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Macroeconomic risk and the cross-section of stock returns

Kang, Jangkoo; Kim, Tong Suk; Lee, Changjun; Min, Byoung-Kyu - In: Journal of banking & finance 35 (2011) 12, pp. 3158-3173

Persistent link: https://www.econbiz.de/10009383527

A bias in Jensen’s alpha when returns are serially correlated

Kang, Jangkoo; Lee, Soonhee - In: Theoretical economics letters 3 (2013) 3, pp. 188-190

Persistent link: https://www.econbiz.de/10010239686

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

State-dependent illiquidity premium in the Korean stock market

Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Emerging markets finance & trade : a journal of the … 51 (2015) 2, pp. 400-417

Persistent link: https://www.econbiz.de/10011391814

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

Liquidity skewness premium

Jeong, Giho; Kang, Jangkoo; Kwon, Kyungyoon - In: The North American journal of economics and finance : a … 46 (2018), pp. 130-150

Persistent link: https://www.econbiz.de/10012036613

An intertemporal CAPM with higher-order moments

Jang, Jeewon; Kang, Jangkoo - In: The North American journal of economics and finance : a … 42 (2017), pp. 314-337

Persistent link: https://www.econbiz.de/10011938131

Ultimate consumption risk and investment-based stock returns

Kang, Hankil; Kang, Jangkoo; Lee, Changjun - In: The North American journal of economics and finance : a … 42 (2017), pp. 473-486

Persistent link: https://www.econbiz.de/10011938181

Asset pricing implications of firms' profit sharing

Bae, Jaewan; Kang, Jangkoo - In: Pacific-Basin finance journal 84 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014534529