Zobrazeno 1 - 10
of 27
pro vyhledávání: '"Soohun Kim"'
Publikováno v:
PLoS ONE, Vol 15, Iss 8, p e0236927 (2020)
Although the peer review system of academic journals is seen as fundamental to scientific achievement, a major threat to the validity of the system is a potential evaluation bias resulting from constraints at the journal level. In this study, we exam
Externí odkaz:
https://doaj.org/article/9cbaebcd15604ff08f3ecdc6d96edb44
Autor:
Soohun Kim, Aaron Yoon
Publikováno v:
Management Science. 69:741-758
The United Nations Principles for Responsible Investment (PRI) is the largest global environmental, social, and governance (ESG) initiative in the asset-management industry to date. We analyze what happens after active U.S. mutual funds sign the PRI
Autor:
Soohun Kim, Aaron S. Yoon
Publikováno v:
The Journal of Impact and ESG Investing. 3:134-139
Publikováno v:
The Review of Asset Pricing Studies. 12:543-592
Using proprietary data from a major fund data provider, we analyze the screening activity of investment consultants (ICs). We find that ICs frequently shortlist funds using threshold screens clustered at $500MM for AUM, 0% for benchmark-adjusted retu
Publikováno v:
The Review of Financial Studies. 34:2813-2856
We propose a new methodology for forming arbitrage portfolios that utilizes the information contained in firm characteristics for both abnormal returns and factor loadings. The methodology gives maximal weight to risk-based interpretations of charact
Autor:
Aaron Yoon, Soohun Kim
Publikováno v:
SSRN Electronic Journal.
The United Nations Principles for Responsible Investment (PRI) is the largest global ESG initiative in the asset management industry to date. We analyze what happens after active US mutual funds sign the PRI, to assess whether they exhibit ESG implem
Publikováno v:
SSRN Electronic Journal.
We modify Morris and Shin (2002) to develop a structural model of analyst earnings forecasts. The model allows for analysts to herd due to informational effects and non-informational incentives. The benefits of our model are twofold: (1) we can decom
Autor:
Georgios Skoulakis, Soohun Kim
Publikováno v:
Journal of Econometrics. 204:159-188
We propose a modification of the two-pass cross-sectional regression approach for estimating ex-post risk premia in linear asset pricing models, suitable for the case of large cross sections and short time series. Employing the regression-calibration
Publikováno v:
SSRN Electronic Journal.
We exploit heterogeneity in decreasing returns to scale parameters across funds to analyze their effects on capital allocation decisions in the mutual fund market. We find strong evidence that steeper decreasing returns to scale attenuate flow sensit
Publikováno v:
Journal of Financial Markets. 51:100547
We propose a model in which hedge funds can initiate a sequence of arbitrage opportunities and a potential market crash without any exogenous shock. When hedge fund managers share a concern about a rare event, not necessarily affecting the fundamenta