Dongcheol Kim

Korea University Business School

Professor

Anam-Dong, Seongbuk-Gu

Seoul 136-701, 136701

Korea

SCHOLARLY PAPERS

25

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Top 23,017

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2,017

CITATIONS
Rank 19,473

SSRN RANKINGS

Top 19,473

in Total Papers Citations

24

Scholarly Papers (25)

1.

Accruals Quality, Stock Returns, and Macroeconomic Conditions

Accounting Review, Vol. 85, No. 3
Number of pages: 52 Posted: 14 May 2008 Last Revised: 10 Dec 2014
Dongcheol Kim and Yaxuan Qi
Korea University Business School and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 644 (39,313)
Citation 15

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Accruals quality, Low-priced stocks, Risk factor models, Macroeconomic conditions, Business cycle

2.

On the Information Uncertainty Risk and the January Effect

Journal of Business, Vol. 79, No. 4, July 2006
Number of pages: 47 Posted: 08 Aug 2006
Dongcheol Kim
Korea University Business School
Downloads 332 (89,006)
Citation 5

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January effect, Earnings forecast errors, Empirical asset pricing models, Residual returns

3.

The Forecast Dispersion Anomaly Revisted: Time-Series Forecast Dispersion and the Cross-Section of Stock Returns

Journal of Empirical Finance, Vol. 39, 2016, 27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 46 Posted: 13 Aug 2014 Last Revised: 18 Feb 2017
Dongcheol Kim and Haejung Na
Korea University Business School and California State University, Los Angeles
Downloads 191 (156,292)

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Time-series forecast dispersion; Cross-sectional forecast dispersion; Analysts' earnings forecasts; Systematic risk components; Idiosyncratic volatility; Macroeconomic conditions

4.

Investor Sentiment from Internet Message Postings and Predictability of Stock Returns

Number of pages: 52 Posted: 12 Apr 2014 Last Revised: 10 Dec 2014
Soon-Ho Kim and Dongcheol Kim
Korea University Business School (KUBS) and Korea University Business School
Downloads 181 (164,118)
Citation 3

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Investor sentiment, Return predictability, Internet posting messages, Text classification, Volatility, Trading volume

5.

Time-Varying Expected Momentum Profits

Journal of Banking and Finance, Vol. 49, 2014
Number of pages: 73 Posted: 05 Oct 2013 Last Revised: 12 Mar 2019
Korea University Business School, Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, University of Sydney Business School and Korea Advanced Institute of Science and Technology (KAIST) - Financial Engineering
Downloads 143 (200,581)
Citation 2

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Momentum, Time-varying expected returns, Markov switching regression model, Business cycle, Procyclicality, Growth options

6.

Investor Sentiment, Anomalies, and Macroeconomic Conditions

Asia-Pacific Journal of Financial Studies, Vol.47(6), Dec 2018, pp.751-804
Number of pages: 64 Posted: 05 Jul 2015 Last Revised: 02 Jan 2019
Dongcheol Kim and Haejung Na
Korea University Business School and California State University, Los Angeles
Downloads 134 (211,303)
Citation 2

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Investor sentiment; Anomalies; Risk factors; Macroeconomic variables; Sentiment-related overpricing

7.

Evaluating Asset Pricing Models in the Korean Stock Market

Pacific-Basin Finance Journal, Vol. 20, No. 2, 2012
Number of pages: 43 Posted: 18 Jan 2014
Soon-Ho Kim, Dongcheol Kim and Hyun-Soo Shin
Korea University Business School (KUBS), Korea University Business School and Korea University Business School (KUBS)
Downloads 117 (234,376)
Citation 6

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Pricing performance, Asset pricing models, CAPM, APT, Consumption-based CAPM, Intertemporal CAPM, Korean stock markets

8.

Future Labor Income Growth and the Cross Section of Equity Returns

Journal of Banking and Finance, Vol. 35, No. 1, 2011
Number of pages: 49 Posted: 18 Oct 2009 Last Revised: 21 Sep 2014
Byoung-Kyu Min, Tong Suk Kim and Dongcheol Kim
University of Sydney Business School, KAIST College of Business and Korea University Business School
Downloads 90 (280,019)

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Future labor income growth, Fama-French factors, Economic tracking portfolio, Intertemporal CAPM

9.

Investor Sentiment, Anomaly, and the Macroeconomy

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 56 Posted: 30 Jan 2017
Dongcheol Kim and Haejung Na
Korea University Business School and California State University, Los Angeles
Downloads 55 (367,088)

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Investor sentiment, Anomalies, Risk factors, Macroeconomic variables, Sentiment-related overpricing

10.

Bank Funding Structure and Lending Under Liquidity Shocks: Evidence from Korea

Pacific-Basin Finance Journal, Vol.33, 2015, pp.62-80
Number of pages: 40 Posted: 13 Feb 2015 Last Revised: 21 Oct 2018
Hosung Jung and Dongcheol Kim
The Bank of Korea and Korea University Business School
Downloads 47 (393,314)

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Bank funding structure, Core funding, Bank lending, Relationship banking, Liquidity shock

Financial Distress, Short Sale Constraints, and Mispricing

Pacific-Basin Finance Journal, Vol. 53, No. 1, 2019
Number of pages: 46 Posted: 18 Nov 2018
Dongcheol Kim, Inro Lee and Haejung Na
Korea University Business School, The Bank of Korea and California State University, Los Angeles
Downloads 18 (545,038)

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Financial distress puzzle, Short sale constraints, Degree of mispricing, Asymmetric pricing effect, Benchmark-adjusted returns

Financial Distress, Short Sale Constraints, and Mispricing

Pacific-Basin Finance Journal, Vol. 53, No. 1, 2019
Number of pages: 46 Posted: 25 Jan 2019
Dongcheol Kim, Inro Lee and Haejung Na
Korea University Business School, The Bank of Korea and California State University, Los Angeles
Downloads 9 (604,593)

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Financial Distress Puzzle, Short Sale Constraints, Degree of Mispricing, Asymmetric Pricing Effect, Benchmark-Adjusted Returns

12.

