Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Deok Hyeon Lee"'
Publikováno v:
Journal of Empirical Finance. 50:43-56
We examine whether ambiguity is priced in the cross-section of expected stock returns. Using the cross-sectional dispersion in real-time forecasts of real GDP growth as a measure for ambiguity, we find that high ambiguity beta stocks earn lower futur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e008df0eedd972511755637ce938a9c4
https://doi.org/10.1016/j.jempfin.2019.01.001
https://doi.org/10.1016/j.jempfin.2019.01.001
Publikováno v:
SSRN Electronic Journal.
To explain post-earnings-announcement drift (PEAD), we suggest expected growth risk, which is measured as covariance between stock returns and expected future real GDP growth rates. We find that both expected growth rates and expected growth risk inc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e7af55e0b1fb545ab68d128d445be5d9
https://doi.org/10.2139/ssrn.3519702
https://doi.org/10.2139/ssrn.3519702
Publikováno v:
Pacific-Basin Finance Journal. 64:101440
We examine whether seasonal variations in investor mood are associated with return seasonalities in U.S. and Australian equity markets. We first replicate the main results of Hirshleifer et al. (2020) for the U.S. market that stock returns' relative
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b176fbe62eec215a45835e21789615a2
https://doi.org/10.1016/j.pacfin.2020.101440
https://doi.org/10.1016/j.pacfin.2020.101440
Publikováno v:
SSRN Electronic Journal.
Stocks with high trading volume outperform otherwise stocks for one week, but subsequently underperform at the longer horizon. We show that such time-varying predictability of trading volume is attributed to abnormal trading activity, which is not ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::73aae09688e46d0c102010261bf7ee13
https://doi.org/10.2139/ssrn.2812010
https://doi.org/10.2139/ssrn.2812010
Autor:
Tong Suk Kim, Deok Hyeon Lee
Publikováno v:
SSRN Electronic Journal.
We find that disagreement helps explain well-known ten cross-sectional financial anomalies. Specifically, we first show that the underperformance of short legs of the anomalies is most pronounced among high disagreement stocks. This results in strong
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f2e43326a2d4a850be3634722a2e5c3e
https://doi.org/10.2139/ssrn.2812408
https://doi.org/10.2139/ssrn.2812408
Autor:
Deok Hyeon Lee, Tong Suk Kim
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0c06ad0e031147cf60e2020e13358518
https://doi.org/10.2139/ssrn.2360906
https://doi.org/10.2139/ssrn.2360906