Hwagyun Kim

Texas A&M University - Mays Business School

430 Wehner

College Station, TX 77843-4218

United States

  • Texas A&M University - Mays Business School

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 9,893

SSRN RANKINGS

Top 9,893

in Total Papers Downloads

9,163

SSRN CITATIONS
Rank 16,992

SSRN RANKINGS

Top 16,992

in Total Papers Citations

50

CROSSREF CITATIONS

36

Scholarly Papers (29)

Actions:
Email selected abstracts
1.

Do Macroeconomic Variables Forecast Bond Returns?

Number of pages: 36 Posted: 25 Jan 2006
Hwagyun Kim
Texas A&M University - Mays Business School
Downloads 1,005 (44,188)
Citation 9

Abstract:

Loading...

Bond Return Prediction, Macroeconomic Variables

2.

Macroeconomic Uncertainty and Asset Prices: A Stochastic Volatility Model

AFA 2010 Atlanta Meetings Paper
Number of pages: 33 Posted: 22 Mar 2009
Hwagyun Kim, Hyoung Il Lee, Joon Y. Park and Hyosung Yeo
Texas A&M University - Mays Business School, Government of the Republic of Korea - Ministry of Strategy and Finance, Texas A&M University and Texas A&M University
Downloads 748 (66,129)
Citation 11

Abstract:

Loading...

macroeconomic uncertainty, asset pricing, regime switching volatility with smooth transitions, volatility clustering, Gibbs Sampling

3.

The Effect of Seniority and Security Covenants on Bond Price Reactions to Credit News

Number of pages: 43 Posted: 12 Oct 2007 Last Revised: 18 Oct 2011
David D. Cho, Hwagyun Kim and Jung S. Shin
Huizenga School of Business, Texas A&M University - Mays Business School and State University of New York at Buffalo
Downloads 727 (68,575)
Citation 1

Abstract:

Loading...

Corporate bonds, Seniority/Security, TRACE, Watchlist, Credit News, Credit Risk

4.

A Monetary Explanation of the Term Structure of Interest Rates and Bond Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 52 Posted: 11 Jan 2007 Last Revised: 18 Oct 2011
Hwagyun Kim and Agnes J. Moon
Texas A&M University - Mays Business School and affiliation not provided to SSRN
Downloads 629 (82,436)

Abstract:

Loading...

Term structure, Segmented asset market, Habit formation, Imperfect nominal indexation, Bond risk premia

5.

Bank Capital and Bank Stock Performance: When Times are Tough, Capital is King

Number of pages: 106 Posted: 26 Jul 2017 Last Revised: 06 Aug 2024
Christa H. S. Bouwman, Hwagyun Kim and Sang-Ook (Simon) Shin
Texas A&M University, Texas A&M University - Mays Business School and Ulsan National Institute of Science and Technology (UNIST)
Downloads 579 (91,734)
Citation 9

Abstract:

Loading...

JEL Classification: G12, G20, G28 Bank Capital, Stock Performance, Trading Strategies, Uncertainty, Forgetfulness, Limited Attention

6.

Sources of Momentum in Bonds

Mays Business School Research Paper No. 2012-40
Number of pages: 53 Posted: 15 May 2012
Hwagyun Kim, Arvind Mahajan and Alex Petkevich
Texas A&M University - Mays Business School, Texas A&M University - Department of Finance and University of Denver
Downloads 562 (95,093)
Citation 4

Abstract:

Loading...

Momentum, Bonds, Aggregate Default Shocks, Recovery.

7.

Dividend Policy, Investment, and Stock Returns

Finance Down Under 2014 Building on the Best from the Cellars of Finance
Number of pages: 61 Posted: 18 Mar 2011 Last Revised: 01 Nov 2013
Seung Mo Choi, Shane A. Johnson, Hwagyun Kim and Changwoo Nam
International Monetary Fund (IMF), Texas A&M University - Department of Finance, Texas A&M University - Mays Business School and Korea Development Institute (KDI)
Downloads 523 (103,907)
Citation 1

Abstract:

Loading...

Asset Pricing, Cross-Sectional Stock Returns, Payout Policy, Propensity to Pay Dividend, Firm Heterogeneity

8.

Does Ambiguity Matter? Estimating Asset Pricing Models with a Multiple-Priors Recursive Utility

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 21 Mar 2010 Last Revised: 29 Dec 2013
Daehee Jeong, Hwagyun Kim and Joon Y. Park
Korea Development Institute (KDI), Texas A&M University - Mays Business School and Texas A&M University
Downloads 434 (129,890)
Citation 42

Abstract:

Loading...

Recursive utility, stochastic differential utility, multiple priors, ambiguity aversion, continuous time asset pricing model, time change, unobservable aggregate wealth, mixed data frequency

9.

