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

14

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Top 7,337

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6,310

SSRN CITATIONS
Rank 12,675

SSRN RANKINGS

Top 12,675

in Total Papers Citations

45

CROSSREF CITATIONS

30

Scholarly Papers (14)

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 1,107 (19,399)
Citation 5

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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 722 (35,718)
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 668 (39,702)
Citation 7

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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 652 (40,950)

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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 613 (44,473)
Citation 25

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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 555 (49,913)
Citation 21

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 510 (56,314)
Citation 3

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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 480 (60,068)
Citation 1

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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 (520,580)
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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 302 (103,996)
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.

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 287 (109,926)

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

11.

Technology Competition and Informed Trading: Evidence from Weekly Patent Announcements

Number of pages: 57 Posted: 10 Dec 2016 Last Revised: 31 Jan 2019
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 176 (176,971)

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

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 128 (230,297)
Citation 1

Abstract:

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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: 57 Posted: 16 Oct 2019
Seung-Oh Han, Po-Hsuan Hsu and Sahn-Wook Huh
State University of New York (SUNY) - Buffalo, National Tsing Hua University - Department of Quantitative Finance and State University of New York (SUNY) - Department of Finance
Downloads 50 (402,256)

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

14.

What Does the Prevalence of Zero Returns Tell Us? Evidence from U.S. Treasury Securities

Number of pages: 60 Posted: 12 Nov 2018 Last Revised: 12 Aug 2019
Seung-Oh Han and Sahn-Wook Huh
State University of New York (SUNY) - Buffalo and State University of New York (SUNY) - Department of Finance
Downloads 34 (465,444)

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