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Soosung Hwang

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Personal Details

First Name: Soosung
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Last Name: Hwang
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RePEc Short-ID: phw8

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Affiliation

School of Economics
Sungkyunkwan University
Location: Seoul, South Korea
Homepage: http://ecostat.skku.edu/
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Handle: RePEc:edi:seskkkr (more details at EDIRC)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Korean Economists

Works

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Working papers

  1. Soosung Hwang & Ba Chu, 2006. "The Asymptotic Properties of AR(1) Process with the Occasionally Changing AR Coefficient," Working Papers wp06-05, Warwick Business School, Finance Group.
  2. Soosung Hwang & Ba Chu, 2006. "An Asymptotics of Stationary and Nonstationary AR(1) Processes with Multiple Structural Breaks in Mean," Working Papers wp06-04, Warwick Business School, Finance Group.
  3. Shaun A. Bond & Soosung Hwang & Gianluca Marcato, 2006. "An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle?," Real Estate & Planning Working Papers rep-wp2006-17, Henley Business School, Reading University.
  4. Mark Salmon & Soosung Hwang & Gordon Gemmill, 2005. "Performance Measurement with Loss Aversion," Working Papers wp05-08, Warwick Business School, Finance Group.
  5. Soosung Hwang & Shaun Bond, 2005. "Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggreagation in Real Estate Price Indices," Working Papers wp05-17, Warwick Business School, Finance Group.
  6. Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Econometric Society 2004 Latin American Meetings 198, Econometric Society.
  7. Hwang, Soosung & Salmon, Mark, 2004. "Market Stress and Herding," CEPR Discussion Papers 4340, C.E.P.R. Discussion Papers.
  8. Hwang. S. & Pedro L. Valls Pereira, 2003. "Small Sample Properties of GARCH Estimates and Persistence," Finance Lab Working Papers flwp_48, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  9. Soosung Hwang & Christian Pedersen, 2002. "On Empirical Risk Measurement with Asymmetric Returns Data," Working Papers wp02-03, Warwick Business School, Finance Group.
  10. Mark Salmon & Soosung Hwang, 2001. "An Analysis of Performance Measures Using Copulae," Working Papers wp01-13, Warwick Business School, Finance Group.
  11. Mark Salmon & Soosung Hwang, 2001. "A New Measure of Herding and Empirical Evidence," Working Papers wp01-12, Warwick Business School, Finance Group.
  12. Steve Satchell & Soosung Hwang, 2001. "The Asset Allocation Decision in a Loss Aversion World," Working Papers wp01-14, Warwick Business School, Finance Group.
  13. Steve Satchell & Soosung Hwang, 2001. "GARCH Model with Cross-sectional Volatility; GARCHX Models," Working Papers wp01-16, Warwick Business School, Finance Group.
  14. Steve Satchell & Soosung Hwang, 2001. "Tracking Error: Ex-Ante versus Ex-Post Measures," Working Papers wp01-15, Warwick Business School, Finance Group.
  15. Steve Satchell & Soosung Hwang, 2000. "Valuing Information Using Utility Functions," Working Papers wp00-06, Warwick Business School, Finance Group.
  16. Soosung Hwang, 2000. "Properties of Cross-sectional Volatility," Working Papers wp00-05, Warwick Business School, Finance Group.
  17. Anthony D. Hall & S. Hwang & Steve Satchell, 2000. "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return," Research Paper Series 31, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. Steve Satchell & Soosung Hwang, 2000. "Calculating the Miss-specification in Beta from Using a Proxy for the Market Portfolio," Working Papers wp00-04, Warwick Business School, Finance Group.
  19. Anthony Hall & Soosung Hwang & Stephen E. Satchell, 2000. "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models," Econometric Society World Congress 2000 Contributed Papers 1213, Econometric Society.
  20. Stephen Satchell & John Knight & Soosung Hwang, 1999. "Forecasting Volatility using LINEX Loss Functions," Working Papers wp99-20, Warwick Business School, Finance Group.
  21. Stephen Satchell & Soosung Hwang, 1999. "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," Working Papers wp99-16, Warwick Business School, Finance Group.
  22. Stephen Satchell & Soosung Hwang, 1999. "The Disappearance of Style in the US Equity Market," Working Papers wp99-18, Warwick Business School, Finance Group.
  23. Soosung Hwang, 1999. "The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and their Finite Sample Properties," Working Papers wp99-15, Warwick Business School, Finance Group.
  24. Steve Satchell & Soosung Hwang, 1999. "Improved Testing for the Efficiency of Asset Pricing Theories in Linear Factor Models," Working Papers wp99-19, Warwick Business School, Finance Group.
  25. Hwang, S. & Satchell, S. E., 1998. "Implied Volatility Forecasting: A Comparison of Different Procedures," Accounting and Finance Discussion Papers 98-af38, Faculty of Economics, University of Cambridge.
  26. Hwang, S. & Satchell, S. E., 1998. "Modelling Emerging Market Risk Premia using Higher Moments," Cambridge Working Papers in Economics 9806, Faculty of Economics, University of Cambridge.
  27. Hwang, S. & Satchell, S. E., 1997. "Market Risk and the Concept of Fundamental Volatility," Accounting and Finance Discussion Papers 97-af37, Faculty of Economics, University of Cambridge.
  28. Damant, C. & Hwang, S. & Satchell, S. E., 1997. "An Integrated Risk Measure with Application to UK Asset Allocation," Cambridge Working Papers in Economics 9714, Faculty of Economics, University of Cambridge.

