Earticle

초록

영어

This paper evaluates and compares asset pricing models in the Korean stock market. The asset pricing models considered are the CAPM, APT-motivated models, the Consumptionbased CAPM, Intertemporal CAPM-motivated models, and the Jagannathan and Wang conditional CAPM model. By using various test portfolios as well as individual stocks, we conduct time-series tests and cross-sectional regression tests based on individual t-tests, the joint F-tests, the Hansen and Jagannathan (1997) distance, and R-squares. Overall, the Fama and French (1993) five-factor model performs most satisfactorily among the asset pricing models considered in explaining the intertemporal and cross-sectional behavior of stock returns in Korea. The Fama and French (1993) three-factor model, the Chen, Novy-Marx, and Zhang (2010) three-factor model, and the Campbell (1996) model are the next. The results indicate that the two bond portfolios, term spread and default spread, play an important role in explaining stock returns in Korea.

목차

Abstract
 1. Introduction
 2. Asset Pricing Models
 3. Construction of the Factors
 4. Data
 5. Empirical Results
  5.1 Constructing Test Portfolios
  5.2 Computing Risk-Free Returns
  5.3 Basic Statistics of the Factors
  5.4 Time-Series Tests
  5.5 Cross-Sectional Regression Tests
 6. Summary Remarks and Conclusions
 References
 Table

키워드

저자

• Dongcheol Kim [ Korea University Business School ] Corresponding author
• Soon-Ho Kim [ Korea University Business School, Anam-dong, Seongbuk-gu, Seoul 136-701, Korea ]
• Hyun-Soo Shin [ Korea University Business School, Anam-dong, Seongbuk-gu, Seoul 136-701, Korea. ]

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간행물

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• 간행물명

  한국재무학회 학술대회

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  2006~2024

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  KDC 325 DDC 330