This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference...

Given the importance of style allocation strategy under the outsourced chief investment officer (OCIO) structure, the authors examine the validity of style allocation strategies in the Korean stock market. The authors find that external investment agencies can improve performance by using newly...

This paper suggests that firms’ intrafirm inventor network integration (IINI) can affect their future stock returns through mispricing and key talent risk channels. We show the positive relation between IINI and future stock returns, which is not captured by the prevalent asset pricing...