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Consumption growth predictability and asset prices

Roh, Tai-Yong; Lee, Changjun; Min, Byoung-Kyu - In: Journal of empirical finance 51 (2019), pp. 95-118

Persistent link: https://www.econbiz.de/10012169973

Consumption Growth Predictability and Asset Prices

Roh, Tai-Yong - 2019

We derive and test a consumption-based intertemporal asset pricing model in which an asset earns a risk premium if it performs poorly when expected future consumption growth deteriorates. The predictability of consumption growth combined with the recursive preference delivers news about future...

Persistent link: https://www.econbiz.de/10012890950

Idiosyncratic volatility, turnover and the cross-section of stock returns : evidence from the Korean stock market

Kim, Jungmu; Lee, Changjun; Lee, Woo-Hyuk; Ok, Youngkyung; … - In: International journal of emerging markets 18 (2023) 12, pp. 6192-6213

Persistent link: https://www.econbiz.de/10014463100

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

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

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

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