Jae H. Kim

affiliation not provided to SSRN

SCHOLARLY PAPERS

24

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Top 13,726

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5,655

SSRN CITATIONS
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Top 18,070

in Total Papers Citations

51

CROSSREF CITATIONS

8

Scholarly Papers (24)

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1.

Stock Return Predictability and the Adaptive Markets Hypothesis: Evidence from Century Long U.S. Data

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 29 Posted: 26 Jan 2010
Jae H. Kim, Kian-Ping Lim and Abul Shamsuddin
affiliation not provided to SSRN, Universiti Malaya and University of Newcastle (Australia) - Newcastle Business School
Downloads 596 (70,942)
Citation 16

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Economic bubbles, Fundamental crises, Financial crises, Market

2.

Choosing the Level of Significance: A Decision-Theoretic Approach

Number of pages: 53 Posted: 30 Aug 2015 Last Revised: 06 Apr 2019
Jae H. Kim and In Choi
affiliation not provided to SSRN and Sogang University
Downloads 467 (95,770)
Citation 11

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Bootstrapping, Expected Loss, Statistical Significance, Power Analysis

3.

Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects

Number of pages: 29 Posted: 31 Aug 2005
Jae H. Kim and Hristos Doucouliagos
affiliation not provided to SSRN and Deakin University - School of Accounting, Economics and Finance
Downloads 420 (108,413)

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Volatility Transmission, Vector Autoregressive Model, Impulse Response Analysis, Bootstrap

4.

Common Stocks as a Hedge Against Inflation: Evidence from Century-Long US Data

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 16 Posted: 21 Dec 2009
Jae H. Kim and Heidi Ryoo
affiliation not provided to SSRN and La Trobe University - School of Economics and Finance
Downloads 385 (119,822)

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asymmetry, co-integration, Fisher hypothesis, stock market

5.

Significance Testing in Empirical Finance: A Critical Review and Assessment

Journal of Empirical Finance,34, 1-14., FIRN Research Paper
Number of pages: 38 Posted: 18 Mar 2014 Last Revised: 29 Jan 2017
Jae H. Kim and Philip Ji
affiliation not provided to SSRN and Monash University - Department of Accounting
Downloads 340 (137,577)
Citation 7

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Level of significance, Lindley paradox, Massive sample size, Meehl’s conjecture, Publication bias, Spurious statistical significance

6.

Trade Openness and the Weak-Form Efficiency of Emerging Stock Markets

Number of pages: 35 Posted: 17 Sep 2008
Kian-Ping Lim and Jae H. Kim
Universiti Malaya and affiliation not provided to SSRN
Downloads 291 (162,035)
Citation 3

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Trade Openness, Financial Openness, Stock Market Efficiency

7.

Market Sentiment and the Fama-French Factor Premia

2014 Financial Markets & Corporate Governance Conference
Number of pages: 34 Posted: 03 Feb 2014 Last Revised: 30 Mar 2015
Abul Shamsuddin and Jae H. Kim
University of Newcastle (Australia) - Newcastle Business School and affiliation not provided to SSRN
Downloads 282 (167,455)
Citation 1

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Advisor Sentiment, Investor Sentiment, Generalized Impulse Response Analysis, Risk Premium, VIX, Wild Bootstrap.

8.

A Closer Look at Return Predictability of the US Stock Market: Evidence from a Panel Variance Ratio Test

Number of pages: 35 Posted: 14 Feb 2013 Last Revised: 19 May 2013
Jae H. Kim and Abul Shamsuddin
affiliation not provided to SSRN and University of Newcastle (Australia) - Newcastle Business School
Downloads 261 (181,061)

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Fama-French portfolios, Market efficiency, Monte Carlo experiment, Panel data, Wild bootstrap

9.

International Stock Return Predictability: Evidence from New Statistical Tests

Number of pages: 33 Posted: 28 Mar 2015
Amélie Charles, Olivier Darné and Jae H. Kim
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and affiliation not provided to SSRN
Downloads 260 (181,739)
Citation 1

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Augmented Regression Method, Financial ratios, Forecasting, Short-term interest rate, Technical indicators, Wild bootstrap

10.

Significance Testing in Accounting Research: A Critical Evaluation Based on Evidence

9th Conference on Financial Markets and Corporate Governance (FMCG) 2018
Number of pages: 33 Posted: 08 Sep 2017 Last Revised: 10 Apr 2018
Jae H. Kim, Philip Ji and Kamran Ahmed
affiliation not provided to SSRN, Monash University - Department of Accounting and La Trobe Business School, La Trobe University
Downloads 240 (196,547)

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Bayesian inference, Research credibility, Sample size, Statistical significance, Statistical power

11.

Predictive Regression: An Improved Augmented Regression Method

25th Australasian Finance and Banking Conference 2012
Number of pages: 31 Posted: 17 Aug 2012
Jae H. Kim
affiliation not provided to SSRN
Downloads 209 (224,284)
Citation 1

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Bias-correction, Financial ratios, Return predictability, Stationarity-correction

12.