Articles

  1. Hwang, Soosung & Rubesam, Alexandre, 2013. "A behavioral explanation of the value anomaly based on time-varying return reversals," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2367-2377.
  2. Youngha Cho & Soosung Hwang & Steve Satchell, 2012. "The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 645-677, October.
  3. Shaun A. Bond & Soosung Hwang & Gianluca Marcato, 2012. "Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(4), pages 637-661, December.
  4. Hwang, Soosung & Satchell, Steve E., 2010. "How loss averse are investors in financial markets?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2425-2438, October.
  5. Soosung Hwang & Byung Khun Song, 2008. "'Irrational exuberance' in the long-run UK stock market," Applied Economics, Taylor & Francis Journals, vol. 40(24), pages 3199-3211.
  6. Hwang, Soosung & Keswani, Aneel & Shackleton, Mark B., 2008. "Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 643-653, May.
  7. Shaun Bond & Soosung Hwang & Zhenguo Lin & Kerry Vandell, 2007. "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, Springer, vol. 34(4), pages 447-461, May.
  8. Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2007. "How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5-6), pages 1002-1024.
  9. Shaun A. Bond & Soosung Hwang, 2007. "Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(3), pages 349-382, 09.
  10. Christian S. Pedersen & Soosung Hwang, 2007. "Does downside beta matter in asset pricing?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(12), pages 961-978.
  11. Soosung Hwang & Stephen E. Satchell, 2007. "The disappearance of style in the US equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(8), pages 597-613.
  12. Soosung Hwang & Pedro L. Valls Pereira, 2006. "Small sample properties of GARCH estimates and persistence," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 473-494.
  13. Soosung Hwang & Steve Satchell, 2005. "Valuing information using utility functions: how much should we pay for linear factor models?," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 1-16.
  14. Soosung Hwang & Steve Satchell, 2005. "GARCH model with cross-sectional volatility: GARCHX models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 203-216.
  15. Hwang, Soosung & Salmon, Mark, 2004. "Market stress and herding," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 585-616, September.
  16. Hwang, Soosung & Pedersen, Christian S., 2004. "Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects," Emerging Markets Review, Elsevier, vol. 5(1), pages 109-128, March.
  17. Shaun A. Bond & Soosung Hwang, 2003. "A Measure of Fundamental Volatility in the Commercial Property Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(4), pages 577-600, December.
  18. Hall, Anthony D. & Hwang, Soosung & Satchell, Stephen E., 2002. "Using Bayesian variable selection methods to choose style factors in global stock return models," Journal of Banking & Finance, Elsevier, vol. 26(12), pages 2301-2325.
  19. Soosung Hwang & Stephen Satchell, 2002. "Calculating the misspecification in beta from using a proxy for the market portfolio," Applied Financial Economics, Taylor & Francis Journals, vol. 12(11), pages 771-781.
  20. Soosung Hwang & John Knight & Stephen E. Satchell, 2001. "Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 187-213, May.
  21. Hwang, Soosung & Satchell, Stephen E., 2000. "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, Elsevier, vol. 24(5), pages 759-785, May.
  22. Hwang, Soosung, 2000. "The Effects Of Systematic Sampling And Temporal Aggregation On Discrete Time Long Memory Processes And Their Finite Sample Properties," Econometric Theory, Cambridge University Press, vol. 16(03), pages 347-372, June.
  23. Stephen Satchell & David Damant & Soosung Hwang, 2000. "Exponential risk measure with application to UK asset allocation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(2), pages 127-152.
  24. Hwang, Soosung & Satchell, Stephen E, 1999. "Modelling Emerging Market Risk Premia Using Higher Moments," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(4), pages 271-96, October.

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2003-01-12. Author is listed
  2. NEP-ETS: Econometric Time Series (2) 2003-01-12 2004-08-16. Author is listed
  3. NEP-FIN: Finance (2) 2004-08-16 2005-09-29. Author is listed
  4. NEP-FMK: Financial Markets (1) 2005-09-29. Author is listed
  5. NEP-IFN: International Finance (1) 2004-06-13. Author is listed
  6. NEP-RMG: Risk Management (1) 2003-01-12. Author is listed

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