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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

Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets

Kim, Sei-Wan; Mollick, André V.; Nam, Kiseok - In: Global Finance Journal 19 (2008) 1, pp. 19-31

Employing annual returns generated from overlapping monthly price indexes for the G-7 stock markets, this paper examines asymmetry and common nonlinearities in long-horizon stock returns. Identifying widespread nonlinearities based on LSTAR or ESTAR models, we find that the asymmetric nonlinear...

Persistent link: https://www.econbiz.de/10005235015

Is asymmetric mean-reverting pattern in stock returns systematic? : Evidence from Pacific-basin markets in the short-horizon

Nam, Kiseok; Pyun, Chong-soo; Kim, Sei-Wan - In: Journal of international financial markets, … 13 (2003) 5, pp. 481-502

Persistent link: https://www.econbiz.de/10001815452

Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon

Nam, Kiseok; Pyun, Chong Soo; Kim, Sei-Wan - In: Journal of international financial markets, … 13 (2003) 5, pp. 481-502

Persistent link: https://www.econbiz.de/10007104982

Revisiting the ICAPM under the distortion of risk-return tradeoff in short-horizon stock returns

Chelikani, Surya; Nam, Kiseok; Wang, Xuewu - In: Review of financial economics : RFE 41 (2023) 2, pp. 109-135

Persistent link: https://www.econbiz.de/10014278645