Tackling False Positives in Finance: A Statistical Toolbox with Applications

Downloads 208 (225,270)
Citation 1

Tackling False Positives in Finance: A Statistical Toolbox with Applications

31st Australasian Finance and Banking Conference 2018
Number of pages: 49 Posted: 20 Jul 2018 Last Revised: 06 Sep 2018
Jae H. Kim
affiliation not provided to SSRN
Downloads 127 (341,232)

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Adaptive significance level, Bayes factor, Decision theory, Fallacy of rejection, Large-sample bias, Zero probability paradox

Tackling False Positives in Finance: A Statistical Toolbox With Applications

Number of pages: 48 Posted: 24 Jun 2018 Last Revised: 22 Jul 2018
Jae H. Kim
affiliation not provided to SSRN
Downloads 81 (463,842)

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Optimal Significance Level, Bayes Factor, Decision Theory, Fallacy of Rejection, Large-Sample Bias

13.

Stock Return Predictability: Evaluation Based on Prediction Intervals

Number of pages: 35 Posted: 20 Mar 2016 Last Revised: 14 Oct 2016
Amélie Charles, Olivier Darné and Jae H. Kim
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and affiliation not provided to SSRN
Downloads 196 (237,571)

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14.

Will Precious Metals Shine? A Market Efficiency Perspective

FIRN Research Paper
Number of pages: 25 Posted: 21 Jun 2014
Amélie Charles, Olivier Darné and Jae H. Kim
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and affiliation not provided to SSRN
Downloads 190 (244,255)
Citation 2

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Adaptive markets hypothesis; Martingale difference hypothesis; Market Efficiency, Trading Strategy

15.

Empirical Validity of Asset-Pricing Models: Application of Adaptive Significance Level and Equal Probability Test

Number of pages: 41 Posted: 12 Oct 2016 Last Revised: 16 Jan 2018
Jae H. Kim and Abul Shamsuddin
affiliation not provided to SSRN and University of Newcastle (Australia) - Newcastle Business School
Downloads 182 (253,643)

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Bayesian inference, Equal-probability test, GRS test, Optimal significance level

16.

Testing for Parameter Restrictions in a Stationary VAR Model: A Bootstrap Alternative

Number of pages: 24 Posted: 15 Feb 2014 Last Revised: 09 Aug 2014
Jae H. Kim
affiliation not provided to SSRN
Downloads 171 (267,671)
Citation 1

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Granger Causality, Monte Carlo experiment, Predictive regression, Wald test

17.

Time-Varying Predictive Power of the Dividend Yield for Stock Returns: Evaluation Based on Bootstrapping

Number of pages: 38 Posted: 01 Dec 2014 Last Revised: 17 Feb 2017
Jae H. Kim and Abul Shamsuddin
affiliation not provided to SSRN and University of Newcastle (Australia) - Newcastle Business School
Downloads 170 (269,063)
Citation 1

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Dividend-yield, EGLS estimation, Monte Carlo experiment, Return predictability

18.

Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?

29th Australasian Finance and Banking Conference 2016, International Review of Financial Analysis, Vol. 52, No. July, 2017
Number of pages: 36 Posted: 19 Apr 2016 Last Revised: 10 Apr 2018
Jae H. Kim
affiliation not provided to SSRN
Downloads 165 (275,994)
Citation 3

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Anomaly, Behavioural finance, Data mining, Market efficiency, Sunspot numbers, Type I error, Weather

19.

Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices

Number of pages: 34 Posted: 02 Jun 2015
Amélie Charles, Olivier Darné and Jae H. Kim
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and affiliation not provided to SSRN
Downloads 141 (313,842)
Citation 3

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Islamic portfolio, Market Efficiency, Martingale difference hypothesis, Return predictability, Wild bootstrap

20.

Market Efficiency in Asian and Australasian Stock Markets: A Fresh Look at the Evidence

Number of pages: 45 Posted: 06 Nov 2014
Jae H. Kim, Hristos Doucouliagos and T. D. Stanley
affiliation not provided to SSRN, Deakin University - School of Accounting, Economics and Finance and Deakin University
Downloads 128 (338,010)
Citation 6

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Random walk, meta-regression, efficient market hypothesis

21.

Testing for Signal-to-Noise Ratio in Linear Regression: A Test for Big Data Era

Number of pages: 12 Posted: 13 Jul 2021
Jae H. Kim
affiliation not provided to SSRN
Downloads 106 (386,779)

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Effect size, Massive sample size, Statistical inference, Type I error

22.

Real Interest Rate Linkages in the Pacific Basin Region

Number of pages: 31 Posted: 31 Aug 2005
Jae H. Kim and Philip Ji
affiliation not provided to SSRN and Monash University - Department of Accounting
Downloads 106 (386,779)

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Asian financial crisis, Bias-correction, Bootstrapping, Capital market Integration, Half-life, Impulse response analysis, Vector autoregression

23.

Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels

Number of pages: 42 Posted: 09 Dec 2015 Last Revised: 08 Jan 2018
Jae H. Kim and In Choi
affiliation not provided to SSRN and Sogang University
Downloads 102 (397,122)
Citation 5

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Expected Loss, Optimal Level of Significance; Power of the Test, Response Surface

24.

Exchange Rate Exposure Revisited

Number of pages: 31 Posted: 03 Jan 2018
Jae H. Kim and Yoshihiro Kitamura
affiliation not provided to SSRN and Waseda University - School of Social Science
Downloads 39 (645,001)

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Exchange rate exposure; Wild bootstrapping; Yen/dollar rate