Purpose: This study tries to identify the impact of the COVID-19 pandemic on the similarity of banks' loan portfolios. Design/methodology/approach: Using the entire firm-level bank loan data from 2009 to 2020 in the Korean market, this study analyzes the cosine similarity in terms of credit...

In this study, we investigate what drives the MAX effect in the South Korean stock market. We find that the MAX effect is significant only for overpriced stocks categorized by the composite mispricing index. Our results suggest that investors' demand for the lottery and the arbitrage risk effect...

We examine the time variations of expected momentum profits using a two-state Markov switching model with time-varying transition probabilities to evaluate the empirical relevance of recent rational theories of momentum profits. We find that in the expansion state the expected returns of winner...