Details about Soosung Hwang

Access statistics for papers by Soosung Hwang.

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Short-id: phw8

Working Papers

2018

1. Do Smart Beta ETFs Capture Factor Premiums? A Bayesian Perspective
   Working Papers, IESEG School of Management
2. Searching the Factor Zoo
   Working Papers, IESEG School of Management View citations (1)

2007

3. Asset Allocatorsí Attitude Towards Real Estate and Alternative Investment Classes
   ERES, European Real Estate Society (ERES)
4. Will Private Equity and Hedge Funds Replace Real Estate in Mixed-Asset Portfolios?
   ERES, European Real Estate Society (ERES) View citations (8)

2006

5. An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle?
   Real Estate & Planning Working Papers, Henley Business School, University of Reading

2005

6. Performance Measurement with Loss Aversion
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)

2004

7. How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations
   Econometric Society 2004 Latin American Meetings, Econometric Society View citations (6)
8. Liquidity Risk and Real Estate: A Quantitative Approach to Assessing Risk
   ERES, European Real Estate Society (ERES) View citations (8)
9. Market Stress and Herding
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (246)
   See also Journal Article Market stress and herding, Journal of Empirical Finance, Elsevier (2004) View citations (220) (2004)
10. Smoothing, Non-synchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price
    ERES, European Real Estate Society (ERES)

2003

11. Small Sample Properties of GARCH Estimates and Persistence
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (10)
    See also Journal Article Small sample properties of GARCH estimates and persistence, The European Journal of Finance, Taylor & Francis Journals (2006) View citations (65) (2006)

2000

12. Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2000) View citations (9)
    See also Journal Article Using Bayesian variable selection methods to choose style factors in global stock return models, Journal of Banking & Finance, Elsevier (2002) View citations (14) (2002)

1998

13. Implied Volatility Forecasting: A Comparison of Different Procedures
    Accounting and Finance Discussion Papers, Faculty of Economics, University of Cambridge View citations (9)
14. Modelling Emerging Market Risk Premia using Higher Moments
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
    See also Journal Article Modelling Emerging Market Risk Premia Using Higher Moments, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (1999) View citations (87) (1999)

1997

15. An Integrated Risk Measure with Application to UK Asset Allocation
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
16. Market Risk and the Concept of Fundamental Volatility
    Accounting and Finance Discussion Papers, Faculty of Economics, University of Cambridge View citations (3)

Journal Articles

2018

1. Loss aversion around the world: Empirical evidence from pension funds
   Journal of Banking & Finance, 2018, 88, (C), 52-62 View citations (12)

2017

2. Does illiquidity matter in residential properties?
   Applied Economics, 2017, 49, (1), 1-20

2015

3. Market overreaction and investment strategies
   Applied Economics, 2015, 47, (54), 5868-5885 View citations (11)
4. The disappearance of momentum
   The European Journal of Finance, 2015, 21, (7), 584-607 View citations (25)

2014

5. Testing linear factor models on individual stocks using the average F -test
   The European Journal of Finance, 2014, 20, (5), 463-498 View citations (2)
6. The Dynamics of Appraisal Smoothing
   Real Estate Economics, 2014, 42, (2), 497-529 View citations (4)

2013

7. A behavioral explanation of the value anomaly based on time-varying return reversals
   Journal of Banking & Finance, 2013, 37, (7), 2367-2377 View citations (5)

2012

8. Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns
   Real Estate Economics, 2012, 40, (4), 637-661 View citations (7)
9. The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate
   The Journal of Real Estate Finance and Economics, 2012, 45, (3), 645-677 View citations (3)

2010

10. How loss averse are investors in financial markets?
    Journal of Banking & Finance, 2010, 34, (10), 2425-2438 View citations (41)

2008

11. 'Irrational exuberance' in the long-run UK stock market
    Applied Economics, 2008, 40, (24), 3199-3211 View citations (1)
12. Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits
    Journal of Banking & Finance, 2008, 32, (5), 643-653 View citations (9)

2007

13. Does downside beta matter in asset pricing?
    Applied Financial Economics, 2007, 17, (12), 961-978 View citations (16)
14. Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market
    The Journal of Real Estate Finance and Economics, 2007, 34, (4), 447-461 View citations (28)
15. The disappearance of style in the US equity market
    Applied Financial Economics, 2007, 17, (8), 597-613 View citations (3)

2006

16. Small sample properties of GARCH estimates and persistence
    The European Journal of Finance, 2006, 12, (6-7), 473-494 View citations (65)
    See also Working Paper Small Sample Properties of GARCH Estimates and Persistence, Finance Lab Working Papers (2003) View citations (10) (2003)

2005

17. GARCH model with cross-sectional volatility: GARCHX models
    Applied Financial Economics, 2005, 15, (3), 203-216 View citations (23)
18. Valuing information using utility functions: how much should we pay for linear factor models?
    The European Journal of Finance, 2005, 11, (1), 1-16 View citations (1)

2004

19. Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects
    Emerging Markets Review, 2004, 5, (1), 109-128 View citations (14)
20. Market stress and herding
    Journal of Empirical Finance, 2004, 11, (4), 585-616 View citations (220)
    See also Working Paper Market Stress and Herding, CEPR Discussion Papers (2004) View citations (246) (2004)

2003

21. A Measure of Fundamental Volatility in the Commercial Property Market
    Real Estate Economics, 2003, 31, (4), 577-600 View citations (12)

2002

22. Calculating the misspecification in beta from using a proxy for the market portfolio
    Applied Financial Economics, 2002, 12, (11), 771-781 View citations (3)
23. Using Bayesian variable selection methods to choose style factors in global stock return models
    Journal of Banking & Finance, 2002, 26, (12), 2301-2325 View citations (14)
    See also Working Paper Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (1) (2000)

2001

24. Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions
    Annals of Economics and Finance, 2001, 2, (1), 187-213 View citations (8)

2000

25. Exponential risk measure with application to UK asset allocation
    Applied Mathematical Finance, 2000, 7, (2), 127-152 View citations (2)
26. Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets
    Journal of Banking & Finance, 2000, 24, (5), 759-785 View citations (20)
27. THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES
    Econometric Theory, 2000, 16, (3), 347-372 View citations (6)

1999

28. Modelling Emerging Market Risk Premia Using Higher Moments
    International Journal of Finance & Economics, 1999, 4, (4), 271-96 View citations (87)
    See also Working Paper Modelling Emerging Market Risk Premia using Higher Moments, Cambridge Working Papers in Economics (1998) View citations (5) (1998)