This paper examines whether US economic uncertainty is significantly priced in the Korean stock markets.Our results show that stocks highly sensitive to US economic uncertainty with positively or negatively large uncertainty betas have lower future returns. Motivated by Miller's (1977) and Hong and Sraer's (2016) overpricing explanation, we suggest that these stocks are more likely to be exposed to greater divergence of opinions and thus overpriced. More importantly, we further suggest that the large proportion of retail investors which is a distinctive feature of the Korean stock markets contributes to overpricing by limiting arbitrage. Utilizing our unique intraday data, we measure limits to arbitrage with levels of retail trading, and find further supporting evidence that overpricing is significant only within stocks with high limits to arbitrage and in during high retail-sentiment period.

This paper investigates commodity futures momentums with various ranking periods in a weekly basis. Unlike in equity markets, strong short-term momentum, instead of short-term reversal, is observed in commodity futures markets. The weekly momentum remains highly significant even after controlling for various factors, such as carry, equity momentum, or hedging pressure. Our results suggest that the anomalous returns from the traditional 12-month momentum strategy in the commodity futures markets mainly stem from the strong predictability of the past week's return. Lastly, we suggest that the weekly momentum is closely related to the speculative activity in the commodity futures market.

No abstract

Loans for Jeonse deposit provided to Jeonse tenants were only KRW 10 trillion in 2008, but exceeded KRW 200 trillion in 2021. Accordingly, this study analyses the trend of Jeonse deposit financing for rental tenants using the results of the Housing Survey from 2016 to 2020. The results of the analysis are as follows. First, from 2016 to 2020, the proportion of self-funding among tenants' Jeonse deposit financing has steadily decreased, while the proportion of loans from financial institutions has steadily increased. This is consistent with the increase in Jeonse loans. Second, the decrease in equity-funding and increase in loan funding is a common phenomenon not only among tenants without their own homes but also among those who own homes. The fact that Jeonse loans, which were previously only available to non-owners, have been increasingly available to homeowners since 2013, and that this supply has been growing in size in recent years, adds to this concern. Third, the increase in the share of loans to private renters is not isolated to any one region, but is present in most areas of the country. Finally, the increase in loan funding first appeared in households with high income and shifted to middle-income households, becoming a common phenomenon among all income groups by 2020.