Jae H. Kim

affiliation not provided to SSRN

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 14,769

SSRN RANKINGS

Top 14,769

in Total Papers Downloads

6,208

SSRN CITATIONS
Rank 16,853

SSRN RANKINGS

Top 16,853

in Total Papers Citations

76

CROSSREF CITATIONS

6

Scholarly Papers (24)

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 631 (78,332)
Citation 26

Abstract:

Loading...

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 511 (102,050)
Citation 11

Abstract:

Loading...

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 428 (126,026)

Abstract:

Loading...

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 413 (131,392)

Abstract:

Loading...

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 363 (151,942)
Citation 7

Abstract:

Loading...

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 305 (183,027)
Citation 3

Abstract:

Loading...

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 297 (188,289)
Citation 1

Abstract:

Loading...

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

8.

International Stock Return Predictability: Evidence from New Statistical Tests

Number of pages: 33 Posted: 28 Mar 2015
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and affiliation not provided to SSRN
Downloads 281 (199,377)
Citation 2

Abstract:

Loading...

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

9.

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 280 (200,094)

Abstract:

Loading...

Fama-French portfolios, Market efficiency, Monte Carlo experiment, Panel data, 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 262 (213,918)

Abstract:

Loading...

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

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 147 (361,711)

Abstract:

Loading...

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 101 (482,786)

Abstract:

Loading...

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

12.

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 222 (251,313)
Citation 1

Abstract:

Loading...

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

13.

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 219 (254,584)

Abstract:

Loading...

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

14.

Stock Return Predictability: Evaluation Based on Prediction Intervals

Number of pages: 35 Posted: 20 Mar 2016 Last Revised: 14 Oct 2016
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and affiliation not provided to SSRN
Downloads 217 (256,818)

Abstract:

Loading...

15.

Will Precious Metals Shine? A Market Efficiency Perspective

FIRN Research Paper
Number of pages: 25 Posted: 21 Jun 2014
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and affiliation not provided to SSRN
Downloads 205 (270,703)
Citation 5

Abstract:

Loading...

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

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 198 (279,373)
Citation 1

Abstract:

Loading...

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 181 (302,748)
Citation 1

Abstract:

Loading...

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 178 (307,302)
Citation 4

Abstract:

Loading...

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

19.

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 175 (311,896)

Abstract:

Loading...

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

20.

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

Number of pages: 34 Posted: 02 Jun 2015
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and affiliation not provided to SSRN
Downloads 162 (333,484)
Citation 5

Abstract:

Loading...

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

21.

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

Number of pages: 45 Posted: 06 Nov 2014
affiliation not provided to SSRN, Deakin University - School of Accounting, Economics and Finance and Deakin University
Downloads 152 (351,766)
Citation 6

Abstract:

Loading...

Random walk, meta-regression, efficient market hypothesis

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 119 (425,386)

Abstract:

Loading...

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 112 (445,022)
Citation 5

Abstract:

Loading...

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 49 (710,876)

Abstract:

Loading...

Exchange rate exposure; Wild bootstrapping; Yen/dollar rate