Byoung-Kyu Min

Hanyang University

Seoul

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

11

DOWNLOADS

1,242

SSRN CITATIONS

6

CROSSREF CITATIONS

4

Scholarly Papers (11)

Macroeconomic Risk and the Cross-Section of Stock Returns

Journal of Banking and Finance, Vol. 35, No. 12, 2011
Number of pages: 54 Posted: 18 Feb 2009 Last Revised: 21 Sep 2014
Jangkoo Kang, Tong Suk Kim, ChangJun Lee and Byoung-Kyu Min
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST), KAIST Business School and Hanyang University
Downloads 346 (106,502)

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Asset pricing, Macroeconomic variable, Stock return predictability, Consumption capital asset pricing model, Value premium

Macroeconomic Risk and the Cross-Section of Stock Returns

KAIST College of Business Working Paper Series No. 2009-003
Number of pages: 57 Posted: 23 Apr 2009
Jangkoo Kang, Tong Suk Kim, ChangJun Lee and Byoung-Kyu Min
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST), KAIST Business School and Hanyang University
Downloads 181 (204,029)
Citation 1

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Asset pricing, macroeconomic variable, stock return predictability, consumption capital asset pricing model, value premium

Macroeconomic Risk and the Cross-Section of Stock Returns

Number of pages: 53 Posted: 19 Mar 2009 Last Revised: 23 Mar 2009
Tong Suk Kim, Jangkoo Kang, Byoung-Kyu Min and ChangJun Lee
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST), Hanyang University and KAIST Business School
Downloads 101 (322,360)

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Asset pricing, Macroeconomic variable, Stock return predictability, Consumption capital asset pricing model, Value premium

2.

Time-Varying Expected Momentum Profits

Journal of Banking and Finance, Vol. 49, 2014
Number of pages: 73 Posted: 05 Oct 2013 Last Revised: 12 Mar 2019
Korea University Business School, Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, Hanyang University and Korea Advanced Institute of Science and Technology (KAIST) - Financial Engineering
Downloads 151 (237,924)
Citation 3

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Momentum, Time-varying expected returns, Markov switching regression model, Business cycle, Procyclicality, Growth options

3.

Wage Growth and Equity Risk Premia

Number of pages: 52 Posted: 17 Dec 2018 Last Revised: 16 Mar 2019
Paulo F. Maio and Byoung-Kyu Min
Hanken School of Economics - Department of Finance and Statistics and Hanyang University
Downloads 94 (335,291)

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Asset pricing, Consumption-based asset pricing model, Leisure, Wage growth, Cross-section of stock returns, Stock market anomalies

4.

Future Labor Income Growth and the Cross Section of Equity Returns

Journal of Banking and Finance, Vol. 35, No. 1, 2011
Number of pages: 49 Posted: 18 Oct 2009 Last Revised: 21 Sep 2014
Byoung-Kyu Min, Tong Suk Kim and Dongcheol Kim
Hanyang University, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Korea University Business School
Downloads 93 (337,562)

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Future labor income growth, Fama-French factors, Economic tracking portfolio, Intertemporal CAPM

5.

What Drives the Dispersion Anomaly?

Number of pages: 53 Posted: 02 Apr 2019
Byoung-Kyu Min, Buhui Qiu and Tai-Yong Roh
Hanyang University, University of Sydney Business School and Liaoning University
Downloads 85 (356,954)
Citation 2

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Dispersion Anomaly, Profitability, Disclosure Quality

6.

Post-Earnings-Announcement Drift: Expected Growth Risk or Limits-to-Arbitrage?

Number of pages: 62 Posted: 07 Feb 2020
Dongcheol Kim, Deok-Hyeon Lee and Byoung-Kyu Min
Korea University Business School, Korea Development Bank and Hanyang University
Downloads 53 (457,375)

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Post-earnings-announcement drift, Expected growth risk, Expected real GDP growth, Limits-to-arbitrage, Pricing errors

7.

Momentum and Downside Risk

Journal of Banking and Finance, Vol. 72, 2016
Number of pages: 50 Posted: 16 Mar 2010 Last Revised: 12 Mar 2019
Byoung-Kyu Min and Tong Suk Kim
Hanyang University and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 44 (494,329)
Citation 1

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Momentum; Economic state; Expected market risk premium

8.

Dispersion of Beliefs, Ambiguity, and the Cross-Section of Stock Returns

Journal of Empirical Finance, Vol. 50, 2019
Number of pages: 42 Posted: 02 Apr 2019
Deok-Hyeon Lee, Byoung-Kyu Min and Tong Suk Kim
Korea Development Bank, Hanyang University and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 43 (498,759)

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Ambiguity, Dispersion of Beliefs, Stock Returns

9.

Consumption Growth Predictability and Asset Prices

Journal of Empirical Finance, Vol. 51, 2019
Number of pages: 66 Posted: 02 Apr 2019
Tai-Yong Roh, Changjun Lee and Byoung-Kyu Min
Liaoning University, Hankuk University of Foreign Studies and Hanyang University
Downloads 28 (575,758)

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Consumption-based asset pricing model, Consumption growth predictability, Recursive preference, Value premium, Long-term return reversal

10.

Why Has the Size Effect Disappeared?

Journal of Banking and Finance, Forthcoming
Number of pages: 62 Posted: 01 Oct 2015 Last Revised: 12 Mar 2019
Dong-Hyun Ahn, Byoung-Kyu Min and Bohyun Yoon
Seoul National University - School of Economics, Hanyang University and Kangwon National University
Downloads 21 (621,551)
Citation 2

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Size effect, Business cycle duration

11.

Dispersion in Analysts’ Earnings Forecasts and Market Efficiency

International Review of Finance, Vol. 20, Issue 1, pp. 247-260, 2020
Number of pages: 14 Posted: 13 Mar 2020 Last Revised: 17 May 2020
Tong Suk Kim, Ki‐Deok Kim and Byoung-Kyu Min
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Samsung Investment Trust Management - Samsung Asset Management and Hanyang University
Downloads 2 (766,489)
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