S-Space College of Natural Sciences (자연과학대학) Dept. of Statistics (통계학과) Theses (Master's Degree_통계학과)
Longitudinal Analysis of Barra Multi Factor Model Using R
- Mynghee Cho Paik
- 자연과학대학 통계학과
- Issue Date
- 서울대학교 대학원
- Linear mixed effects model; random effect; Barra multi factor model; MSCI Korea Equity Index
- 학위논문 (석사)-- 서울대학교 대학원 : 통계학과, 2015. 2. Myunghee Cho Paik.
- Barra multi factor model has been widely used in this mature capital market. Many investors use this model to obtain the estimates of the market risk and excess returns. In this paper, Barra multi factor model framework is constructed by longitudinal data analysis, linear mixed effects model, in Korea stock market since the idea of each company is correlated and then consideration of random effect is appropriate. This application might be quite useful to fit a data and gives a good explanation.