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Liquidity risk and expected stock returns in Korea : a new approach

Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Asia-Pacific journal of financial studies 41 (2012) 6, pp. 704-738

Persistent link: https://www.econbiz.de/10009705219

Retail investors and the idiosyncratic volatility puzzle : evidence from the Korean stock market

Kang, Jangkoo; Lee, Eunmee; Sim, Myounghwa - In: Asia-Pacific journal of financial studies 43 (2014) 2, pp. 183-222

Persistent link: https://www.econbiz.de/10010408036

Information effects of trade size and trade direction : evidence from the KOSPI 200 index options market

Ahn, Hee-joon; Kang, Jangkoo; Ryu, Doojin - In: Asia-Pacific journal of financial studies 39 (2010) 3, pp. 301-339

Persistent link: https://www.econbiz.de/10009230522

Common deviation and regime-dependent dynamics in the index derivatives markets

Lee, Jaeram; Kang, Jangkoo; Ryu, Doojin - In: Pacific-Basin finance journal 33 (2015), pp. 1-22

Persistent link: https://www.econbiz.de/10011474037

Foreign investors and the delay of information dissemination in the Korean stock market

Kang, Jangkoo; Kwon, Kyungyoon; Park, Hyoung-jin - In: Pacific-Basin finance journal 38 (2016), pp. 1-16

Persistent link: https://www.econbiz.de/10011669045

PIN, Adjusted PIN, and PSOS : difference of opinion in the Korean stock market

Eom, Kyong Shik; Kang, Jangkoo; Kwon, Kyungyoon - In: Asia-Pacific journal of financial studies 46 (2017) 3, pp. 463-490

Persistent link: https://www.econbiz.de/10011736131

Which traders contribute most to price discovery? : evidence from the KOSPI 200 options market

Kang, Hankil; Kang, Jangkoo; Lee, Soonhee - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2335-2347

Persistent link: https://www.econbiz.de/10011672513

Probability of Price Crashes, Rational Speculative Bubbles, and the Cross-Section of Stock Returns

Jang, Jeewon - 2018

We estimate an ex ante probability of extreme negative returns (crashes) of individual stocks as a measure of potential overpricing and find that stocks with a high probability of crashes earn abnormally low returns. Stocks with high crash probability are overpriced regardless of the level of...

Persistent link: https://www.econbiz.de/10012931108

PIN, Adjusted PIN, and PSOS : Difference of Opinion in the Korean Stock Market

Eom, Kyong Shik - 2017

Duarte and Young (2009) decompose PIN into adjusted PIN (AdjPIN) and probability of trading caused by symmetric order flow shocks (PSOS). We explore sources of PSOS in the Korean stock market and examine the relation between PSOS and stock returns. Using transaction data with trader types and...

Persistent link: https://www.econbiz.de/10012970044

Do actively managed mutual funds exploit stock market mispricing?

Lee, Jaeram; Jeon, Hyunglae; Kang, Jangkoo; Lee, Changjun - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012632198