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- W2308698061 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." @default.
- W2308698061 created "2016-06-24" @default.
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- W2308698061 date "2015-09-01" @default.
- W2308698061 modified "2023-09-24" @default.
- W2308698061 title "Macro Liquidity Risk, Money Growth, and the Cross-Section of Stock Returns: The Case of Korea" @default.
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- W2308698061 doi "https://doi.org/10.1080/1540496x.2015.1046767" @default.
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