서지주요정보
資本資産價格決定模型을 利用한 先物換率의 리스크프리미엄에 關한 實證的 硏究 = An emperical study on the risk premiums in the forward foreign exchange rate using capital asset pricing model
서명 / 저자 資本資産價格決定模型을 利用한 先物換率의 리스크프리미엄에 關한 實證的 硏究 = An emperical study on the risk premiums in the forward foreign exchange rate using capital asset pricing model / 金承卓.
발행사항 [서울 : 한국과학기술원, 1985].
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소장정보

등록번호

4103382

소장위치/청구기호

학술문화관(문화관) 보존서고

MMGS 8504

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리뷰정보

초록정보

The purpose of this study is to investigate empirically a risk premium in the forward foreign exchange rate with the framework of capital asset pricing model. The results of empirical research using six currency data in U.S. forward foreign exchange market show that there exist risk premiums in at least three currencies and these premiums conform to CAPM. This study has two major contributions: One of them is the introduction of new model which associates Solnik's variable with the international stock market. The other is the use of Box-Jenkins forecast data as a proxy of future expectation. But this study still has many limitations and weaknesses from the view of theory building and research methodology. Thus some directions of further research are suggested.

서지기타정보

서지기타정보
청구기호 {MMGS 8504
형태사항 iii, 62 p. : 삽도 ; 26 cm
언어 한국어
일반주기 부록 수록
저자명의 영문표기 : Sung-Tak Kim
지도교수의 한글표기 : 장충식
지도교수의 영문표기 : Chung-Sik Chang
학위논문 학위논문(석사) - 한국과학기술원 : 경영과학과,
서지주기 참고문헌 : p. 55-62
주제 Finance.
Foreign exchange future.
가격 결정. --과학기술용어시소러스
재무 관리. --과학기술용어시소러스
Pricing.
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