Hwagyun Kim

Texas A&M University - Mays Business School

430 Wehner

College Station, TX 77843-4218

United States

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 7,787

SSRN RANKINGS

Top 7,787

in Total Papers Downloads

6,076

SSRN CITATIONS
Rank 18,037

SSRN RANKINGS

Top 18,037

in Total Papers Citations

15

CROSSREF CITATIONS

33

Scholarly Papers (19)

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 860 (28,408)
Citation 8

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 642 (42,440)
Citation 7

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

3.

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 570 (49,547)

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

4.

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 564 (50,370)
Citation 1

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

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 480 (61,455)
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 445 (67,383)
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 345 (90,865)
Citation 12

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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.

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 312 (101,613)
Citation 2

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

9.

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 251 (127,958)

Abstract:

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Momentum Effect, Asset Pricing

10.

Ambiguity, Macro Factors, and Stock Return Volatility

Mays Business School Research Paper No. 2880963
Number of pages: 56 Posted: 06 Dec 2016
Le (Lexi) Kang and Hwagyun Kim
Tulane University - A.B. Freeman School of Business and Texas A&M University - Mays Business School
Downloads 228 (140,703)

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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 207 (154,246)
Citation 2

Abstract:

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Ambiguity, Bond Uncertainty Premiums, Return Predictability

12.

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 206 (154,970)

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

13.

Bank Capital and Bank Stock Performance

Number of pages: 105 Posted: 26 Jul 2017 Last Revised: 14 Nov 2018
Texas A&M University, Texas A&M University - Mays Business School and Texas A&M University (TAMU), Mays Business School, Department of Finance, Students
Downloads 194 (163,888)
Citation 6

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Bank Capital, Stock Performance, Trading Strategies, Uncertainty

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, Georgia Institute of Technology and Texas A&M University - Mays Business School
Downloads 177 (177,945)
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 The George Washington University
Downloads 176 (178,908)

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growth, urbanization, learning by doing, international trade

16.

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 154 (200,602)
Citation 1

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term structure estimation, macro factors, yield forecasts

17.

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 125 (236,908)
Citation 1

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

18.

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 99 (279,643)

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

19.

What Does the Value of Corporate Votes Tell Us About Future Stock Returns?

Number of pages: 79 Posted: 01 Oct 2018 Last Revised: 18 Jul 2019
In Ji Jang, Hwagyun Kim and Mahdi Mohseni
Bentley University - Department of Finance, Texas A&M University - Mays Business School and Texas A&M University - Department of Finance
Downloads 41 (444,226)

Abstract:

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Corporate voting rights, Stock returns, Control rights, Return predictability