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The volatility index and style rotation: Evidence from the Korean stock market and VKOSPI
16 references·1 citing·36 second hop
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
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  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1993The journal of financial economics2,544 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models1,121 cited
  • 1960The financial analysts journal1,043 cited
  • 1994A Review of Financial Studies (1)885 cited
  • 1980On Estimating the Expected Return on the Market: An Exploratory Investigation755 cited
  • 2005Is value riskier than growth?

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690 cited
  • 2000Firm Size and Cyclical Variations in Stock Returns656 cited
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    • 2015Market overreaction and investment strategies23 cited