서지주요정보
韓國證券市場에서 Multi-factor 모델의 設定 可能性에 關한 硏究 = An empirical study on the applicability of the multi-factor models to the korean stock market
서명 / 저자 韓國證券市場에서 Multi-factor 모델의 設定 可能性에 關한 硏究 = An empirical study on the applicability of the multi-factor models to the korean stock market / 金炳大.
저자명 김병대 ; Kim, Byung-Dae
발행사항 [서울 : 한국과학기술원, 1985].
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소장정보

등록번호

4103366

소장위치/청구기호

학술문화관(문화관) 보존서고

MMGS 8503

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초록정보

When Sharpe's Single-Index model was applied to the Korean Stock Market, it's explanatory powers were very low. This implied the existence of the Extra-Market Components in the Korean market. The assumption that the returns of various stocks are related only through common relationships with the market was rejected through the Chi-Square test. Then Three Two-Factor Models were constructed. Homogeneous Group effects were introduced through the Cluster Analysis technique suggested by King. Pseudo-Industry effects were introduced through Principal Component Analysis. An Interest-Rate factor was introduced as an Extra-Market Component. Canonical Correlation Analysis was used in order that the effects of the Interest-Rate be analyzed further. Additionally, Three Factor Analysis methods (Principal Component, Alpha, and Rao) were applied to the two different samples. It is interesting that the stock belonging to the "Construction Industry" were clustered into a unique group by the Cluster Analysis and the Pseudo-Industry technique. The Interest-Rate factor did not have any significant explanatory powers, but played important roles in the determination of the characteristics of the groups. The results of the Canonical Correlation Analysis suggested the high possibility that the first factor may not be the market factor. It was found that the structures of the factors extracted by the Factor Analysis methods were not clear in comparison to those of the U.S. Stock Markets. These structures of the factors resulted in the difficulty in finding common factors. The findings of this article may not be general because of the size of the samples. The samples must be extended time-serially and cross-sectionally to obtain more general findings.

서지기타정보

서지기타정보
청구기호 {MMGS 8503
형태사항 ii, ii, 83 p. : 삽도 ; 26 cm
언어 한국어
일반주기 부록 수록
저자명의 영문표기 : Byung-Dae Kim
지도교수의 한글표기 : 장충식
지도교수의 영문표기 : Chung-Sik Chang
학위논문 학위논문(석사) - 한국과학기술원 : 경영과학과,
서지주기 참고문헌 : p. 68-75
주제 Stocks.
Canonical correlation (Statistics)
주식 시장. --과학기술용어시소러스
재무 관리. --과학기술용어시소러스
통계 분석. --과학기술용어시소러스
Finance.
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