Evaluating Factor Pricing Models Using High Frequency Panels

Quantitative Economics: Journal of the Econometric Society, Forthcoming, Mays Business School Research Paper No. 2012-37
Number of pages: 53 Posted: 09 Feb 2011 Last Revised: 11 Nov 2015
Yoosoon Chang, Yongok Choi, Hwagyun Kim and Joon Y. Park
Indiana University Bloomington - Department of Economics, Korea Development Institute (KDI) (Retired), Texas A&M University - Mays Business School and Texas A&M University
Downloads 417 (135,949)
Citation 7

Abstract:

Loading...

Panel, High-Frequency, Time Change, Realized Variance, Fame-French

10.

Ambiguity, Macro Factors, and Stock Return Volatility

Mays Business School Research Paper No. 2880963
Number of pages: 37 Posted: 06 Dec 2016 Last Revised: 18 Jan 2021
Le (Lexi) Kang and Hwagyun Kim
Northwest University - School of Economics and Management and Texas A&M University - Mays Business School
Downloads 327 (177,968)

Abstract:

Loading...

Idiosyncratic volatility puzzle, Macroeconomic uncertainty, Idiosyncratic risk, Earnings forecast dispersion, Ambiguity aversion

11.

Ambiguous Information about Interest Rates and Bond Uncertainty Premiums

Number of pages: 43 Posted: 07 Jul 2015
Hwagyun Kim
Texas A&M University - Mays Business School
Downloads 312 (186,975)
Citation 4

Abstract:

Loading...

Ambiguity, Bond Uncertainty Premiums, Return Predictability

12.

How to (Properly) Compute Credit Default Swap Returns

Number of pages: 45 Posted: 19 Apr 2023 Last Revised: 28 Aug 2023
Le (Lexi) Kang, Hwagyun Kim, Ju Hyun Kim, Seongjin (Justin) Kim and Sorin M. Sorescu
Northwest University - School of Economics and Management, Texas A&M University - Mays Business School, Ajou University, School of Business, SUNY Plattsburgh and Texas A&M University
Downloads 297 (197,018)

Abstract:

Loading...

Credit Default Swap, Upfront Fee, Skewness, Momentum

13.

Momentum Effect as Part of a Market Equilibrium

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, Mays Business School Research Paper No. 2012-80
Number of pages: 41 Posted: 09 Sep 2012 Last Revised: 18 Dec 2012
Seung Mo Choi and Hwagyun Kim
International Monetary Fund (IMF) and Texas A&M University - Mays Business School
Downloads 294 (199,096)
Citation 1

Abstract:

Loading...

Momentum Effect, Asset Pricing

14.

Credit Information Ambiguity Premia

Number of pages: 57 Posted: 07 Jan 2019 Last Revised: 09 Aug 2022
Hwagyun Kim, Ju Hyun Kim and Heungju Park
Texas A&M University - Mays Business School, Ajou University, School of Business and Sungkyunkwan University - SKK Business School
Downloads 254 (230,998)
Citation 1

Abstract:

Loading...

Credit Information Ambiguity, Bond Uncertainty Premia, Return Predictability

15.

Do Individuals Have Preferences Used in Macro-Finance Models? An Experimental Investigation

Management Science, Forthcoming, Mays Business School Research Paper No. 2304667
Number of pages: 50 Posted: 01 Aug 2013 Last Revised: 08 Jul 2018
Alexander L. Brown and Hwagyun Kim
Texas A&M University - Department of Economics and Texas A&M University - Mays Business School
Downloads 247 (237,313)
Citation 5

Abstract:

Loading...

Epstein-ZIn Preference, Experiment, Uncertainty Resolution, Risk Aversion, Intertemporal Elasticity of Substitution, Portfolio Choice

16.

Yield Forecasts and Stochastic Volatility in Affine Models with Macro Factors

Number of pages: 37 Posted: 25 Feb 2009 Last Revised: 18 Oct 2011
Hwagyun Kim
Texas A&M University - Mays Business School
Downloads 236 (248,231)

Abstract:

Loading...

term structure estimation, stochastic volatility, yield forecasts, macroeconomic factors, velocity of money, bond risk premia

17.

Value or Growth? Pricing of Idiosyncratic Cash-Flow Risk with Heterogeneous Beliefs

Number of pages: 53 Posted: 06 Jul 2015 Last Revised: 27 Aug 2015
Michael F. Gallmeyer, Hogyu Jhang and Hwagyun Kim
University of Virginia (UVA) - McIntire School of Commerce, CNU, School of Business and Texas A&M University - Mays Business School
Downloads 232 (252,205)
Citation 3

Abstract:

Loading...

idiosyncratic cash-flow risk, heterogeneous beliefs, general equilibrium, cross-section of stock returns, habit formation, the value premium

18.

Trade, Urbanization, and Growth

Mays Business School Research Paper No. 1931468
Number of pages: 45 Posted: 21 Sep 2011
Hwagyun Kim, Seung Mo Choi and Xiaohan Ma
Texas A&M University - Mays Business School, International Monetary Fund (IMF) and Texas Tech University
Downloads 215 (271,053)

Abstract:

Loading...

growth, urbanization, learning by doing, international trade

19.

