All Outputs (2)

The cross‐sectional return predictability of employment growth: A liquidity risk explanation (2021)
Journal Article
Liu, W., Luo, D., Park, S., & Zhao, H. (2022). The cross‐sectional return predictability of employment growth: A liquidity risk explanation. Financial Review, 57(1), 155-178. https://doi.org/10.1111/fire.12279

Employment growth (EG) is related to liquidity fundamentals of investment opportunities, firm health, and information environment and quality. This, in turn, implies that liquidity risk may play a role in explaining the relation between employment gr... Read More about The cross‐sectional return predictability of employment growth: A liquidity risk explanation.

Ambiguity premium and transaction costs (2021)
Journal Article
Jang, B., Kim, T., Lee, S., & Park, S. (2021). Ambiguity premium and transaction costs. Economics Letters, 207, Article 110007. https://doi.org/10.1016/j.econlet.2021.110007

We generalize the optimal investment model of an ambiguity averse investor with transaction costs. Along the lines of Maenhout (2004), we first show that ambiguity (or model uncertainty) leads to an increase in effective risk aversion by ambiguity av... Read More about Ambiguity premium and transaction costs.