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The asymmetric reverting property of stock returns

Nam, Kiseok - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 6 (2002) 4

Persistent link: https://www.econbiz.de/10009949780

Corporate investment, short-term return reversal, and stock liquidity

Kang, Moonsoo; Khaksari, Shahriar; Nam, Kiseok - In: Journal of financial markets 39 (2018), pp. 68-83

Persistent link: https://www.econbiz.de/10012001883

State-dependent intertemporal risk-return tradeoff : further evidence

Chelikani, Surya; Marks, Joseph M.; Nam, Kiseok - In: Journal of economics and business 130 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10015066062

Volatility feedback effect and risk-return tradeoff

Chelikani, Surya; Marks, Joseph M.; Nam, Kiseok - In: The quarterly review of economics and finance : journal … 92 (2023), pp. 49-65

Persistent link: https://www.econbiz.de/10014490242

Trend in aggregate idiosyncratic volatility

Nam, Kiseok; Khaksari, Shahriar; Kang, Moonsoo - In: Review of financial economics : RFE 35 (2017), pp. 11-28

Persistent link: https://www.econbiz.de/10011959395

Intertemporal risk-return tradeoff in the short-run

Marks, Joseph M.; Nam, Kiseok - In: Economics letters 172 (2018), pp. 81-84

Persistent link: https://www.econbiz.de/10012022059

The intertemporal risk-return relation, investor behavior, and technical trading profits : evidence from the G-7 countries

Kang, Moonsoo; Krausz, Joshua; Nam, Kiseok - In: The European journal of finance 25 (2019) 8, pp. 780-798

Persistent link: https://www.econbiz.de/10012207029

State-dependent volatility feedback effect in the ICAPM

Kilic, Osman; Nam, Kiseok; O'Connor, Matthew L. - In: Finance research letters 59 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014445185

The Asymmetric Reverting Property of Stock Returns

Nam, Kiseok - In: Studies in Nonlinear Dynamics & Econometrics 6 (2003) 4

Using asymmetric nonlinear smooth-transition GARCH(M) models for the period of 1926:01 - 1997:12, this paper shows that monthly excess returns on value-weighted market indexes exhibit a strong asymmetric reverting pattern; a negative return reverts more quickly, with a greater reverting...

Persistent link: https://www.econbiz.de/10014620870

Necessity of negative serial correlation for mean-reversion of stock prices

Choe, Kwang-Il; Nam, Kiseok; Vahid, Farshid - In: The Quarterly Review of Economics and Finance 47 (2007) 4, pp. 576-583

Persistent link: https://www.econbiz.de/10005378569