This paper evaluates and compares asset pricing models in the Korean stock market. The asset pricing models considered are the CAPM, APT-motivated models, the Consumption-based CAPM, Intertemporal CAPM-motivated models, and the Jagannathan and Wang conditional CAPM model. By using various test...

This paper provides a Bayesian test of parameter nonstationarity and an estimation procedure for the detection of change points in the time series of stock returns. The empirical results indicate that this procedure can identify the change points in the data without prior knowledge and provide...

Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. This paper documents that stocks far from peaks outperform stocks near peaks, and momentum crashes are attributable to such outperformance. Market rebounds triggers increase in...