Earticle

초록

영어

This paper makes three contributions to the literature on predictability stock returns in the Korean stock market. We focus on out-of-sample forecasting of returns based on industry portfolios are predictability. From the results, we discover that in-sample and out-of-sample test during from 2000 to 2015, predictability is not homogeneous. Furthermore, we examine the determinants of out-of-sample predictability for each sector using industry characteristics and find strong evidence that return predictability has links to certain industry characteristics, such as book-to-market ratio, dividend yield, size, price earnings ratio, and trading volume. We also discover a mean combination forecast approach which has significant out-of-sample performance.

목차

ABSTRACT
 1. Introduction
 2. Methodology
  2.1. In-sample predictability tests
  2.2. Out-of-sample forecast evaluation measures
  2.3. Data
 3. Empirical result
  3.1. Preliminary statistical features of the data
  3.2. In-sample predictability test results
  3.3 Out-of-sample predictability tests
 4. Conclusion
 Reference

키워드

저자

• Hoyoung Ryu [ Ph.D student, Department of Business Administration, Pusan National University, Korea ]
• Van Hai Hoang [ Ph.D student, Department of Business Administration, Pusan National University, Korea ]
• Hee-un Ko [ Ph.D student, Department of Business Administration, Pusan National University, Korea ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330