A Multi-factor Explanation of Post-Earnings-Announcement Drift

Journal of Financial and Quantitative Analysis (JFQA), Vol. 34, No. 2, 2003
Number of pages: 16 Posted: 09 Nov 2018
Dongcheol Kim and Myungsun Kim
Korea University Business School and SUNY at Buffalo
Downloads 26 (481,064)
Citation 4

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post-earnings-announcement drift, risk factors, unexpected earnings surprise, abnormal stock returns

13.

The Financial Distress Pricing Puzzle in Banking Firms

Forthcoming in Accounting & Finance
Number of pages: 44 Posted: 30 Jan 2019
Dongcheol Kim and Inro Lee
Korea University Business School and The Bank of Korea
Downloads 18 (526,208)

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Distress Pricing Puzzle, Financial Firms, Bank Stock Returns, Short Sale Constraints, Abnormal Returns

14.

The Impact of Commercial Banks on Underwriting Spreads: Evidence from Three Decades

Journal of Financial and Quantitative Analysis (JFQA), Vol. 43, No. 4, 2008
Number of pages: 27 Posted: 09 Nov 2018
Dongcheol Kim, Darius Palia and Anthony Saunders
Korea University Business School, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics and New York University (NYU) - Leonard N. Stern School of Business
Downloads 7 (592,358)
Citation 13

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Initial Public Offering (IPO), Underwriting Spread, Under-Pricing, Costs of Issuing Equities and Debts

15.

A Bayesian Significance Test of the Stationarity of Regression Parameters

Biometrika (1991), 78, 3, pp. 667-75
Number of pages: 9 Posted: 11 Nov 2018
Dongcheol Kim
Korea University Business School
Downloads 5 (605,362)

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Nonstationarity, Regression Parameters, Change-Point, Highest Posterior Density Credible Set, P-Value

16.

Structural Change and Time Dependence in Models of Stock Returns

Journal of Empirical Finance, Vol. 6, 1999, pp.283-308
Posted: 12 Nov 2018
Dongcheol Kim
Korea University Business School

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Structural Change; GARCH; Persistence In Volatility; Daily Stock Returns

17.

Market Valuation of Joint Ventures: Joint Venture Characteristics and Wealth Gains

Journal of Business Venturing, Vol. 12, No. 1, 1997
Posted: 12 Nov 2018
Seung Ho Park and Dongcheol Kim
China Europe International Business School and Korea University Business School

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Joint-Venture, Corporate Entrepreneurship, Abnormal Stock Returns, Valuation

18.

Asset pricing models with and without consumption data: An empirical evaluation

Journal of Empirical Finance, Vol. 3, 1996, pp.267-301
Posted: 12 Nov 2018
University of Piraeus, Korea University Business School and Federal Reserve Banks - Federal Reserve Bank of New York

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19.

Margin Requirements, Price Fluctuations, and Market Participation in Metal Futures

Journal of Money, Credit, and Banking, Vol. 27, No. 3, 1995, pp.659-671
Posted: 12 Nov 2018
Gikas A. Hardouvelis and Dongcheol Kim
University of Piraeus and Korea University Business School

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Margin Requirements, Futures Markets, Volatility, Causal Effect

20.

Sequential Parameter Nonstationarity in Stock Market Returns

Review of Quantitative Finance and Accounting, Vol. 6, No. 1, 1996, pp.103-131
Posted: 12 Nov 2018
Dongcheol Kim and Stanley J. Kon
Korea University Business School and Stephen M. Ross School of Business at the University of Michigan

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Nonstationarity, Stock Returns, Structural Shift Points, Bayesian Test

21.

Sources of Momentum Profits in International Stock Markets

Accounting & Finance, Vol. 54, Issue 2, pp. 567-589, 2014
Number of pages: 23 Posted: 05 Jun 2014
Kyung‐In Park and Dongcheol Kim
Kyungpook National University and Korea University Business School
Downloads 0 (660,893)
Citation 1
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Cross‐sectional dispersion in expected returns, Decomposition of momentum profits, Intertemporal stock returns, Price momentum

22.

Alternative Models for the Conditional Heteroscedasticity of Stock Returns

JOURNAL OF BUSINESS, Vol 67 No 4, October 1994)
Posted: 25 Oct 1999
Dongcheol Kim and Stanley J. Kon
Korea University Business School and Stephen M. Ross School of Business at the University of Michigan

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23.

The Errors-in-Variables Problem in the Cross-Section of Expected Stock Returns

J. OF FINANCE, Vol. 50 No. 5, December 1995
Posted: 09 Jul 1998
Dongcheol Kim
Korea University Business School

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A Reexamination of Firm Size, Book-to-Market, and Earnings-Price in the Cross-Section of Expected Stock Returns

Journal of Financial and Quantitative Analysis, December 1997
Posted: 09 Jan 1998
Dongcheol Kim
Korea University Business School

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25.

Are Initial Returns and Underwriting Spreads in Equity Issues Complements or Substitutes?

Financial Management, Vol.39(4), 2010, pp.1403-1423
Dongcheol Kim
Korea University Business School

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Initial public offering (IPO), Underwriting spread, Under-pricing, Issuing costs,