Articles by Author: Changjun Lee

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  1. Aggregate idiosyncratic volatility and stock return predictability: Evidence from the Korean stock market

    Aggregate idiosyncratic volatility and stock return predictability: Evidence from the Korean stock market

    Item type: Journal Article • Journal: Investment Analysts Journal
    Employing various proxies of idiosyncratic volatility, we investigate the relationship between aggregate idiosyncratic volatility and future market returns in Korea. We find a positive association between aggregate idiosyncratic volatility and subsequent market returns, and especially, that the idiosyncratic volatility measure...