This paper examines the time variations of expected momentum profits using a two-state Markov switching model with time-varying transition probabilities to evaluate the empirical relevance of recent rational theories of momentum profits. We find that in the expansion state the expected returns...

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 re-evaluate the cross-sectional asset pricing implications of the recursive utility function of Epstein and Zin (1989, 1991), using innovations in future consumption growth in our tests. Our empirical specification helps explain the size, value and momentum effects. Specifically, we find that...

This paper examines the relative risk of good-news firms, i.e., those with high standardized unexpected earnings (SUE), and bad-news (low SUE) firms using a stochastic discount factor approach. We find that a stochastic discount factor constructed from a set of basis assets helps explain...

This paper examines the equilibrium relation between future labor income growth and expected asset returns; it proposes revisions in the expectation of future labor income growth as a macroeconomic state variable and suggests a three-factor model, including a factor related to this variable,...

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...

The role of ICT in the economic growth in Korea is a great attraction to the telecommunication society interested in the relationship among ICT, innovation policy and economic growth. However, prior research concentrates on investigating the effect of policy on innovation and economic growth,...

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...

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...