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The forecast dispersion anomaly revisited : time-series forecast dispersion and the cross-section of stock returns

Kim, Dongcheol; Na, Haejung - In: Journal of empirical finance 39 (2016), pp. 37-53

Persistent link: https://www.econbiz.de/10011663264

Price volatility and futures margins

Hardouvelis, Gikas A.; Kim, Dongcheol - 1995

Persistent link: https://www.econbiz.de/10000564035

Investor sentiment from internet message postings and the predictability of stock returns

Kim, Soon-Ho; Kim, Dongcheol - In: Journal of economic behavior & organization : JEBO 107 (2014) 2, pp. 708-729

Persistent link: https://www.econbiz.de/10011295891

Structural change and time dependence in models of stock returns

Kim, Dongcheol; Kon, Stanley Jay - In: Journal of empirical finance 6 (1999) 3, pp. 283-308

Persistent link: https://www.econbiz.de/10001426368

Price volatility and futures margins

Hardouvelis, Gikas A. - In: The journal of futures markets 16 (1996) 1, pp. 81-111

Persistent link: https://www.econbiz.de/10001193435

An examination of ex ante risk and return in the cross-section using option-implied information

Kim, Dongcheol; Chen, Ren-Raw; Roh, Tai-Yong; Panda, Durga - In: The European journal of finance 26 (2020) 16, pp. 1623-1645

Persistent link: https://www.econbiz.de/10012314643

Structural Change and Time Dependence in Models of Stock Returns

Kim, Dongcheol - 2018

In this paper, we provide evidence that the time-series properties of stock returns includeboth structural change and time dependence in the conditional variance. The absence of astructural change component tends to overstate the persistence parameter in a time-dependentmodel specification. The...

Persistent link: https://www.econbiz.de/10012909347