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Bullish/bearish/neutral strategies under short sale restrictions

Bae, Kwangil; Kang, Jangkoo; Lee, Soonhee - In: Journal of banking & finance 71 (2016), pp. 227-239

Persistent link: https://www.econbiz.de/10011635429

Does short sale restriction lower price efficiency when substitutes exist? : evidence from the Korean market

Lee, Soonhee - In: Economics letters 158 (2017), pp. 77-79

Persistent link: https://www.econbiz.de/10011849812

Comment on "skewness-aware asset allocation"

Bae, Kwangil - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 403-410

Persistent link: https://www.econbiz.de/10010357368

Geometric and arithmetic realized comoments

Bae, Kwangil - In: Journal of derivatives and quantitative studies : … 30 (2022) 2, pp. 89-113

The author investigates realized comoments that overcome the drawback of conventional ones and derive the following findings. First, the author proves that (even generalized) geometric implied lower-order comoments yield neither geometric realized third comoment nor fourth moment. This is in...

Persistent link: https://www.econbiz.de/10013202389

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

Can fat-tail create the momentum and reversal?

Bae, Kwangil; Kang, Hankil; Kang, Jangkoo - In: Applied economics 52 (2020) 44, pp. 4850-4863

Persistent link: https://www.econbiz.de/10012306509