서지주요정보
株式의 體系的 危險에 관한 實證的 硏究 = An empirical study on the systematic risk of equity
서명 / 저자 株式의 體系的 危險에 관한 實證的 硏究 = An empirical study on the systematic risk of equity / 吳泰一.
저자명 오태일 ; Oh, Tae-Il
발행사항 [서울 : 한국과학기술원, 1981].
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등록번호

4001202

소장위치/청구기호

학술문화관(문화관) 보존서고

MMGS 8118

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Within the framework of capital market theories, the systematic risk, which cannot be eliminated by diversification, is the sole relevant risk to which risk premium relates. The purposes of this study are twofold. First, it estimates the relationship between the measure of systematic risk (beta) and characteristics of a firm. Second, it aims at improving the ability of predicting the future beta based on the information on the characteristics of a firm. First, the stability of beta in Korean Stock Exchange Market was examined by the correlation and regression analyses of cross-sectional data. It was found that historical betas are a poor predictor for the future betas and they have reversion tendency toward mean (unity). Second, regression analyses have been made using beta as the dependent variable and systematic Risk of a firm, debt to equity ratio, firm size and growth rate as independent variables. As the proxy variables for the systematic risk of a firm, industry (dummy) variables and covariance of sales volume were used. The results have shown that most variables have significant relationships with beta for the data for the entire period, 1976-79, but, for the data for two subperiods, the significance level is low and not consistent. Third, prediction errors were analyzed using the naive prediction method(unity), historical beta and fundamental approach which bases its prediction on the characteristics of a firm. Bayesian adjusted beta proved to be a better predictor than unadjusted beta. The information on the characteristics of a firm is found to be useful to decrease the errors of prediction.

서지기타정보

서지기타정보
청구기호 {MMGS 8118
형태사항 iv, 70, [6] p. : 삽도 ; 26 cm
언어 한국어
일반주기 저자명의 영문표기 : Tae-Il Oh
지도교수의 한글표기 : 노공균
지도교수의 영문표기 : Kong-Kyun Ro
학위논문 학위논문(석사) - 한국과학기술원 : 산업공학과,
서지주기 참고문헌 수록
주제 Stock.
Finance.
Risk management.
주식. --과학기술용어시소러스
위험 분석. --과학기술용어시소러스
주식 시장. --과학기술용어시소러스
재무 관리. --과학기술용어시소러스
Stock exchange.
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