Tactical Asset Allocation and Stock Issuance in the Korean Stock Market

References

• Avramov, D. 2002. "Stock Return Predictability and Model Uncertainty." Journal of Financial Economics 64, no. 3: 423-458.
   Google Scholar
• Baker, M., and J. Wurgler. 2000. "The Equity Share in New Issues and Aggregate Stock Returns." Journal of Finance 55, no. 5: 2219-2257.
   Google Scholar
• Baker, M., and J. Wurgler. 2002. "Market Timing and Capital Structure." Journal of Finance 57, no. 1: 1-32.
   Google Scholar
• Baker, M.; R. Ruback; and J. Wugler. 2007. "Behavioral Corporate Finance: A Survey." In The Handbook of Corporate Finance: Empirical Corporate Finance, ed. B. E. Eckbo, pp. 145-178. Amsterdam: North-Holland.
   Google Scholar
• Banz, R. 1981. "The Relationship Between Return and Market Value of Common Stocks." Journal of Financial Economics 9, no. 1: 3-18.
   Google Scholar
• Barberis, N., and R. Thaler. 2003. "A Survey of Behavioral Finance." In Handbook of the Economics of Finance, ed. G. Constantinides, M. Harris, and R. Stulz, pp. 1053-1116. Amsterdam: Elsevier.
   Google Scholar
• Campbell, J. 1987. "Stock Returns and the Term Structure." Journal of Financial Economics 18, no. 2: 373-399.
   Google Scholar
• Campbell, J., and R. Shiller. 1988. "Stock Prices, Earnings, and Expected Dividends." Journal of Finance 43, no. 3: 661-676.
   Google Scholar
• Carhart, M. 1997. "On Persistence in Mutual Fund Performance." Journal of Finance 52, no. 1: 57-82.
   Google Scholar
• Cochrane, J. 2005. Asset Pricing. Princeton: Princeton University Press.
   Google Scholar
• Daniel, K.; D. Hirshleifer; and A. Subrahmanyam. 1998. "Investor Psychology and Security Market Under- and Overreactions." Journal of Finance 53, no. 6: 1839-1885.
   Google Scholar
• Fama, E., and K. French. 1989. "Business Conditions and Expected Returns on Stocks and Bonds." Journal of Financial Economics 25, no. 1: 23-49.
   Google Scholar
• Fama, E., and K. French. 1992. "The Cross-Section of Expected Stock Returns." Journal of Finance 47, no. 2: 427-465.
   Google Scholar
• Fama, E., and K. French. 1993. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics 33, no. 1: 3-56.
   Google Scholar
• Fama, E., and K. French. 2008. "Average Returns, B/M, and Share Issues." Journal of Finance 63, no. 6: 2971-2995.
   Google Scholar
• Ferson, W., and C. Harvey. 1991. "The Variation of Economic Risk Premiums." Journal of Political Economy 99, no. 2: 385-415.
   Google Scholar
• Hirshleifer, D., and D. Jiang. 2010. "A Financing-Based Misvaluation Factor and the Cross-Section of Expected Returns." Review of Financial Studies 23, no. 9: 3401-3436.
   Google Scholar
• Ikenberry, D.; J. Lakonishok; and T. Vermaelen. 1995. "Market Underreaction to Open Market Share Repurchases." Journal of Financial Economics 39, nos. 2-3: 181-208.
   Google Scholar
• Jegadeesh, N., and S. Titman. 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." Journal of Finance 48, no. 1: 65-91.
   Google Scholar
• Jewartowski, T., and J. Linzinska, J. 2012. "Short- and Long-Term Performance of Polish IPOs." Emerging Markets Finance & Trade 48, no. 2 (March-April): 59-75.
   Google Scholar
• Keim, D., and R. Stambaugh. 1986. "Predicting Returns in the Stock and Bond Markets." Journal of Financial Economics 17, no. 2: 357-390.
   Google Scholar
• Kothari, S., and J. Shanken. 1997. "Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis." Journal of Financial Economics 44, no. 2: 169-203.
   Google Scholar
• Loughran, T., and J. R. Ritter. 1995. "The New Issues Puzzle." Journal of Finance 50, no. 1: 23-51.
   Google Scholar
• McLean, D. R.; J. Pontiff; and A. Watanabe. 2009. "Share Issuance and Cross-Sectional Returns: International Evidence." Journal of Financial Economics 94, no. 1: 1-17.
   Google Scholar
• Pontiff, J., and A. Woodgate. 2008. "Share Issuance and Cross-Sectional Returns." Journal of Finance 63, no. 2: 921-945.
   Google Scholar
• Su, N. H., and C. J. Lin. 2012. "The Impact of Open-Market Share Repurchases on Long-Term Stock Returns: Evidence from the Taiwanese Market." Emerging Markets Finance & Trade 48, supp. 2 (July-August): 200-229.
   Google Scholar
• Wang, C.-P.; H.-H. Huang; and Y.-W. Chen. 2012. "Investor SAD Sentiment and Stock Returns in Taiwan." Emerging Markets Finance & Trade 48, supp. 2 (July-August): 40-57.
   Google Scholar
• Wu, S.-W.; F. Lin; and W. Fang. 2012. "Earnings Management and Investor's Stock Return." Emerging Markets Finance & Trade 48, supp. 3 (September-October): 129-140.
   Google Scholar