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Hwagyun Kim

Personal Details

First Name:Hwagyun
Middle Name:
Last Name:Kim
Suffix:
RePEc Short-ID:pki105
http://people.tamu.edu/~hagenkim
360p Wehner Building Department of Finance Mays Business School Texas A&M University 4218 TAMU College Station, TX 77843-4218
Terminal Degree:2003 Department of Economics; University of Chicago (from RePEc Genealogy)

Affiliation

Mays Business School
Texas A&M University

College Station, Texas (United States)
http://mays.tamu.edu/

:

Wehner Building, 4113 TAMU, College Station, Texas 77843-4113
RePEc:edi:mbtamus (more details at EDIRC)

Research output

as
Jump to: Articles

Articles

  1. Jeong, Daehee & Kim, Hwagyun & Park, Joon Y., 2015. "Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility," Journal of Financial Economics, Elsevier, vol. 115(2), pages 361-382.
  2. Choi, Seung Mo & Kim, Hwagyun, 2014. "Momentum Effect as Part of a Market Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(01), pages 107-130, February.
  3. Kim, Hwagyun & Park, Hail, 2013. "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 78-93.
  4. Hwang, Young-Soon & Min, Hong-Ghi & McDonald, Judith A. & Kim, Hwagyun & Kim, Bong-Han, 2010. "Using the credit spread as an option-risk factor: Size and value effects in CAPM," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2995-3009, December.
  5. Hwagyun Kim & Chetan Subramanian, 2009. "Velocity of money and inflation dynamics," Applied Economics Letters, Taylor & Francis Journals, vol. 16(18), pages 1777-1781.
  6. Kim, Hwagyun & Subramanian, Chetan, 2006. "Transactions Cost and Interest Rate Rules," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(4), pages 1077-1091, June.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Jeong, Daehee & Kim, Hwagyun & Park, Joon Y., 2015. "Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility," Journal of Financial Economics, Elsevier, vol. 115(2), pages 361-382.

    Cited by:

    1. Konstantinos Georgalos, 2016. "Dynamic decision making under ambiguity," Working Papers 112111041, Lancaster University Management School, Economics Department.
    2. Zhang, Jinqing & Jin, Zeyu & An, Yunbi, 2017. "Dynamic portfolio optimization with ambiguity aversion," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 95-109.
    3. Arkadiy V. Sakhartov, 2018. "Stock market undervaluation of resource redeployability," Strategic Management Journal, Wiley Blackwell, vol. 39(4), pages 1059-1082, April.
    4. Berg Cui & Yoosoon Chang & Joon Park, 2017. "Evaluating Consumption CAPM under Heterogeneous Preferences," CAEPR Working Papers 2017-013, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    5. Gallant, A. Ronald & Jahan-Parvar, Mohammad & Liu, Hening, 2015. "Measuring Ambiguity Aversion," Finance and Economics Discussion Series 2015-105, Board of Governors of the Federal Reserve System (US).
    6. Zi-Yi Guo, 2017. "Order Flow and Exchange Rate Dynamics in Continuous Time: New Evidence from Martingale Regression," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 507-512.
    7. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
    8. Jean-Laurent Viviani & Anh-Ngoc Lai & Waël Louhichi, 2017. "The impact of asymmetric ambiguity on investment and financing decisions," Post-Print halshs-01683841, HAL.
    9. Guo, Zi-Yi, 2017. "Martingale Regressions for a Continuous Time Model of Exchange Rates," EconStor Open Access Articles, ZBW - Leibniz Information Centre for Economics, pages 40-45.

  2. Choi, Seung Mo & Kim, Hwagyun, 2014. "Momentum Effect as Part of a Market Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(01), pages 107-130, February.

    Cited by:

    1. Docherty, Paul & Hurst, Gareth, 2018. "Return dispersion and conditional momentum returns: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 263-278.
    2. Jeong, Daehee & Kim, Hwagyun & Park, Joon Y., 2015. "Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility," Journal of Financial Economics, Elsevier, vol. 115(2), pages 361-382.

  3. Kim, Hwagyun & Park, Hail, 2013. "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 78-93.

    Cited by:

    1. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Connolly, Robert & Dubofsky, David & Stivers, Chris, 2018. "Macroeconomic uncertainty and the distant forward-rate slope," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 140-161.

  4. Hwang, Young-Soon & Min, Hong-Ghi & McDonald, Judith A. & Kim, Hwagyun & Kim, Bong-Han, 2010. "Using the credit spread as an option-risk factor: Size and value effects in CAPM," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2995-3009, December.

    Cited by:

    1. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
    2. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
    3. Lam, Keith S.K. & Tam, Lewis H.K., 2011. "Liquidity and asset pricing: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2217-2230, September.
    4. de Groot, Wilma & Huij, Joop, 2018. "Are the Fama-French factors really compensation for distress risk?," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 50-69.

More information

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Statistics

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Co-authorship network on CollEc

Featured entries

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  1. Korean Economists

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