서지주요정보
裁定價格決定理論의 實證分析에 關한 硏究 = An empirical study on the arbitrage pricing theory in the korean stock markets
서명 / 저자 裁定價格決定理論의 實證分析에 關한 硏究 = An empirical study on the arbitrage pricing theory in the korean stock markets / 琴東燁.
발행사항 [서울 : 한국과학기술원, 1986].
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4103952

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학술문화관(문화관) 보존서고

MMGS 8602

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The purpose of this paper is to test the applicability of the Arbitrage Pricing Theory (APT) developed by Ross in the Korean Stock Markets. Also, the paper tests the consistency of the factor structure and the return of riskless asset between the two separate groups, which is one of the problems in testing the APT. The APT as an alternative to the mean-variance Capital Asset Pricing Model (CAPM) suggests that the equilibrium expected return on the capital asset can be explained by a linear combination of several factors. The samples of the study are the monthly returns of 160 common stocks that have listed on the Korean Stock Exchange from Jan. 1977 to Dec. 1984. The results of the study are as follows : First, the Chi-Square tests in Rao's factor analysis indicate that there exist 3 to 7 significant common factors in the Korean stock markets; but six is conservative in the sense of including, with high probability, at least as many estimated factors as there are true factors. Second, the results from the cross-sectional regression reveals that the estimated factors are rarely priced. But a Chi-Square test of joint significance of risk premia suggested by Dhrymes, Friend, and Gultekin indicates that the null hypothesis of no linear relation can be rejected for the APT. This findings conclude that our data seem to support the APT. Third, the tests on the consistency of the factor structure and the return of riskless asset between the two separate groups reveals that the differences between them are not significant. And the return of riskless asset is significantly different from zero. These findings further support the validity of the APT.

서지기타정보

서지기타정보
청구기호 {MMGS 8602
형태사항 [iii], 50 p. : 삽도 ; 26 cm
언어 한국어
일반주기 저자명의 영문표기 : Dong-Yeub Keum
지도교수의 한글표기 : 장충식
지도교수의 영문표기 : Chung-Sik Chang
학위논문 학위논문(석사) - 한국과학기술원 : 경영과학과,
서지주기 참고문헌 : p. 44-50
주제 Pricing.
Arbitragy.
Statistical hypothesis testing.
재무 관리. --과학기술용어시소러스
가격 결정. --과학기술용어시소러스
통계 분석. --과학기술용어시소러스
Finance.
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