Earticle

초록

영어

Using the Fama and French (1993) three-factor model, this paper provides an explanation for the variation of idiosyncratic return in the Korean stock market over the period of 1990-2012. There had been an upward trend until 1999 in idiosyncratic volatility and its trend has been reversed afterwards. Our analysis yields three main results. Firstly, it appears that all four explanatory variables, two fundamentals related variables of the variance of return on equity and a proxy of growth options and two trading volume related variables of trading volume and foreign ownership ratio, explain considerable proportion of idiosyncratic return variation. Most interestingly, foreign investors have stabilizing effect on firm-specific risk in the Korean stock market. Secondly, a firm’s characteristics such as size and export orientation exert some influence on idiosyncratic volatility. Lastly, the absolute and relative explanatory powers of the four explanatory variables vary through time and diminish as the sample period ends, implying the need to search for further explanatory variables.

목차

Abstract
 I. Introduction
 II. A Brief Review of Relevant Literature
 II. Data and Methodology
  1. Data Sources
  2. Idiosyncratic Volatility
  3. Explanatory Variables
 IV. Results and Discussion
  1. Tests for Structural Break
  2. Univariate Regressions
  3. Multivariate Regressions
  4. Effects of Size and Export on Idiosyncratic Volatility
  5. Change in Explanatory Power
 IV. Concluding Remarks
 Appendix
 References

키워드

저자

• Sangkyu Lee [ Kyung Hee University, Seoul, Korea ] Corresponding author
• Anna Moon [ Kyung Hee University, Seoul, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330