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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

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

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

The performance distribution and managerial skill of passive funds : evidence from the Korean market

Lee, Jaeram; Lee, Changjun - In: Journal of derivatives and quantitative studies : … 31 (2023) 4, pp. 328-346

This study investigates the performance distribution of passive funds in the Korean market and compares it with the performance distribution of active funds. The key findings are as follows, first, the performance distribution of passive funds has a thicker tail compared to that of active funds....

Persistent link: https://www.econbiz.de/10014429318

Do the production-based factors capture the time-varying patterns in stock returns?

Kang, Hankil; Kang, Jangkoo; Lee, Changjun - In: Emerging markets review 15 (2013), pp. 122-135

Persistent link: https://www.econbiz.de/10009748614

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

A decomposition of Korean sovereign bond yields : joint estimation using sovereign CDS and bond data

Kim, Jungmu; Lee, Changjun - In: Asia-Pacific journal of financial studies 43 (2014) 6, pp. 918-947

Persistent link: https://www.econbiz.de/10010476859

Precision about manager skill, mutual fund flows, and performance persistence

Jeon, Hyunglae; Kang, Jangkoo; Lee, Changjun - In: The North American journal of economics and finance : a … 40 (2017), pp. 222-237

Persistent link: https://www.econbiz.de/10011878820

State-dependent variations in the expected illiquidity premium

Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Review of finance : journal of the European Finance … 21 (2017) 6, pp. 2277-2314

Persistent link: https://www.econbiz.de/10011804715

Equity fund performance persistence with investment style : evidence from Korea

Kang, Jangkoo; Lee, Changjun; Lee, Doowon - In: Emerging markets finance & trade : a journal of the … 47 (2011) 3, pp. 111-135

Persistent link: https://www.econbiz.de/10009313722