Earticle

초록

영어

This paper is an empirical investigation intended to provide a comprehensive picture of the determinants of the cross-sectional stock returns in Korea, employing the research design and empirical methodologies of Fama and French (1992, 1993), and taking into account recent critique of empirical asset pricing literature such as the low power of the test diagnostics and the bias induced by noise in prices. We do not find convincing empirical evidence supporting the Fama-French three factor model as a benchmark asset pricing model for risk-adjustment. We also find that the bias induced by noisy prices is substantial in mean returns of equally-weighted portfolios, consistent with the findings of Asparouhova, Bessembinder, and Kalcheva (2013) for the US stock returns.

목차

Abstract
 1. Introduction
 2. The Cross-sectional Relationship at the Firm Level
  2.1 Data and Sample Period
  2.2 Fama-MacBeth Regression at the Firm Level: Beta and Financial Ratios
  2.3 Proxies for Liquidity: Share Turnover and Amihud’s (2002) Illiquidity Measure
 3. Constructing Factor Portfolios
  3.1 Proxies for the Market Portfolio and Risk-free Rate
  3.2 Double-sorted Factor Portfolios
  3.3 Value-weighted vs. Equal-weighted Returns: Bias in Mean Returns
  3.4 Momentum Factors
 4. Pricing Factor Portfolios
 5. Estimating the Factor Risk Premium in the Cross-section of Portfolio Returns
 6. Concluding Remarks
 References
 Appendix
 Table
 Figure

키워드

저자

• Jaehoon Hahn [ Yonsei University School of Business ] Corresponding author
• Heebin Yoon [ Yonsei University School of Business ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330