Anam-Dong, Seongbuk-Gu
Seoul 136-701, 136701
Korea
Korea University Business School
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Accruals quality, Low-priced stocks, Risk factor models, Macroeconomic conditions, Business cycle
January effect, Earnings forecast errors, Empirical asset pricing models, Residual returns
Investor sentiment, Return predictability, Internet posting messages, Text classification, Volatility, Trading volume
Time-series forecast dispersion; Cross-sectional forecast dispersion; Analysts' earnings forecasts; Systematic risk components; Idiosyncratic volatility; Macroeconomic conditions
post-earnings-announcement drift, risk factors, unexpected earnings surprise, abnormal stock returns
Momentum, Time-varying expected returns, Markov switching regression model, Business cycle, Procyclicality, Growth options
Investor sentiment; Anomalies; Risk factors; Macroeconomic variables; Sentiment-related overpricing
Pricing performance, Asset pricing models, CAPM, APT, Consumption-based CAPM, Intertemporal CAPM, Korean stock markets
Future labor income growth, Fama-French factors, Economic tracking portfolio, Intertemporal CAPM
Financial distress puzzle, Short sale constraints, Degree of mispricing, Asymmetric pricing effect, Benchmark-adjusted returns
Financial Distress Puzzle, Short Sale Constraints, Degree of Mispricing, Asymmetric Pricing Effect, Benchmark-Adjusted Returns
Post-earnings-announcement drift, Expected growth risk, Expected real GDP growth, Limits-to-arbitrage, Pricing errors
Investor sentiment, Anomalies, Risk factors, Macroeconomic variables, Sentiment-related overpricing
Distress Pricing Puzzle, Financial Firms, Bank Stock Returns, Short Sale Constraints, Abnormal Returns
Bank funding structure, Core funding, Bank lending, Relationship banking, Liquidity shock
Initial Public Offering (IPO), Underwriting Spread, Under-Pricing, Costs of Issuing Equities and Debts
Option-implied return, Option-implied beta, Risk-adjusted option pricing model, Cross-section of expected returns, Macroeconomic condition
Nonstationarity, Regression Parameters, Change-Point, Highest Posterior Density Credible Set, P-Value
Structural Change; GARCH; Persistence In Volatility; Daily Stock Returns
Joint-Venture, Corporate Entrepreneurship, Abnormal Stock Returns, Valuation
G12
Margin Requirements, Futures Markets, Volatility, Causal Effect
Nonstationarity, Stock Returns, Structural Shift Points, Bayesian Test
Initial public offering (IPO), Underwriting spread, Under-pricing, Issuing costs,
