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On the dynamic relation between returns and idiosyncratic volatility

Jiang, Xiaoquan; Lee, Bong-soo - 2004

Persistent link: https://www.econbiz.de/10002621055

The intertemporal risk-return relation in the stock market

Jiang, Xiaoquan; Lee, Bong-soo - In: The financial review : the official publication of the … 44 (2009) 4, pp. 541-558

Persistent link: https://www.econbiz.de/10003899946

The dynamic relations between market returns and two types of risk with business cycles

Jiang, Xiaoquan; Lee, Bong-soo - In: The financial review : the official publication of the … 49 (2014) 3, pp. 593-618

Persistent link: https://www.econbiz.de/10010401371

The intertemporal risk-return relation : a bivariate model approach

Jiang, Xiaoquan; Lee, Bong-soo - In: Journal of financial markets 18 (2014), pp. 158-181

Persistent link: https://www.econbiz.de/10010442461

Stock returns, dividend yield, and book-to-market ratio

Jiang, Xiaoquan; Lee, Bong-soo - In: Journal of banking & finance 31 (2007) 2, pp. 455-475

Persistent link: https://www.econbiz.de/10003421288

Long-term evidence on the effect of aggregate earnings on prices

Chen, Yunhao; Jiang, Xiaoquan; Lee, Bong-soo - In: Financial management 44 (2015) 2, pp. 323-351

Persistent link: https://www.econbiz.de/10011372613

Do Decomposed Financial Ratios Predict Stock Returns and Fundamentals Better?

Jiang, Xiaoquan - 2010

We investigate the prediction of excess returns and fundamentals by financial ratios – dividend-price ratio, earnings-price ratio, and book-to-market ratio – by decomposing financial ratios into a cyclical component and a stochastic trend component. We find both components predict excess...

Persistent link: https://www.econbiz.de/10013149104

Is mispricing in asset prices due to the inflation illusion?

Lee, Bong-soo - In: Han gug gae bal yeon gu 36 (2014) 3, pp. 25-60

Persistent link: https://www.econbiz.de/10010415767

Stock returns and inflation revisited : an evaluation of the inflation illusion hypothesis

Lee, Bong-soo - In: Journal of banking & finance 34 (2010) 6, pp. 1257-1273

Persistent link: https://www.econbiz.de/10003978376

Permanent, temporary, and non-fundamental components of stock prices

Lee, Bong-soo - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10001243210