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The hedge ratio and the empirical relationship between the stock and futures markets : a new approach using wavelet analysis

In, Francis Haeuck; Kim, Sangbae - In: The journal of business : B 79 (2006) 2, pp. 799-820

Persistent link: https://www.econbiz.de/10003310384

On the relationship between changes in stock prices and bond yields in the G7 countries : wavelet analysis

Kim, Sangbae; In, Francis Haeuck - In: Journal of international financial markets, … 17 (2007) 2, pp. 167-179

Persistent link: https://www.econbiz.de/10003441596

Multiscale hedge ratio between the Australian stock and futures markets : evidence from wavelet analysis

In, Francis Haeuck; Kim, Sangbae - In: Journal of multinational financial management 16 (2006) 4, pp. 411-423

Persistent link: https://www.econbiz.de/10003374049

A note on the relationship between Fama-French risk factors and innovations of ICAPM state variables

In, Francis Haeuck; Kim, Sangbae - In: Finance research letters 4 (2007) 3, pp. 165-171

Persistent link: https://www.econbiz.de/10003702375

Analysing the performance of managed funds using the wavelet multiscaling method

In, Francis Haeuck; Kim, Sangbae; Marisetty, Vijaya; … - In: Review of quantitative finance and accounting 31 (2008) 1, pp. 55-70

Persistent link: https://www.econbiz.de/10003711406

A note on the relationship between industry returns and inflation through a multiscaling approach

Kim, Sangbae; In, Francis Haeuck - In: Finance research letters 3 (2006) 1, pp. 73-78

Persistent link: https://www.econbiz.de/10003300880

Explaining mispricing with Fama-French factors : new evidence from the multiscaling approach

In, Francis Haeuck; Kim, Sangbae; Faff, Robert W. - In: Applied financial economics 20 (2010) 4/6, pp. 323-330

This article examines the Capital Asset Pricing Model (CAPM) over different frequencies utilizing a recently developed multiscaling method: wavelet analysis. Our empirical analysis shows that the risk factors are more relevant at the lower frequencies than at the higher frequencies in the...

Persistent link: https://www.econbiz.de/10003963131

False discoveries in volatility timing of mutual funds

Kim, Sangbae; In, Francis Haeuck - In: Journal of banking & finance 36 (2012) 7, pp. 2083-2094

Persistent link: https://www.econbiz.de/10009629677

False discoveries in the performance of Australian managed funds

Kim, Sangbae; In, Francis Haeuck; Ji, Philip Inyeob; … - In: Pacific-Basin finance journal 26 (2014), pp. 244-256

Persistent link: https://www.econbiz.de/10010498736

Competition of socially responsible and conventional mutual funds and its impact on fund performance

In, Francis Haeuck; Kim, Martin; Park, Jonghyeon; Kim, … - In: Journal of banking & finance 44 (2014), pp. 160-176

Persistent link: https://www.econbiz.de/10010410924