서지주요정보
산업 및 월별 주가수익율에 대한 요인의 안정성 분석 = Analysis of stability of stock returns among sample groups across months
서명 / 저자 산업 및 월별 주가수익율에 대한 요인의 안정성 분석 = Analysis of stability of stock returns among sample groups across months / 조상구.
발행사항 [대전 : 한국과학기술원, 1990].
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등록번호

8001229

소장위치/청구기호

학술문화관(문화관) 보존서고

MMGS 9028

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초록정보

This paper investigates the stability of (a) covariance matrix and correlation matrix of stock returns, (b) the number of factors extracted, (c) degree of relationship of APT pricing among 13 different sample groups (three types of sample groups) across monthe in Korean Stock Market. These three types of sample groups are random samples, industry-based samples and market-value samples, containing twenty firms respectively. There are 2160 daily returns from 1.3 1980 to 12.31 1988. We use an maximum-likelihood factor analysis and asymptotic principal component analysis to estimate the pervasive factors influencing asset returns and regress factor lodings extracted in first stage on the stock returns. The empirical results shows that mean stock returns January are higer than those of months as well as that of the entire year. Also the number of factors extracted by maximum-likelihood factor analysis and asymptotic principal component analysis are stable across months and sample groups. In conculusion, the number of factors are stable across months and sample groups. APT pricing relationship are particulary valid in January month. Some empirical method will be improved by future research.

서지기타정보

서지기타정보
청구기호 {MMGS 9028
형태사항 [iv], 48 p. : 삽도 ; 26 cm
언어 한국어
일반주기 저자명의 영문표기 : Sang-Goo Cho
지도교수의 한글표기 : 노공균
지도교수의 영문표기 : Kong-Kyun Ro
학위논문 학위논문(석사) - 한국과학기술원 : 경영과학과,
서지주기 참고문헌 : p. 45-48
주제 Rate of return.
Stock exchange.
Economic stabilization.
수익성 분석. --과학기술용어시소러스
주식 시장. --과학기술용어시소러스
안정성 해석. --과학기술용어시소러스
Stocks.
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