Jae H. Kim

La Trobe University

Professor

Department of Finance

La Trobe Business School

Bundoora, IN 3086

Australia

SCHOLARLY PAPERS

21

DOWNLOADS
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3,290

CITATIONS
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SSRN RANKINGS

Top 36,191

in Total Papers Citations

5

Scholarly Papers (21)

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
La Trobe University, Universiti Malaya and University of Newcastle (Australia) - Newcastle Business School
Downloads 440 (47,171)
Citation 3

Abstract:

Economic bubbles, Fundamental crises, Financial crises, Market

2.

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
La Trobe University and Deakin University - School of Accounting, Economics and Finance
Downloads 330 (67,093)
Citation 1

Abstract:

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

3.

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
La Trobe University and La Trobe University - School of Economics and Finance
Downloads 263 (85,067)

Abstract:

asymmetry, co-integration, Fisher hypothesis, stock market

4.

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 La Trobe University
Downloads 225 (101,680)
Citation 1

Abstract:

Trade Openness, Financial Openness, Stock Market Efficiency

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
La Trobe University and Monash University - Department of Accounting
Downloads 175 (100,829)

Abstract:

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

6.

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
La Trobe University and University of Newcastle (Australia) - Newcastle Business School
Downloads 164 (119,320)

Abstract:

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

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 La Trobe University
Downloads 152 (118,745)

Abstract:

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

8.

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
La Trobe University
Downloads 120 (166,751)

Abstract:

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

9.

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 La Trobe University
Downloads 100 (180,007)

Abstract:

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

10.

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 La Trobe University
Downloads 94 (128,582)

Abstract:

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

11.

Real Interest Rate Linkages in the Pacific Basin Region

Number of pages: 31 Posted: 31 Aug 2005
Jae H. Kim and Philip Ji
La Trobe University and Monash University - Department of Accounting
Downloads 72 (259,955)

Abstract:

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

12.

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
La Trobe University and University of Newcastle (Australia) - Newcastle Business School
Downloads 64 (197,695)

Abstract:

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

13.

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

Number of pages: 45 Posted: 06 Nov 2014
La Trobe University, Deakin University - School of Accounting, Economics and Finance and Hendrix College - Department of Economics and Business
Downloads 49 (255,972)

Abstract:

Random walk, meta-regression, efficient market hypothesis

14.

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
La Trobe University
Downloads 49 (285,943)

Abstract:

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

15.

How to Choose the Level of Significance: A Pedagogical Note

Number of pages: 17 Posted: 30 Aug 2015 Last Revised: 22 Oct 2016
Jae H. Kim
La Trobe University
Downloads 33 (236,023)

Abstract:

Expected Loss, Statistical Significance, Sample Size, Power of the test

16.

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 La Trobe University
Downloads 22 (252,214)

Abstract:

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

17.

Short-Horizon Return Predictability in International Equity Markets

Financial Review, Vol. 45, No. 2, pp. 469-484, May 2010
Number of pages: 16 Posted: 12 Apr 2010
Abul Shamsuddin and Jae H. Kim
University of Newcastle (Australia) - Newcastle Business School and La Trobe University
Downloads 2 (521,205)

Abstract:

18.

Reappraising Empirical Validity of Asset-Pricing Models with Consideration of Statistical Power

Number of pages: 42 Posted: 12 Oct 2016 Last Revised: 30 Jan 2017
Jae H. Kim and Abul Shamsuddin
La Trobe University and University of Newcastle (Australia) - Newcastle Business School
Downloads 0 (346,568)

Abstract:

Asset-pricing; Equal-probability test; GRS test; Optimal level of significance

19.

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

29th Australasian Finance and Banking Conference 2016
Number of pages: 36 Posted: 19 Apr 2016 Last Revised: 27 Dec 2016
Jae H. Kim
La Trobe University
Downloads 0 (221,538)

Abstract:

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

20.

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 La Trobe University
Downloads 0 (218,543)

Abstract:

21.

Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Optimal Level of Significance

Number of pages: 31 Posted: 09 Dec 2015 Last Revised: 21 Apr 2016
Jae H. Kim and In Choi
La Trobe University and Sogang University
Downloads 0 (310,999)

Abstract:

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