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유동성과 가격결정모형 : 특성변수 vs. 위험요인
Researcher who has been awarded a research grant by Humanities and Social Studies Support Program of NRF has to submit an end product within 6 months(* depend on the form of business)
- Researchers have entered the information directly to the NRF of Korea research support system
Project Number |
B00262 |
Year(selected) |
2007 Year
|
the present condition of Project |
종료 |
State of proposition |
재단승인 |
Completion Date |
2009년 05월 05일 |
Year type |
결과보고 |
Year(final report) |
2009년 |

Research Summary
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Korean
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우리는 한국주식시장에서 3 요인 모형을 검증하기 위해 Fama-French 방법을 적용하Ꮜ ...
우리는 한국주식시장에서 3 요인 모형을 검증하기 위해 Fama-French 방법을 적용하였다. 우리는 우리의 전체 표본 기간과 대부분 하위 기간에서 3 요인 모형이 기각됨을 발견하였다. 이는 대부분 개발 도상국가에서 발견과 다르다. Fama-French 의 방법으로 3 요인 모형이 기각되지 않은 몇몇 하위기간에서 특성(Charateristics) 모형과 3 요인 모형에 대한 Daniel-Titman의 검증은 명확하지 않다. 우리는 3요인 모형을 기각하고 Daniel-Titman 검증 결과가 명확하지 않은 것은 한국시장에서 요인 계수가 불안정하기 때문이라는 것을 발견하였다.
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English
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We apply the Fama-French test to the three-factor model in the Korean stock market?an emerging stock market. We find that the three-factor model is rejected in our full sample period and in most subperiods, contrasting with the findings in most devel ...
We apply the Fama-French test to the three-factor model in the Korean stock market?an emerging stock market. We find that the three-factor model is rejected in our full sample period and in most subperiods, contrasting with the findings in most developed countries. In the few subperiods where the three-factor model is not rejected by the Fama-French test, we find that the Daniel-Titman test of the three-factor against the characteristics model is inconclusive. We find that the factor loadings are unstable in the Korean stock market, which could explain the rejection of the three-factor model and the inconclusive results of the Daniel-Titman test.

Research result report
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Abstract
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We apply the Fama-French test to the three-factor model in the Korean stock market?an emerging stock market. We find that the three-factor model is rejected in our full sample period and in most subperiods, contrasting with the findings in most devel ...
We apply the Fama-French test to the three-factor model in the Korean stock market?an emerging stock market. We find that the three-factor model is rejected in our full sample period and in most subperiods, contrasting with the findings in most developed countries. In the few subperiods where the three-factor model is not rejected by the Fama-French test, we find that the Daniel-Titman test of the three-factor against the characteristics model is inconclusive. We find that the factor loadings are unstable in the Korean stock market, which could explain the rejection of the three-factor model and the inconclusive results of the Daniel-Titman test.
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Research result and Utilization method
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가.학계에 대한 기여도
―그동안 단편적으로만 파악된 한국주식시장에서3 ...
가.학계에 대한 기여도
―그동안 단편적으로만 파악된 한국주식시장에서의 유동성의 경제적 의미를 철저하게 확인할 수 있다는 점에 연구의 일차적 의의가 있음
―한국재무학계에 시장미시구조이론에 바탕을 둔 연구와 자산가격결정이론에 바탕을 둔 연구가 각각 독립적으로 활발하게 수행되고 있으나, 본 연구는 이 둘은 접목하는 매우 드문 연구임
나.투자자에 대한 기여도
―만일 분석결과가 유의하다면 이는 투자자, 특히 정보면에서 열위에 있는 개별투자자의 투자전략을 위해 매우 중요한 정보가 될 수 있음
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Index terms
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Three-factor model; Characteristics model; Emerging stock markets
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Examination field of requesting this research issues( The ranking of possible field is up to 3rd place)
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1Ranking :
사회과학
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경영학
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재무관리
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투자/위험관리
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