Sungjun Cho

Manchester Business School

Assistant Professor in Finance

Crawford House

Oxford Road

Manchester M13 9PL

United Kingdom

SCHOLARLY PAPERS

6

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595

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Scholarly Papers (6)

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 215 (139,293)

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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 105 (253,518)

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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 30 (470,697)

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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 104 (253,656)

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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 91 (276,902)

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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 50 (381,271)

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

6.

The Yen Risk Premium: A Story of Regime Shifts in Bond Markets

Posted: 01 Nov 2018
Sungjun Cho, Stuart Hyde and Liu Liu
Manchester Business School, University of Manchester - Manchester Business School and Goethe University Frankfurt - Research Center SAFE

Abstract:

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Exchange Rates, Term Structure, Regime Switching