Empirical Asset Pricing, Behavioral Finance, Financial Markets, Financial Big Data, Deep Learning
When Regret Becomes Salient: Predicting the Cross-Section of Returns. Finance Research Letters (SSCI), Forthcoming. Yusung Ha and Donghoon Kim.
Salience-Driven Mispricing in Retail-Dominated Markets: Evidence from Korea. Journal of Derivatives and Quantitative Studies (SCOPUS), Forthcoming. Donghoon Kim and Jihoon Goh.
Cryptocurrency Denomination and NFT Pricing. Economics Letters (SSCI), 268, 113233. Jaehyeong Park, Euro Bae, Daegon Cho, and Donghoon Kim, 2026.
Message Complexity on a Binary Type Space. International Game Theory Review (SSCI), 2550015. Donghoon Kim and Jae-Yun Lee, 2026.
Speculation around Celebration: Holiday, January, and Lottery Stocks in Korea. Finance Research Letters (SSCI), 90, 109351. Giho Jeong, Jihoon Goh, and Donghoon Kim, 2026.
Forecasting Returns Using Image-Based Convolutional Neural Networks: Evidence from Korea. Research in International Business and Finance (SSCI), 82, 103231. Jin-Gyu Jeong, Suk-Joon Byun, and Donghoon Kim, 2026.
Salience Theory and Stock Returns: The Role of Reference-Dependent Preferences. Research in International Business and Finance (SSCI), 81, 103165. Jihoon Goh, Suk-Joon Byun, and Donghoon Kim, 2026.
Overnight Returns, Daytime Reversals, and Anchoring Bias. Applied Economics Letters (SSCI), 32, 2310-2314. Donghoon Kim and Jihoon Goh, 2025.
Market reactions to Crypto-Specific announcements: Analyzing behaviors in coins and tokens. Economics Letters (SSCI), 250, 112305. Jaeho Myeong and Donghoon Kim, 2025.
Market participants' trading behavior toward anomalies: Evidence from the Korean market. Pacific-Basin Finance Journal (SSCI), 90, 102622. Donghoon Kim, Jangkoo Kang, and Soohyun Roh, 2025.
The impact of ESG ratings on corporate value during COVID-19 pandemic: evidence from China and South Korea. Journal of Derivatives and Quantitative Studies (SCOPUS), 32(3), 223-237. Donghoon Kim and Sun-Joong Yoon, 2024.
The Role of Arbitrage Risk in the MAX Effect: Evidence from the Korean Stock Market. Journal of Derivatives and Quantitative Studies (SCOPUS), 32(2), 159-180. Jihoon Goh and Donghoon Kim, 2024.
Investor sentiment and the MAX effect: evidence from Korea. Applied Economics (SSCI), 55(3), 319-331. Suk-Joon Byun, Byounghyun Jeon, and Donghoon Kim, 2023.
National culture and corporate risk-taking around the world. Global Finance Journal (SSCI), 52, 100710. Bart Frijns, Frank Hubers, Donghoon Kim, Tai-Yong Roh, and Yahua Xu, 2022.
When Gold Meets Copper: A Comprehensive Look at the Informative Role of the Relative Value of Gold on Global Stock Markets. Tai-Yong Roh, Donghoon Kim, Sun-Joong Yoon, and Yu You. (R&R)
Does the timing of MAX matter? Intraday Returns and Retail Attention. Sanghun Kim, Suk-Joon Byun, and Donghoon Kim. (R&R)
Recency Bias and the Idiosyncratic Puzzle: Evidence from Korea. Donghoon Kim and Jihoon Goh. (R&R)
Smart Beta Before and After Listing: Evidence from Korea. Jihoon Lee, Jiwon Eo, and Donghoon Kim. (R&R)
Short-Term Overreaction and the cross-section of stock returns. Jihoon Goh, Donghoon Kim, and Sonya Lim. (Submitted)
How Mispricing Shapes Lottery Preference: Evidence from Arbitrage Asymmetry. Donghoon Kim, Jangkoo Kang, and Soohyun Roh. (Submitted)
Price Limit Hits, Retail Demand, and Stock Returns. Younghwan Cho, Suk-Joon Byun, and Donghoon Kim. (Submitted)
XGBoost-Based Trend Factor and Individual Investors in the Korean Stock Market. Jihoon Goh, Donghoon Kim, and Sanghyeon Kim. (Submitted)
Why Experts Sometimes Tell the Truth: Cheap Talk with Multi-senders and Probabilistic Lie Detection. Donghoon Kim and Jae-Yun Lee.
Holiday Optimism and Speculative Option Pricing. Tai-Yong Roh, Byoung-Kyu Min, Robert Faff, and Donghoon Kim
Canaries in the Microstructure: Machine Learning Approach to KOSPI200 Futures. Sanghun Kim and Donghoon Kim.
Who Creates the Illusion? Illusion Momentum and Investor Behavior in Korea. Junsang Kim, Suk-Joon Byun, and Donghoon Kim.
Regret-Based Salience and the Cross-Section of Korean Stock Returns. Younghwan Cho, Yusung Ha, and Donghoon Kim.
Price Paths and Two Forms of Momentum. Jiwon Eo, and Donghoon Kim.
Informed Trading Intensity: Market Efficiency and Liquidity from Korea. Sanghun Kim, Yeseong Park, Suk-Joon Byun, and Donghoon Kim.
Beyond Expectation: Warps in the Future Stock Price Distribution and the Cross-section of Option Returns. Jangkoo Kang, Donghoon Kim, and Jun Park.
Technical Trading Rules and Machine Learning in Korea: Evidence from Genetic Algorithms. Jaegu Im, Jiwon Eo, and Donghoon Kim.