Empirical Asset Pricing, Behavioral Finance, Financial Markets, Financial Big Data, Deep Learning
Salience-Driven Mispricing in Retail-Dominated Markets: Evidence from Korea. Journal of Derivatives and Quantitative Studies (SCOPUS), Forthcoming. Donghoon Kim and Jihoon Goh.
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.
Message Complexity on a Binary Type Space. International Game Theory Review (SSCI), 2550015. Donghoon Kim and Jae-Yun Lee, 2025.
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)
When Regret Becomes Salient: Predicting the Cross-Section of Returns. Yusung Ha and Donghoon Kim. (R&R)
Cryptocurrency Denomination and NFT Pricing. Jaehyeong Park, Euro Bae, Daegon Cho, and Donghoon Kim. (R&R)
Short-Term Overreaction and the cross-section of stock returns. Jihoon Goh, Donghoon Kim, and Sonya Lim. (Submitted)
Does the timing of MAX matter? Intraday Returns and Retail Attention. Sanghun Kim, Suk-Joon Byun, and Donghoon Kim. (Submitted)
How Mispricing Shapes Lottery Preference: Evidence from Arbitrage Asymmetry. Donghoon Kim, Jangkoo Kang, and Soohyun Roh. (Submitted)
Why Experts Sometimes Tell the Truth: Cheap Talk with Multi-senders and Probabilistic Lie Detection. Donghoon Kim and Jae-Yun Lee. (Submitted)
Recency Bias and the Idiosyncratic Puzzle: Evidence from Korea. Donghoon Kim and Jihoon Goh. (Submitted)
Smart Beta Before and After Listing: Evidence from Korea. Jihoon Lee, Jiwon Eo, and Donghoon Kim.
XGBoost-Based Trend Factor and Individual Investors in the Korean Stock Market. Jihoon Goh, Donghoon Kim, and Sanghyeon Kim. (Submitted)
Canaries in the Microstructure: Machine Learning Approach to KOSPI200 Futures. Sanghun Kim and Donghoon Kim.
Illusion Momentum and Cross-sectional Returns in the Korean Stock Market. Junsang Kim, Suk-Joon Byun, and Donghoon Kim.
Regret-Based Salience and the Cross-Section of Korean Stock Returns. Yeonghwan Cho, Yusung Ha, 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.