WebAug 1, 2016 · Bumjean Sohn is grateful for supports from the Asian Institute of Corporate Governance (AICG) and the Institute for Business Research and Education (IBRE). All … WebMay 1, 2002 · This paper examines whether the historically high returns associated with the size effect, the book-to-market effect, and the momentum effect can be explained within an asset pricing framework suggested by Merton's (1973) Intertemporal Capital Asset Pricing Model. Controlling for the market, an asset may earn a risk premium if it performs poorly …
Stock Market Volatility and Macroeconomic Fundamentals
WebFeb 11, 2024 · R. Engle, Eric Ghysels, Bumjean Sohn; Economics. Review of Economics and Statistics. 2013; Abstract We revisit the relation between stock market volatility and macroeconomic activity using a new class of component models that distinguish short-run from long-run movements. We formulate … Expand. 608. PDF. WebBumjean Sohn Associate Professor of Finance, Korea University Verified email at korea.ac.kr. ... RF Engle, E Ghysels, B Sohn. Review of Economics and Statistics 95 (3), 776-797, 2013. 871: 2013: The MIDAS touch: Mixed data sampling regression models. E Ghysels, P Santa-Clara, R Valkanov. 837: thor sailed the pacific on his raft kon-tiki
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WebMar 4, 2024 · ABSTRACT This article investigates the forecasting power of economic variables for the Chinese stock market volatility. We find that several economic variables strongly forecast the future monthly volatilities for the aggregate Chinese stock market and a number of industry portfolios. The forecasting power of economic variables remains … WebB.J. Cunningham. Bryan Cunningham, Jr. [1] (born May 29, 1989) is a Canadian football wide receiver who is currently a free agent. He was most recently a member of the … Web@ARTICLE{Engle13stockmarket, author = {Robert F. Engle and Eric Ghysels and Bumjean Sohn}, title = {Stock market volatility and macroeconomic fundamentals}, journal = … uncle henry schrade knife 167