We develop a conditional version of the consumption capital asset pricing model (CCAPM) using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a...

We develop a conditional version of the consumption CAPM using the conditioning variable derived from the cointegrated relationship among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a strong power to predict...

We develop a conditional version of the consumption CAPM using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a strong power to predict market...

As a summarization of previously suggested production-based approaches, Chen et al. (2010) propose two production-based factors. We examine whether the proposed factors explain the time-varying patterns in stock returns, captured by the common conditioning variables. With a variety of test...

We develop a conditional version of the consumption capital asset pricing model (CCAPM) using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a...

Using a comprehensive database on equity funds in Korea, we investigate the performance and performance persistence with investment style employing the Fama and French three-factor model and the Carhart four-factor model. The paper finds that most investment styles in Korea noticeably outperform...

This paper aims to study the origin of the role of diversity in the new ICT ecosystem, and show how the gigantic platform influences on the level of diversity of content. Using genetic algorithm, it makes possible to reflect the new ICT ecosystem and experiment how the system is changing content...

Most previous studies examine the relationship between stock market returns and volatility using low frequency data such as daily or weekly basis. In this study, using the high frequency intraday data, we expand the scope of prior studies to investigate the relationship of short-term changes of...