Seoul
Korea, Republic of (South Korea)
Hanyang University
Asset pricing, Macroeconomic variable, Stock return predictability, Consumption capital asset pricing model, Value premium
Asset pricing, macroeconomic variable, stock return predictability, consumption capital asset pricing model, value premium
Momentum, Time-varying expected returns, Markov switching regression model, Business cycle, Procyclicality, Growth options
Asset pricing; Consumption-based asset pricing model; Macro asset pricing models; Leisure; Wage growth; Cross-section of stock returns; Stock market anomalies
Future labor income growth, Fama-French factors, Economic tracking portfolio, Intertemporal CAPM
Dispersion Anomaly, Profitability, Disclosure Quality
Post-earnings-announcement drift, Expected growth risk, Expected real GDP growth, Limits-to-arbitrage, Pricing errors
Ambiguity, Dispersion of Beliefs, Stock Returns
Momentum; Economic state; Expected market risk premium
Consumption-based asset pricing model, Consumption growth predictability, Recursive preference, Value premium, Long-term return reversal
Size effect, Business cycle duration
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