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주식수익률 분포의 모호성과 기대수익률
Reports NRF is supported by Research Projects( 주식수익률 분포의 모호성과 기대수익률 | 2016 Year 신청요강 다운로드 PDF다운로드 | 채준(서울대학교) ) data is submitted to the NRF Project Results
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)
사업별 신청요강보기
  • Researchers have entered the information directly to the NRF of Korea research support system
Project Number 2016S1A5A2A01022002
Year(selected) 2016 Year
the present condition of Project 종료
State of proposition 재단승인
Completion Date 2017년 11월 07일
Year type 결과보고
Year(final report) 2017년
Research Summary
  • Korean
  • 본 논문은 주식의 횡단면 가격 결정에서 수익률 분포의 차이 (분포의 불확실성)의 유의성을 연구한다. 분포의 불확실성에 대한 간략한 대리변수들은 개별 주식의 수익률과 시장 수익률 간의 분포의 차이를 측정한다. 본 연구에서는 더 높은 분포의 불확실성을 가진 주식이 더 높은 수익률을 보임을 발견하고, 가장 높고 가장 낮은 분포의 불확실성을 가진 포트폴리오의 수익률 차이는 상당히 양의 값을 갖는 것을 확인 할 수 있다.
  • English
  • We investigate the significance of differences of the return distribution (distribution uncertainty) in the cross-sectional pricing of stocks. Our parsimonious proxies for distribution uncertainty measure the difference of distributions between an individual stock return and the market return. We find that stocks with higher distribution uncertainty exhibit higher returns, and the difference between the returns on the portfolios with the highest and lowest distribution uncertainty is significantly positive. We investigate the robustness of our empirical results and find that the impact of distribution uncertainty persists after accounting for firm characteristics.
Research result report
  • Abstract
  • We investigate the significance of differences of the return distribution (distribution uncertainty) in the cross-sectional pricing of stocks. Our parsimonious proxies for distribution uncertainty measure the difference of distributions between an individual stock return and the market return. We find that stocks with higher distribution uncertainty exhibit higher returns, and the difference between the returns on the portfolios with the highest and lowest distribution uncertainty is significantly positive. We investigate the robustness of our empirical results and find that the impact of distribution uncertainty persists after accounting for firm characteristics.
  • Research result and Utilization method
  • Our results show that stocks with severe distribution uncertainty exhibit high returns on average, and the difference between returns on the portfolios with highest and lowest distribution uncertainty is almost 2% per month. The corresponding four-factor alphas from high-minus-low KS, CM, and K-sorted portfolios are 1.87% to 2.62% a month. We extensively investigate the robustness of our empirical results and find that the impact of distribution uncertainty persists after accounting for firm characteristics, such as beta, size, book-to-market ratio, momentum, short-term reversal, and illiquidity.
  • Index terms
  • 분포의 불확실성, 기대주식수익률, 수익률분포의 차이
  • List of digital content of this reports
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