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Monetary policy effects on equity returns : application of SVAR identified with high-frequency external instrument

Jang, Woon Wook - In: Journal of derivatives and quantitative studies 29 (2021) 4, pp. 319-331

The purpose of this study is to examine the effects of monetary policy on equity returns by applying an alternative econometric approach. Campbell and Ammer (1993) decomposed unexpected equity excess returns into three news components: risk premium news, real interest rate news and cash-flow...

Persistent link: https://www.econbiz.de/10012658788

Risk aversion, uncertainty, and monetary policy : structural vector autoregressions identified with high-frequency external instruments

Jang, Woon Wook - In: Economics letters 186 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012504117

Who overreacts to overnight news? : empirical evidence from the Korean stock market

Kwon, Enjung; Eom, Young Ho; Jang, Woon Wook; Hahn, Jaehoon - In: Asia-Pacific journal of financial studies 44 (2015) 2, pp. 298-321

Persistent link: https://www.econbiz.de/10011458986

Empirical performance of alternative option pricing models with stochastic volatility and leverage effects

Jang, Woon Wook; Eom, Young Ho; Kim, Don H. - In: Asia-Pacific journal of financial studies 43 (2014) 3, pp. 432-464

Persistent link: https://www.econbiz.de/10010408040

Corporate bond pricing model with stochastically volatile firm value process

Jang, Woon Wook; Eom, Young Ho; Kang, Yong Joo - In: Economics letters 148 (2016), pp. 41-44

Persistent link: https://www.econbiz.de/10011619792

Risk aversion, uncertainty, and monetary policy in zero lower bound environments

Hahn, Jaehoon; Jang, Woon Wook; Kim, Seong Jin - In: Economics letters 156 (2017), pp. 118-122

Persistent link: https://www.econbiz.de/10011822385

Developing the exchange traded market for government bonds : effect of recent quote rule changes in South Korea

Jang, Woon Wook; Kim, Hak Kyum; Kang, Yong Joo - In: Finance research letters 19 (2016), pp. 130-138

Persistent link: https://www.econbiz.de/10011657578

Covered interest parity deviation and counterparty default risk : U.S. Dollar/Korean Won FX swap market

Choi, Hanbok; Eom, Young Ho; Jang, Woon Wook; Kim, Don H. - In: Pacific-Basin finance journal 44 (2017), pp. 47-63

Persistent link: https://www.econbiz.de/10011800741