S-Space College of Business Administration/Business School (경영대학/대학원) Dept. of Business Administration (경영학과) Theses (Master's Degree_경영학과)
Can Granular Hypothesis Be Applied in Korean Economy? : Granular Hypothesis의 한국 경제 적용 가능성에 대한 실증 연구
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- 경영대학 경영학과
- Issue Date
- 서울대학교 대학원
- granular hypothesis ; idiosyncratic shock ; fundamental value ; stock return
- 학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2014. 2. 김우진.
- This paper tests whether idiosyncratic shock to large firms can explain GDP fluctuation in Korea using stock return as well as fundamental variables. The results show that large firms idiosyncratic stock calculated by fundamental variables fails to account for GDP growth when I control for the business cycle and several crisis dummies. In contrast, idiosyncratic shock to large firms derived by the stock return shows robust effect on GDP growth rate. However, the effect does not propagate through the business cycle. This idea might be useful to account for the fluctuation of GDP using stock market information and propose a new perspective for idiosyncratic shock.
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