This paper explores the implications of consumption heterogeneity between domestic and foreign investors on the cross-section of stock returns in a host country. We argue that foreign investors in a small open economy integrated into global financial markets may face consumption risk, which...

This paper investigates the structural relationships between monetary policy and stockreturns. We build an asset pricing model incorporating a standard Taylor rule into aconsumption-CAPM framework. Our model quantitatively explains the negative riskpremium of expansionary monetary policy. As...

This paper examines the dynamic response of the global five Fama-French factors and momentum factor to three types of shocks from the US: growth, monetary policy, and risk premium shocks. The results show that although the market portfolio and small-minus-big style respond positively to good...

This paper investigates the structural relationships between monetary policy and stockreturns. We build an asset pricing model incorporating a standard monetary policy ruleinto a consumption-CAPM framework. Our model quantitatively explains the negativerisk premium of expansionary monetary...

As inflation spreads across a wide range of sectors, it seems quite difficult to mitigate the current inflationary pressure. Accordingly, Bank of Korea is expected to respond more strongly to inflation, leading to growing interest in the impacts on the stock market. Against this backdrop, this...

As the US has entered a rate hike cycle, there are growing concerns about the path of the Fed fund’s rate and its implications. Against this backdrop, this article analyzes the direction of US monetary policy and its risks, and explores how it would affect Korea’s financial market,...