Changjun Lee

Hankuk University of Foreign Studies

270 Imun-dong Dongdaemun-gu

Seoul, 130-791

Korea, Republic of (South Korea)

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Scholarly Papers (1)

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Consumption Growth Predictability and Asset Prices

Journal of Empirical Finance, Vol. 51, 2019
Number of pages: 66 Posted: 02 Apr 2019
Tai-Yong Roh, Changjun Lee and Byoung-Kyu Min
Liaoning University, Hankuk University of Foreign Studies and Hanyang University
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Abstract:

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Consumption-based asset pricing model, Consumption growth predictability, Recursive preference, Value premium, Long-term return reversal