Macro Liquidity Risk, Money Growth, and the Cross-Section of Stock Returns: The Case of Korea
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jung, Hosung | - |
dc.contributor.author | Kim, Dongcheol | - |
dc.date.accessioned | 2021-09-04T05:10:33Z | - |
dc.date.available | 2021-09-04T05:10:33Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2016 | - |
dc.identifier.issn | 1540-496X | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/90223 | - |
dc.description.abstract | According to the homogeneity of money holding purpose, we decompose the broad money M2 into an underlying and a non-underlying part and propose innovations in future non-underlying M2 growth as a proxy for macro liquidity. In both the cross-sectional regression tests and the GMM tests, we find that risk related to innovations in future non-underlying M2 growth is strongly significantly priced in Korea, after controlling for the well-known risk factors and other macroeconomic variables. Meanwhile, risk related to innovations in future aggregate or underlying M2 growth is insignificantly priced. These results indicate that non-underlying M2 growth more directly affects macro liquidity than does aggregate or underlying M2 growth. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.subject | ASSET PRICING MODEL | - |
dc.subject | EQUITY RETURNS | - |
dc.subject | MARKET | - |
dc.subject | TRACKING | - |
dc.subject | ERRORS | - |
dc.subject | TESTS | - |
dc.title | Macro Liquidity Risk, Money Growth, and the Cross-Section of Stock Returns: The Case of Korea | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Dongcheol | - |
dc.identifier.doi | 10.1080/1540496X.2015.1046767 | - |
dc.identifier.scopusid | 2-s2.0-84940489515 | - |
dc.identifier.wosid | 000379426300016 | - |
dc.identifier.bibliographicCitation | EMERGING MARKETS FINANCE AND TRADE, v.52, no.6, pp.1438 - 1454 | - |
dc.relation.isPartOf | EMERGING MARKETS FINANCE AND TRADE | - |
dc.citation.title | EMERGING MARKETS FINANCE AND TRADE | - |
dc.citation.volume | 52 | - |
dc.citation.number | 6 | - |
dc.citation.startPage | 1438 | - |
dc.citation.endPage | 1454 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | International Relations | - |
dc.relation.journalWebOfScienceCategory | Business | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | International Relations | - |
dc.subject.keywordPlus | ASSET PRICING MODEL | - |
dc.subject.keywordPlus | EQUITY RETURNS | - |
dc.subject.keywordPlus | MARKET | - |
dc.subject.keywordPlus | TRACKING | - |
dc.subject.keywordPlus | ERRORS | - |
dc.subject.keywordPlus | TESTS | - |
dc.subject.keywordAuthor | broad money M2 | - |
dc.subject.keywordAuthor | cross-sectional regression test | - |
dc.subject.keywordAuthor | economic tracking portfolio | - |
dc.subject.keywordAuthor | GMM tests | - |
dc.subject.keywordAuthor | innovations in future money growth | - |
dc.subject.keywordAuthor | risk factor | - |
dc.subject.keywordAuthor | underlying and non-underlying M2 | - |
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