Hwagyun Kim

Texas A&M University - Mays Business School

430 Wehner

College Station, TX 77843-4218

United States

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 9,496

SSRN RANKINGS

Top 9,496

in Total Papers Downloads

7,023

SSRN CITATIONS
Rank 17,117

SSRN RANKINGS

Top 17,117

in Total Papers Citations

29

CROSSREF CITATIONS

34

Scholarly Papers (24)

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 917 (35,842)
Citation 9

Abstract:

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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
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 687 (52,959)
Citation 8

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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 674 (54,308)
Citation 1

Abstract:

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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 594 (63,811)

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

5.

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 The University of Toledo - Department of Finance
Downloads 497 (79,671)
Citation 3

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Momentum, Bonds, Aggregate Default Shocks, Recovery.

6.

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
International Monetary Fund (IMF), Texas A&M University - Department of Finance, Texas A&M University - Mays Business School and Korea Development Institute (KDI)
Downloads 475 (84,144)
Citation 1

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

7.

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 382 (108,390)
Citation 14

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

8.

Bank Capital and Bank Stock Performance

Mays Business School Research Paper No. 3007364
Number of pages: 105 Posted: 26 Jul 2017 Last Revised: 14 Jul 2020
Texas A&M University, Texas A&M University - Mays Business School and Ulsan National Institute of Science and Technology (UNIST)
Downloads 380 (109,021)
Citation 9

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Bank Capital, Stock Performance, Trading Strategies, Uncertainty

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
Indiana University Bloomington - Department of Economics, Korea Development Institute (KDI) (Retired), Texas A&M University - Mays Business School and Texas A&M University
Downloads 329 (127,833)
Citation 6

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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 273 (155,054)

Abstract:

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

11.

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 266 (159,210)

Abstract:

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Momentum Effect, Asset Pricing

12.

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 247 (171,276)
Citation 4

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Ambiguity, Bond Uncertainty Premiums, Return Predictability

13.

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 210 (199,788)

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

14.

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
University of Virginia (UVA) - McIntire School of Commerce, Chungnam National University and Texas A&M University - Mays Business School
Downloads 198 (210,814)
Citation 3

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

15.

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 183 (225,986)

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growth, urbanization, learning by doing, international trade

16.

Ambiguity and Corporate Bond Prices

Number of pages: 57 Posted: 07 Jan 2019
Hwagyun Kim, Ju Hyun Kim and Heungju Park
Texas A&M University - Mays Business School, SKK Business School and Sungkyunkwan University - SKK Business School
Downloads 180 (229,206)
Citation 1

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Ambiguity, Asymmetric Price Reaction, Corporate Bond Uncertainty Premiums, Return Predictability, Credit Rating Dispersion

17.

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 163 (249,234)
Citation 1

Abstract:

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term structure estimation, macro factors, yield forecasts

18.

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 147 (271,298)
Citation 5

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

19.

Voting Rights and the Cross Section of Stock Returns

Number of pages: 79 Posted: 01 Oct 2018 Last Revised: 20 Jan 2021
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 80 (410,613)

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

20.

Misallocation of Debt and Aggregate Productivity

Number of pages: 51 Posted: 07 Feb 2022
Texas A&M University - Mays Business School, IIM Calcutta, Korea University - Sejong Campus and Indian Institute of Management (IIMB), Bangalore
Downloads 53 (509,893)

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debt finance, debt maturity structure, corporate term spread, liquidity production, resource misallocation, productivity loss

21.

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 33 (604,087)

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

22.

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 31 (615,909)

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

23.

Ambiguous Credit Information Quality and Debt Maturity Structure

Number of pages: 53 Posted: 19 Mar 2022
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 24 (662,622)

Abstract:

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Ambiguity, Corporate Bonds, Debt Maturity Structure,Credit

24.

Time-Varying Expectation Effects of Switching Financial Uncertainty

Number of pages: 58
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 0

Abstract:

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