In financial market, one of complex systems, there is highly nonlinear interaction between heterogeneous traders. Due to this nonlinear interaction, emergent behavior, which is so called ‘stylized facts' occurs in financial market. To understand impact of interaction between heterogeneous...

This study examined the predictive power of performance persistence from the perspective of prospect theory using 12 months of return distributions. Performance persistence stems from unique information that differs from momentum, disposition effect, and firm-specific variables related to the...

This paper reviews studies related to factors and anomalies in empirical asset pricing. The contents are presented in three main parts. First, in international studies, model structures, factors, and the factor generation processes of major empirical pricing models are introduced, and results...