Research outputs
Selected research outputs
- FARVaR: Functional Autoregressive Value-at-Risk (Journal article - 2019)
- Do firms care about investment opportunities? Evidence from China (Journal article - 2018)
- Forecasting distributions of inflation rates: the functional auto-regressive approach (Journal article - 2016)
- In search of robust methods for dynamic panel data models in empirical corporate finance (Journal article - 2015)
- Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models (Journal article - 2012)
2025
Response to “Discussion of ‘Can Corporate Governance Information Facilitate Accounting Fraud Detection? Machine Learning Evidence for Chinese Listed Firms’”
Dong, Y., Chen, S. X., & Kim, M. (2025). Response to “Discussion of ‘Can Corporate Governance Information Facilitate Accounting Fraud Detection? Machine Learning Evidence for Chinese Listed Firms’”. The International Journal of Accounting. doi:10.1142/s1094406025800046
The Impact of Mandatory Carbon Disclosure on Firm Investment: Evidence from a Natural Experiment Approach
Park, A. H., & Kim, M. (2025). The Impact of Mandatory Carbon Disclosure on Firm Investment: Evidence from a Natural Experiment Approach.
Can Corporate Governance Information Facilitate Accounting Fraud Detection? Machine Learning Evidence for Chinese Listed Firms
Dong, Y., Chen, S. X., & Kim, M. (2025). Can Corporate Governance Information Facilitate Accounting Fraud Detection? Machine Learning Evidence for Chinese Listed Firms. The International Journal of Accounting. doi:10.1142/s109440602550009x
The Impact of Cash Flow Uncertainty on Investment-Cash Flow Sensitivity in China: The Debt Financing Channel
Ding, S., Kim, M., Zhang, X., & Zhou, Y. (2025). The Impact of Cash Flow Uncertainty on Investment‐Cash Flow Sensitivity in China: The Debt Financing Channel. International Journal of Finance & Economics. doi:10.1002/ijfe.3103
2024
Default dependence in the insurance and banking sectors: A copula approach
Zhang, X., Kim, M., Yan, C., & Zhao, Y. (2024). Default dependence in the insurance and banking sectors: A copula approach. Journal of International Financial Markets, Institutions and Money, 91, 101911. doi:10.1016/j.intfin.2023.101911
2021
The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
Kim, M., Yang, J., Song, P., & Zhao, Y. (2021). The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments. QUANTITATIVE FINANCE, 21(5), 815-835. doi:10.1080/14697688.2020.1812701
2019
FARVaR: Functional Autoregressive Value-at-Risk
Cai, X., Kim, M., Shin, Y., & Zhang, Q. (2019). FARVaR: Functional Autoregressive Value-at-Risk. Journal of Financial Econometrics, 17(2), 284-337. doi:10.1093/jjfinec/nby031
2018
Do firms care about investment opportunities? Evidence from China
Ding, S., Kim, M., & Zhang, X. (2018). Do firms care about investment opportunities? Evidence from China. Journal of Corporate Finance, 52, 214-237. doi:10.1016/j.jcorpfin.2018.07.003
2017
The joint credit risk of UK global-systemically important banks
Cerrato, M., Crosby, J., Kim, M., & Zhao, Y. (2017). The joint credit risk of UK global-systemically important banks. JOURNAL OF FUTURES MARKETS, 37(10), 964-988. doi:10.1002/fut.21855
Relation between higher order comoments and dependence structure of equity portfolio
Cerrato, M., Crosby, J., Kim, M., & Zhao, Y. (2017). Relation between higher order comoments and dependence structure of equity portfolio. JOURNAL OF EMPIRICAL FINANCE, 40, 101-120. doi:10.1016/j.jempfin.2016.11.007
2016
Forecasting distributions of inflation rates: the functional auto-regressive approach
Chaudhuri, K., Kim, M., & Shin, Y. (2016). Forecasting distributions of inflation rates: the functional auto-regressive approach. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY, 179(1), 65-102. doi:10.1111/rssa.12109
2015
In search of robust methods for dynamic panel data models in empirical corporate finance
Dang, V. A., Kim, M., & Shin, Y. (2015). In search of robust methods for dynamic panel data models in empirical corporate finance. JOURNAL OF BANKING & FINANCE, 53, 84-98. doi:10.1016/j.jbankfin.2014.12.009
2014
Asymmetric adjustment toward optimal capital structure: Evidence from a crisis
Dang, V. A., Kim, M., & Shin, Y. (2014). Asymmetric adjustment toward optimal capital structure: Evidence from a crisis. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 33, 226-242. doi:10.1016/j.irfa.2014.02.013
2013
On the Asymmetric U-Shaped Relationship between Inflation, Inflation Uncertainty, and Relative Price Skewness in the UK
Chaudhuri, K., Greenwood-Nimmo, M., Kim, M., & Shin, Y. (2013). On the Asymmetric U-Shaped Relationship between Inflation, Inflation Uncertainty, and Relative Price Skewness in the UK. JOURNAL OF MONEY CREDIT AND BANKING, 45(7), 1431-1449. doi:10.1111/jmcb.12058
2012
Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models
Viet, A. D., Kim, M., & Shin, Y. (2012). Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models. JOURNAL OF EMPIRICAL FINANCE, 19(4), 465-482. doi:10.1016/j.jempfin.2012.04.004