Earticle

초록

영어

This paper reviews 30 years of empirical research on asset pricing models in the Korean stock markets. The validity of the Capital Asset Pricing Model (CAPM) has been seriously challenged in Korea as in the other countries. The overall empirical results in Korea show, as they do in other countries, that the static CAPM fails to explain for stock returns in Korea. Contrary to the prediction of the CAPM, firm characteristic variables such as firm size, book-to-market, and earnings-to-price ratio have significant explanatory power for average stock returns in the Korean stock markets. Because of these CAPM-anomalous phenomena, various asset pricing models such as the types of Arbitrage Pricing Theory (APT), the Consumption-based Capital Asset Pricing Model (C-CAPM), and the types of the Intertemporal Capital Asset Pricing Model (I-CAPM) have been introduced and tested in the literature. The Fama and French(1993) three-factor model is arguably acceptable in explaining Korean stock returns. This paper also provides some explanations of various testing methodologies used in the literature for asset pricing models and discusses the related econometric issues.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. The Capital Asset Pricing Model (CAPM)
  1. Time-Series Tests of the CAPM
  2. Cross-Sectional Regression Tests of the CAPM
  3. Mis-specification Issues in the CSR Tests
  4. Conditional Versions of the CAPM and GMM Tests
 Ⅲ. Arbitrage Pricing Theory (APT)
  1. APT Tests by Identifying Both Factors and Factor Loadings
  2. APT Tests by Identifying Factors from Macroeconomic Variables
  3. APT Tests through Constructing Factor Mimicking Portfolios
 Ⅳ. The Consumption-Based Capital Asset Pricing Model(C-CAPM)
 V. Intertemporal Capital Asset Pricing Model
 Ⅳ. Summary and Concluding Remarks
 References

키워드

저자

• Dongcheol Kim [ Professor, Business School, Korea University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330