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Do the Factor-Based Strategies Deliver in Korean Stock Market : 한국 주식 시장에서의 요인 모형에 입각한 수익률의 유의성
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- Authors
- Advisor
- 조재호
- Major
- 경영대학 경영학과
- Issue Date
- 2017-08
- Publisher
- 서울대학교 대학원
- Description
- 학위논문 (석사)-- 서울대학교 대학원 경영대학 경영학과, 2017. 8. 조재호.
- Abstract
- This paper measures the significance of returns from factor-based strategies in Korean Stock market. The assessment of the significance employs the differences in the returns of long-short portfolios constructed upon five main factors introduced in many finance papers: volatility, value, size, liquidity, and quality, and that in Sharpe ratios of those portfolios. Although most of the factor-based strategies show no significant result, some factor-based strategies show positive average return with improved volatility. The reason for lack of statistical results possibly attributes to the shortage of data since the stock data after 2000 in Korean market is reliable.
- Language
- English
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