Sungjun Cho

Manchester Business School

Assistant Professor in Finance

Crawford House

Oxford Road

Manchester M13 9PL

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

554

CITATIONS

0

Scholarly Papers (5)

1.

New Return Anomalies and New-Keynesian ICAPM

Number of pages: 69 Posted: 12 Feb 2009 Last Revised: 15 Oct 2013
Sungjun Cho
Manchester Business School
Downloads 208 (113,657)

Abstract:

New-Keynesian ICAPM, Return Anomalies, Capital Market Imperfections, Misspecification-Robust Inference

What Drives Stochastic Risk Aversion?

Number of pages: 53 Posted: 13 Feb 2009 Last Revised: 23 Apr 2011
Sungjun Cho
Manchester Business School
Downloads 103 (209,146)

Abstract:

Time-varying Relative Risk Aversion; ICAPM; Nonlinear State-Space Model with GARCH

What Drives Stochastic Risk Aversion

Manchester Business School Working Paper No. 585
Number of pages: 54 Posted: 11 Dec 2009
Sungjun Cho
Manchester Business School
Downloads 29 (393,109)

Abstract:

Time-varying Relative Risk Aversion, Hedging Components, Return Predictability, the Value Premium; Nonlinear State-Space Model with GARCH

3.

The Cross-Section of Stock Returns and Monetary Policy

Number of pages: 41 Posted: 16 Jan 2012 Last Revised: 13 May 2012
Sungjun Cho
Manchester Business School
Downloads 77 (224,449)

Abstract:

Monetary Policy, Capital Market Imperfections, the Size and Value Premium, Momentum Premium, Misspecification-Robust Inference

4.

The Size Premium: What Role Does Macroeconomic Risk Play?

Number of pages: 39 Posted: 08 Dec 2011 Last Revised: 15 Oct 2013
Sungjun Cho
Manchester Business School
Downloads 56 (258,421)

Abstract:

The Size Premium, Volatility Regime Switching, Capital Market Imperfections

5.

The Time-Varying Risk Return Tradeoff in the Long-Run

Number of pages: 32 Posted: 08 Dec 2011 Last Revised: 15 Oct 2013
Sungjun Cho
Manchester Business School
Downloads 41 (327,461)

Abstract:

Time-varying Risk-Return Tradeoff and Hedging Coefficient, ICAPM