloads 0 (324,630)

Abstract:

Information Asymmetry; Informed Trading; Price Impact; Order Imbalance; Conditional Probability of Informed Trading; Corporate Innovation; Patenting Activities; Product Similarity Scores; Cross-Firm Effects in Rival Firms