In this paper, the revised expectations model (REM) is developed to incorporate economic agents' price expectation formation effects. With this incorporation, two models, an aggregate one sector model and a disaggregated multi-sector model, are estimated and used in density forecasting of the US...

The paper proposes a consistent estimator of time-varying risk aversion in consumption-based CAPM. Based on the Epstein–Zin–Weil (Epstein and Zin, 1989, 1991; Weil, 1989) recursive utility, we derive the Euler equation in which risk aversion is a non-parametric function of time. The proxy...

Purpose: This study aims to explore how and what type of team diversity is related to team creativity in R&D organizations, incorporating conflict as a mediator and transformational leadership as a moderator. Design/methodology/approach: Survey questionnaires were used to collect data from 24...

This paper explores a transmission mechanism of an exogenous shock to domestic financial markets by investigating the potential signaling role of the Monetary Stabilization Bond (MSB) spread together with several financial variables in Korea. The MSB spread widened and became more volatile...

Korean Abstract: 이 연구는 유가가 미국 물가연동국채의 손익분기인플레이션(BEI)에 미치는 영향을 실증적으로 분석하였다. 추정결과 유가의 변동이 2년·5년· 10년 BEI에 통계적으로 유의한 영향을 미치는 것으로 나타났으며,...

Heterogeneous patterns of the diversification effects are identified across the full distributions of various risk-adjusted performance measures and over time using a quantile regression of U.S. bank holding company data for the period 2000-2010. The net effect of income diversification is...

The usual cross-sectional tests of asset pricing models suffer from lack of power because they do not impose the null hypothesis of zero pricing errors on a full set of test assets. This paper proposes a simple remedy using full-rank maximum correlation portfolios obtained by adding extra return...

A number of recent papers have developed multifactor extensions of the classic consumption capital asset pricing model (CCAPM) and generally concluded that conditioning information improves the empirical performance. However, the empirical work to date has primarily employed cross-sectional...

This paper explores a transmission mechanism of an exogenous shock to domestic financial markets by investigating the potential signaling role of the Monetary Stabilization Bond (MSB) spread together with several financial variables in Korea. The MSB spread widened and became more volatile...