Sungjune Pyun

National University of Singapore (NUS) - Department of Finance

Assistant Professor

Mochtar Riady Building

15 Kent Ridge Drive

Singapore, 119245

Singapore

National University of Singapore (NUS) - Risk Management Institute

21 Heng Mui Keng Terrace

Level 4

Singapore, 119613

Singapore

SCHOLARLY PAPERS

3

DOWNLOADS

474

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Variance Risk in Aggregate Stock Returns and Time-Varying Return Predictability

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 23 Aug 2016 Last Revised: 10 Mar 2019
Sungjune Pyun
National University of Singapore (NUS) - Department of Finance
Downloads 359 (119,594)
Citation 4

Abstract:

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Variance Risk Premium, Leverage Effect, Volatility Feedback, Predictability, Beta Representation

2.

Return Extrapolation and Day/Night Effects

Number of pages: 57 Posted: 09 Aug 2022
Christopher S. Jones, Sungjune Pyun and Tong Wang
University of Southern California - Marshall School of Business - Finance and Business Economics Department, National University of Singapore (NUS) - Department of Finance and University of Oklahoma, Price College of Business
Downloads 115 (337,026)

Abstract:

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extrapolation, overnight returns

3.

Variance Risk Premium in Individual Stocks: Aggregating Factor Variance Risk

Posted: 23 Aug 2016 Last Revised: 04 Aug 2022
Sungjune Pyun
National University of Singapore (NUS) - Department of Finance

Abstract:

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Variance Risk Premium, Beta Representation