Soosung Hwang's Home Page

Career

March 2009 – Present: Professor of Financial Economics, Faculty of Economics, Sungkyunkwan University, Seoul, Korea

March 2007 – February 2009: Hedge Fund Manager, GSA Capital, London, UK

September 1999 – August 2007: Lecturer – Reader in Finance, Faculty of Finance, Cass Business School, London, UK.

December 1996 – September 1999: Research Associate, Department of Applied Economics, University of Cambridge

March 1992 – September 1993: Research Fellow, Korea Securities Research Institute, Seoul, Korea

March 1988 – February 1992: Senior Fund Manager, Dongsuh Investment Management Ltd., Seoul, Korea

September 1987 – February 1988: Part-time Lecturer (accounting), Yonsei University, Seoul, Korea

March 1987 – August 1987: Auditor, Ernst Young International, Seoul, Korea

Degrees

Ph.D, December 1997, Faculty of Economics, Cambridge.

Ph.D. Thesis: Essays on Long Memory Processes and Volatility

Supervisor: Stephen E. Satchell

MSc in Accounting and Finance (Distinction), July 1994, London School of Economics.

Master of Business Administration, February 1986, Yonsei University, Seoul, Korea.

Bachelor of Business Administration, February 1984, Yonsei University, Seoul, Korea.

Research Papers

Refereed Journals

• “Evaluation of Mutual Fund Performance in Emerging Markets,” with S. E. Satchell, 1998, Emerging Markets Quarterly, Vol. 2, No. 3, 39-50.

• “Modelling Emerging Market Risk Premia Using Higher Moments,” with S. E. Satchell, 1999, International Journal of Finance and Economics, Vol. 4, No. 4, 271-296.

• “Empirical Identification of Common Factors in Emerging Markets Returns,” with S. E. Satchell, 1999, Emerging Markets Quarterly, Vol.3, No.4, 7-26.

• “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,” with S. E. Satchell, 2000, Journal of Banking and Finance, Vol. 24(5), 759-785.  

• “An Exponential Risk Measure with Application to UK Asset Allocation,” with D. C. Damant and S. E. Satchell, 2000, Applied Mathematical Finance Vol.7 (2), 127-152.

• “The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and Their Finite Sample Properties”, 2000, Econometric Theory, Vol.16, 347-372. 

• “Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions”, with J. Knight and S. E. Satchell, 2001, Annals of Economics and Finance Vol.2., 187-213.

• “Tracking Error: Ex-Ante versus Ex-Post Measures”, with S. E. Satchell, 2001, Journal of Asset Management Vol. 2, No. 3, 241-246.

• “Calculating the Misspecification in Beta from Using a Proxy for the Market Portfolio” with S. E. Satchell, 2002, Applied Financial Economics Vol.12, No. 11, 771-781.

• “Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models” with A. Hall and S. E. Satchell, 2002, Journal of Banking and Finance Vol. 26, 2301-2325.

• “A Measure of Fundamental Volatility in the U.K. Commercial Property Market” with Shaun A. Bond, 2003, Real Estate Economics Vol. 31 (4), 577-600.

• “Asymmetric Risk Measures When Modelling Emerging Markets Equities: Evidence for Regional and Timing Effects” with Christian Pedersen, 2004, Emerging Markets Review Vol 5(1), 109-128.

• “Market Stress and Herding” with M. Salmon” with Mark Salmon, 2004, Journal of Empirical Finance Vol. 11, 585-616.

• "GARCH Model with Cross-sectional Volatility; GARCHX Model" with S. E. Satchell, 2005, Applied Financial Economics, 15, 203-216.

• "Valuing Information Using Utility Functions" with S. E. Satchell, 2005, European Journal of Finance, Vol. 11(1), 1-16.

• “Optimal Allocation to Real Estate Incorporating Illiquidity Risk” with Shaun A. Bond and Kimberley Richards, 2006, Journal of Asset Management 7(1), 2-16.

• “Small Sample Properties of GARCH Estimates and Persistence”, with Pedro Valls, 2006, European Journal of Finance 12 (6-7), 473-494.

• “Performance Measure with Loss Aversion” with Gordon Gemmill and Mark Salmon, 2006,  Journal of Asset Management 7 (3/4), 190-207.

• "The Disappearance of Style in the US Equity Market ", with S. E. Satchell, 2007, Applied Financial Economic 17(8), 597-613.

• “Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Index” with S. Bond, 2007, Real Estate Economics 35(3), 349-382. 

• “How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models” with S. E. Satchell and Pedro Valls, 2007, Journal of Business Finance and Accounting 34(5), 1002–1024.

• “Does Downside Beta Matter in Asset Pricing?” with Christian S. Pedersen, 2007, Applied Financial Economic 17(12), 961-978.

• “Will Private Equity and Hedge Funds Replace Real Estate in Mixed-Asset Portfolios?”, with S. Bond, S. Satchell, and P. Mitchell, 2007, Special Real Estate Issue, Journal of Portfolio Management 33(5), 74-84. 

• “Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market?” with S. Bond, Z. Lin, and K. Vandell, 2007, Journal of Real Estate Finance and Economics 34(4), 447-461.

• “The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH models”, with P. Valls, 2008, Communications in Statistics-Simulation and Computation, 37(3), 571-578.

• “Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits?”, with Aneel Keswani and Mark B. Shackleton, 2008, Journal of Banking and Finance, 32(5), 643-653.

• “Irrational Exuberance in the Long-run UK Stock Market” with B. Song, 2008, Applied Economics 40(24), 3199 – 3211.

