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A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects

Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10012054880

Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?

Kim, Yunmi; Nelson, Charles R. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 307-328

Persistent link: https://www.econbiz.de/10010351545

Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization

Kim, Chang-Jin; Nelson, Charles R.; Startz, Richard - In: Journal of empirical finance 5 (1998) 2, pp. 131-154

Persistent link: https://www.econbiz.de/10001374883

Testing for mean reversion in heteroskedastic data II : autoregression tests based on Gibbs-sampling-augmented randomization

Kim, Chang-Jin; Nelson, Charles R. - In: Journal of empirical finance 5 (1998) 4, pp. 385-396

Persistent link: https://www.econbiz.de/10001375196

Regime shifts in price-dividend ratios and expected stock returns : a present-value approach

Choi, Kwang Hun; Kim, Chang-jin; Park, Cheolbeom - In: Journal of money, credit and banking : JMCB 49 (2017) 2/3, pp. 417-441

Persistent link: https://www.econbiz.de/10011708028

Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?

Kim, Chang-jin; Morley, James C.; Nelson, Charles R. - In: Journal of empirical finance 8 (2001) 4, pp. 403-426

Persistent link: https://www.econbiz.de/10001607064

Disappearing dividends : implications for the dividend-price ratio and return predictability

Kim, Chang-jin; Park, Cheolbeom - In: Journal of money, credit and banking : JMCB 45 (2013) 5, pp. 933-952

Persistent link: https://www.econbiz.de/10010197598

Why are stock returns and volatility negatively correlated?

Bae, Jinho; Kim, Chang-jin; Nelson, Charles R. - In: Journal of empirical finance 14 (2007) 1, pp. 41-58

Persistent link: https://www.econbiz.de/10003416062

Testing for Mean Reversion in Heteroskedastic Data Ii : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization

Kim, Chang-Jin; Nelson, Charles R. - 1999

A decade ago Fama and French (1988) estimated that 40% of variation in stock returns was predictable over horizons of 3-5 years, which they attributed to a mean reverting stationary component in prices. While it has been clear that the Depression and war years exert a strong influence on these...

Persistent link: https://www.econbiz.de/10014203408

Predicting stock returns : the information content of predictors across horizons

Deng, Kaihua; Kim, Chang-jin - In: Annals of financial economics 10 (2015) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10011408566