Sangbae Kim

Kyungpook National University - School of Business Administartion

Daegu 702-701, Taegu

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

1.

Hedge Ratio and Correlation between the Stock and the Futures Markets: Evidence from the Wavelet Analysis

Number of pages: 36 Posted: 30 May 2003
Sangbae Kim and Francis Haeuck In
Kyungpook National University - School of Business Administartion and Monash University - Department of Accounting
Downloads 1,062 (29,111)
Citation 1

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2.

The Relationship between Fama-French Three Risk Factors, Industry Portfolio Returns, and Industrial Production

Number of pages: 34 Posted: 17 Mar 2006
Sangbae Kim and Francis Haeuck In
Kyungpook National University - School of Business Administartion and Monash University - Department of Accounting
Downloads 611 (61,622)

Abstract:

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Asset pricing, Fama-French Three-factor model, Multiscaling approach

3.

Investment Horizon Effect on Asset Allocation between Value and Growth Strategies

Number of pages: 31 Posted: 20 Apr 2010
Monash University - Department of Accounting, Kyungpook National University - School of Business Administartion and Simon Fraser University
Downloads 250 (169,457)

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Asset allocation, value stocks, growth stocks, investment horizon, wavelet analysis

4.

The Effect of Initial Margin on Long-Run and Short-Run Volatilities in Japan

Journal of East Asian Economic Integration Vol.17 No.3, (September) 311-332
Number of pages: 22 Posted: 02 Oct 2013 Last Revised: 08 Nov 2016
Sangbae Kim and Taehun Jung
Kyungpook National University - School of Business Administartion and Kyungpook National University - School of Economics and Trade
Downloads 26 (648,967)

Abstract:

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Margin Requirement, Long-run Volatility, Short-run Volatility, Component GARCH Model

5.

On Timing Ability in Australian Managed Funds

Australian Journal of Management, Vol. 39, No. 1, 2014
Posted: 11 Feb 2014
Sangbae Kim
Kyungpook National University - School of Business Administartion

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Australian managed fund, bootstrap approach, joint timing, return timing, volatility timing

6.

What Drives the Japanese Yen Eurobond Term Structure of Japanese Bonds

Posted: 17 Jun 2003
RMIT University, Monash University - Department of Accounting and Kyungpook National University - School of Business Administartion

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Long-run relationship, Expectations Hypothesis, Japanese yen Eurobonds, Canonical Cointegrating Regression, GARCH