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Price behavior of small-cap stocks and momentum : a study using principal component momentum

Eom, Cheoljun; Park, Jong Won - In: Research in international business and finance 65 (2023), pp. 1-28

Persistent link: https://www.econbiz.de/10014433669

Limitations of portfolio diversification through fat tails of the return Distributions : some empirical evidence

Eom, Cheoljun; Kaizoji, Taisei; Livan, Giacomo; Scalas, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012821302

Effects of common factors on stock correlation networks and portfolio diversification

Eom, Cheoljun; Park, Jong Won - In: International review of financial analysis 49 (2017), pp. 1-11

Persistent link: https://www.econbiz.de/10011741216

Effects of the fat-tail distribution on the relationship between prospect theory value and expected return

Eom, Cheoljun; Park, Jong Won - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012659131

Lottery mindset, mispricing and idiosyncratic volatility puzzle : evidence from the Chinese stock market

Hoang Van Hai; Park, Jong Won; Tsai, Ping-Chen; Eom, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012665099

Investor attention, firm-specific characteristic, and momentum : a case of the Korean stock market

Eom, Cheoljun; Park, Jong Won - In: Research in international business and finance 57 (2021), pp. 1-26

Persistent link: https://www.econbiz.de/10013332954

Left-tail momentum and tail properties of return distributions : a case of Korea

Eom, Cheoljun; Eom, Yunsung; Park, Jong Won - In: International review of financial analysis 87 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014457498

Short-Term Idiosyncratic Momentum in Cross-Sectional Stock Returns : Empirical Evidence

Eom, Cheoljun - 2023

This study finds short-term idiosyncratic momentum (iMOM) in cross-sectional stock returns. The short-term iMOM utilizes the daily residual returns estimated by pricing models in the previous month. This is different from idiosyncratic volatility (IVOL), which uses the volatility of the same...

Persistent link: https://www.econbiz.de/10014256972