Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Jinyong, Kim"'
Autor:
Yong-Cheol Kim, Jinyong Kim
Publikováno v:
International Review of Economics & Finance. 69:731-749
We identify heterogeneous patterns of income diversification effects across full distributions of risk-adjusted performance and over time using the quantile regression approach to analyze U.S. bank holding company data for the period 2000–2013. Ban
Autor:
Yongsik Kim, Jinyong Kim
Publikováno v:
International Review of Financial Analysis. 63:243-256
This paper suggests a new measure of stock market resiliency and demonstrates that resiliency is a dimension of liquidity that generates cross-sectional variations in stock returns. Resiliency is defined as quickness of the transitory price recovery
Publikováno v:
SSRN Electronic Journal.
This study proposes a portfolio-based forward premium regression to estimate its time-varying coefficients and to conduct simultaneous inference. To this end, we sort currency portfolios on forward premiums. The empirical results show much weaker evi
Autor:
Yongsik Kim, Jinyong Kim
Publikováno v:
Finance Research Letters. 25:137-144
This paper investigates whether foreign investors have information advantage by testing for the speed of price adjustment between the portfolios of stocks sorted by foreign ownership in Korea. The tests are performed across multiple correlation regim
Publikováno v:
Applied Economics. 48:4747-4757
We examine the impact of derivatives held by US bank holding companies on their market valuations over the period 2000 to 2010. By using bank-level data with detailed information on the notional amounts of derivative positions according to holding pu
Autor:
Jinyong Kim
Publikováno v:
Asia-Pacific Journal of Financial Studies. 38:695-722
Two different methods are used to evaluate the performance of the consumption-based asset pricing models to explain the cross-section of expected stock returns in conditional moments: one is to scale the returns, and the other is to model time-varyin
Autor:
Yong-Cheol Kim, Jinyong Kim
Publikováno v:
SSRN Electronic Journal.
Heterogeneous patterns of the diversification effects are identified across the full distributions of various risk-adjusted performance measures and over time using a quantile regression of U.S. bank holding company data for the period 2000-2010. The
Autor:
Jinyong Kim
Publikováno v:
SSRN Electronic Journal.
The usual cross-sectional tests of asset pricing models suffer from lack of power because they do not impose the null hypothesis of zero pricing errors on a full set of test assets. This paper proposes a simple remedy using full-rank maximum correlat
Autor:
Jinyong Kim, Yong-Cheol Kim
U.S. bank holding companies (BHCs) have experienced dynamic changes over a period of 2000–2010. We find that the size distribution of sample banks becomes highly positively skewed with a small number of big banks becoming super-sized, and these big
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fb2bf6a932b05a92f03029eb45c72258
https://doi.org/10.1108/s1569-3767(2013)0000014008
https://doi.org/10.1108/s1569-3767(2013)0000014008
Autor:
Yong-Cheol Kim, Jinyong Kim
Publikováno v:
SSRN Electronic Journal.
This paper explores a transmission mechanism of an exogenous shock to domestic financial markets by investigating the potential signaling role of the Monetary Stabilization Bond (MSB) spread together with several financial variables in Korea. The MSB