We test the price momentum effect in the Korean stock markets under the momentum universe shrinkage to subuniverses of the KOSPI 200. Performance of the momentum strategy is not homogeneous with respect to change of the momentum universe. It is found that some submarkets generate the higher...

We analyze a proprietary dataset of trades by a single asset manager, comparing their price impact with that of the trades of the rest of the market. In the context of a linear propagator model we find no significant difference between the two, suggesting that both the magnitude and time...

We examine how a student’s major and the institution attended contribute to the labor market outcomes of young graduates. Administrative panel data that combine student transcripts with matched employer-employee records allow us to provide the first decomposition of premia into individual...