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ArticleAnomalies and market (dis)integration

Jaewon Choi2018

OA

Articlegreen2018

Anomalies and market (dis)integration

Jaewon Choi · Yong-Jun Kim

137 citations·0/0 files stored·Journal of Monetary Economics

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2002Illiquidity and stock returns: cross-section and time-series effects 2014A five-factor asset pricing model 1976The arbitrage theory of capital asset pricing

Cited by

2020The Macroeconomic Uncertainty Premium in the Corporate Bond Market 2015Non-Financial Firms as Cross-Market Arbitrageurs 2024Duration-Based Valuation of Corporate Bonds 2019Implied Volatility Changes and Corporate Bond Returns 2021Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence 2019Extending Fama–French Factors to Corporate Bond Markets

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Details

Year2018

Typearticle

Published2018-06-15

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations137

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jmoneco.2018.06.003

openalex_workW2884597590

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2017The Bond Pricing Implications of Rating-Based Capital Requirements

2019Risk and Return in International Corporate Bond Markets