• “How Loss Averse Are Investors in Financial Markets?”, with S. E. Satchell, 2010, Journal of Banking and Finance 34, 2425-2438.

• “The Optimal Mortgage Loan Portfolio in the UK Regional Residential Real Estates” with Youngha Cho and Steve Satchell, 2012, Journal of Real Estate Finance and Economics 45, 645-677.

• “An Analysis of Commercial Real Estate Returns: An Anatomy of Smoothing in the Individual and Index Levels” with Shaun Bond and Gianluca Mercato, 2012, Real Estate Economics 40(4), 637-661.

• “Some exact results for an asset pricing test based on the Average F Distribution”, with S. E. Satchell, 2012, Theoretical Economics Letters 2(5), 435-437.

• A behavioural explanation of the value anomaly based on time-varying return reversals" with Alexandre Rubesam, 2013, Journal of Banking and Finance 37, 2367-2377.

• “Testing Linear Factor Models on Individual Stocks Using the Average F Test”, with S. E. Satchell, 2014, European Journal of Finance 20(5), 463-498.

• “The Dynamics of Smoothing”, with Y. Cho and Y. Lee, 2014, Real Estate Economics 42(2), 497-529.

• “The Disappearance of Momentum”, with Alexandre Rubesam, 2015, European Journal of Finance 21(7), 584-607.

• “Overconfidence and Price Bubbles in the Housing Markets”, with J. Shin, 2015, Journal of the Korea Real Estate Analysts Association 21(1), 5-29.

• “Market overreaction and investment strategies”, with C. Han and D. Ryu, 2015, Applied Economics 47(54), 5868-5885.

• “Does illiquidity matter in residential properties?”, with Youngha Cho and Jinho Shin, 2016, Applied Economics 49(1), 1-20.

• “Loss Aversion around the World: Empirical Evidence from Pension Funds”, 2018, Journal of Banking and Finance 88, 52-62.

• “An Analysis of Herding in the Korean Stock Market Using Network Theory”, with Young-Il Kim and Jinho Shin, 2018, Korean Journal of Financial Studies 47 (3), 505-542.

• “Measuring the Systemic Risk in the Korean Financial Institution Using Network Analysis (네트워크를 통해 분석한 국내 금융기관의 시스테믹 리스크 연구)” with Jeonghun Mun, 2019, Financial Stability Studies (금융안정연구).

• “The impact of UK household overconfidence in public information on house prices” with Youngha Cho and Jinho Shin, 2020, Journal of Property Research 37(4), 360-389.

• "Beta Herding through Overconfidence: A Behavioral Explanation of the Low-Beta Anomaly" with Alexandre Rubesam, 2021, Journal of International Money and Finance 111, 102318.

• "Bayesian selection of asset pricing factors using individual stocks" with Alexandre Rubesam, 2022, Journal of Financial Econometrics 20(4), 716-761.

• "The Effects of Sentiment on Extreme Movements in Exchange Rates" with Eunji Lee, 2022, International Economic Journal 36(3), 445-460.

• "The Cost of Overconfidence in Public Information" with Sanha Noh and Youngha Cho, 2022, International Review of Financial Analysis 79, 101991.

• "In Search of Pairs using Firm Fundamentals: Is Pairs Trading Profitable?" with Sungju Hong, 2023, European Journal of Finance 29(5), 508-526.

• "Long-Term Dynamic Asset Allocation Under Asymmetric Risk Preferences" with V. Kontosakos, V. Kallinterakis, and A. Pantelous, 2024, European Journal of Operational Research 312, 765-782.

Book Chapters and Others

• "Implied Volatility Forecasting: A Comparison of Different Procedures Including fractionally Integrated Models with Applications to UK Equity Options," with S. E. Satchell, 1998, in J. Knight and S. Satchell eds., Forecasting Volatility in the Financial Markets, Butterworth-Heinemann, London.

• "Modelling Emerging Market Risk Premia Using Higher Moments", with S. E. Satchell, 2000, in J. Knight and S. Satchell eds., Return Distribution in Finance, Butterworth-Heinemann, London. 

• "VaR versus Tracking Error: the Strengths and Weaknesses of Two Performance Measures" with S. E. Satchell, 2001, in I. Acar eds., Measuring Added Value: In Financial Institutions, Financial Times Prentice Hall, London.

• "An Analysis of Performance Measures using Copulae " with Mark. Salmon, 2002, in  J. Knight and S. Satchell eds., Performance Measurement, Butterworth-Heinemann, London.

• "Assessing the Merits of Rank-based Optimisation for Portfolio Construction" with Stephen M. Wright and S. E. Satchell, 2003, in S. Satchell eds., New Advances in Portfolio Construction and Implementation, Butterworth-Heinemann, London.

• “Liquidity Risk and Real Estate: A Quantitative Approach to Assessing Risk” with Shaun Bond, 2004, in Liquidity in Commercial Property Markets published by the Investment Property Forum.

• “Cross-Sectional Stock Returns in the UK Market: the Role of Liquidity Risk” with Chensheng Lu, 2007, in S. Satchell eds., Forecasting Expected Returns, Butterworth-Heinemann, London.

• “Tracking Error: Ex Ante Versus Ex Post Measures”, Satchell S.E., Hwang S., 2016. in S. Satchell eds., Asset Management. Palgrave Macmillan, Cham

• Financial Economics (재무경제학) with Jinho Shin, 2018, Publishing and Culture (피앤씨미디어) (ISBN 979-11-5730-552-0), Seoul.

• Financial Economics (재무경제학) with Jinho Shin, 2023, Second Edition, Deep Reading (정독) (ISBN 979-11-6858-135-7), Seoul.