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This paper creates monthly investor sentiment indices for Korea and provides evidence that these indices have the power to predict the subsequent 6‐month buy‐and‐hold returns. In addition, the paper shows that investor sentiment positively affects market response to stock split announcements by...
The paper addresses the influence on asset prices of agents’ disagreement regarding asset volatility. Using a stochastic volatility model and assuming that the market is complete, a state‐price density incorporating heterogeneous beliefs in volatility is derived and used to compute asset prices....
This paper examines the relation between dividend yields and stock returns in the Korean market, and provides some valuable implications in light of certain institutional features of the Korean market that differ from those in the USA and other countries. For five portfolios ranked by the...
Using data drawn from the Korea Exchange, the present paper examines the bidding firm’s stock price reaction to the announcement of a merger bid. The results indicate that bidders gain more from mergers involving private targets than from those involving public targets. In particular, bidders...
This paper examines the theoretical restrictions on alternative term structure models in assessing sovereign borrowing strategies. Our approach draws upon Hahm & Kim’s (2003) cost–risk analytic model of sovereign debt management within a mean–variance framework. To explore the effects of...
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