Term Structure Dynamics with Macro Factors Using High Frequency Data

Journal of Empirical Finance, Forthcoming
Number of pages: 28 Posted: 16 Mar 2013 Last Revised: 03 Dec 2017
Hwagyun Kim and Hail Park
Texas A&M University - Mays Business School and Kyung-Hee University
Downloads 191 (302,189)
Citation 1

Abstract:

Loading...

term structure estimation, macro factors, yield forecasts

20.

Persistent Bubbles

Number of pages: 69 Posted: 29 Nov 2023 Last Revised: 02 Dec 2023
Hwagyun Kim and Ju Hyun Kim
Texas A&M University - Mays Business School and Ajou University - School of Business
Downloads 162 (349,415)

Abstract:

Loading...

Bitcoin, Recurrent bubbles, Speculative beta

21.

Alphas in Trading with Value of Votes

Number of pages: 68 Posted: 01 Oct 2018 Last Revised: 28 Jun 2023
In Ji Jang, Hwagyun Kim and Mahdi Mohseni
Bentley University - Department of Finance, Texas A&M University - Mays Business School and Tehran Institute of Advanced Studies
Downloads 153 (366,434)

Abstract:

Loading...

Voting rights, Control rights, Stock returns, Return predictability, Options

22.

Beta X Forecast Dispersion

Number of pages: 73 Posted: 03 Nov 2023 Last Revised: 03 Jan 2024
Hwagyun Kim and John Leonardy
Texas A&M University - Mays Business School and Texas A&M University - Mays Business School
Downloads 120 (443,099)

Abstract:

Loading...

Cross-Section of Returns, Beta Anomaly, Heterogeneous Beliefs, Disagreement and Uncertainty

23.

Does Uncertain Credit Information Quality Matter for Bond Funds?

Number of pages: 60 Posted: 15 Feb 2022
Hwagyun Kim, Ju Hyun Kim and Nan Yang
Texas A&M University - Mays Business School, Ajou University - School of Business and Hong Kong Polytechnic University - School of Accounting and Finance
Downloads 107 (482,264)

Abstract:

Loading...

Ambiguity, Credit Information Uncertainty, Corporate Bond, Institutional Bond Investor, Trading Behavior

24.

Ambiguous Credit Information Quality and Debt Maturity Structure

Number of pages: 44 Posted: 19 Mar 2022 Last Revised: 13 Jan 2023
Shane A. Johnson, Hwagyun Kim and Ju Hyun Kim
Texas A&M University - Department of Finance, Texas A&M University - Mays Business School and Ajou University - School of Business
Downloads 89 (545,360)

Abstract:

Loading...

Ambiguity, Corporate Bonds, Debt Maturity Structure, Credit

25.

Central Clearing and Cross-market Price Discovery in the Credit Markets

Number of pages: 46 Posted: 22 Jul 2024
Seongjin (Justin) Kim and Hwagyun Kim
SUNY Plattsburgh and Texas A&M University - Mays Business School
Downloads 82 (573,141)

Abstract:

Loading...

Price discovery, Corporate bond, CDS, Central counterparty JEL Classification: G12, G14

26.

Betting on Bond Ratings Disagreement

Number of pages: 58 Posted: 02 Nov 2023
Hwagyun Kim, Ju Hyun Kim and Nan Yang
Texas A&M University - Mays Business School, Ajou University - School of Business and Hong Kong Polytechnic University - School of Accounting and Finance
Downloads 82 (573,141)

Abstract:

Loading...

Corporate Bond, Ratings Dispersion, Ambiguity, Insurance Companies, Bond Holdings, Reaching for Uncertainty

27.

A Consumption-Based Identification of Global Economic Uncertainty

Number of pages: 41 Posted: 09 Oct 2020
Hwagyun Kim, Eunhee Lee and Joon Y. Park
Texas A&M University - Mays Business School, Gyeongsang National University and Texas A&M University
Downloads 69 (631,070)

Abstract:

Loading...

GlobalGlobal Macroeconomic Uncertainty, Long-Run Uncertainty, Stochastic Volatility, Volatility of Volatility, Bayesian Method, Generalized Method of Moment

28.

CEO Ambiguity Aversion and Corporate Investment

Number of pages: 11 Posted: 04 Dec 2023
Ju Hyun Kim and Hwagyun Kim
Ajou University - School of Business and Texas A&M University - Mays Business School
Downloads 37 (826,416)

Abstract:

Loading...

CEO, Ambiguity Aversion, Overconfidence, Investment

29.

Time-Varying Expectation Effects of Switching Financial Uncertainty

Number of pages: 58 Posted: 09 Jul 2022
Yoosoon Chang, Hwagyun Kim and Shi Qiu
Indiana University Bloomington - Department of Economics, Texas A&M University - Mays Business School and Fudan University - School of Economics
Downloads 33 (859,162)

Abstract:

Loading...

DSGE, uncertainty, financial friction, expectation, endogenous regime switching