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(A) study on size anomalies in UK financial stock returns : 영국 금융주의 규모요인에 대한 연구
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 조성욱 | - |
dc.contributor.author | 신동엽 | - |
dc.date.accessioned | 2017-07-14T05:20:14Z | - |
dc.date.available | 2017-07-14T05:20:14Z | - |
dc.date.issued | 2016-08 | - |
dc.identifier.other | 000000136875 | - |
dc.identifier.uri | https://hdl.handle.net/10371/124684 | - |
dc.description | 학위논문 (석사)-- 서울대학교 대학원 : 경영학과 재무·금융전공, 2016. 8. 조성욱. | - |
dc.description.abstract | Since the 2008 Global Financial Crisis, global efforts have been collected together to prevent such catastrophe from negatively influencing the entire economy such as designating and regulating the Systemically Important Financial Institutions. Following the methodologies by Gandhi and Lustig (2015), this paper attempts to uncover firstly whether there is a new size anomaly in UK financial stocks and construct a new size factor that can explain the size anomaly found. By way of construction, the new size factor uncovers the common variation and the industry specific risks found in financial companies. Lastly, the results show industry-specific government guarantees that protect the largest financial institutions. | - |
dc.description.tableofcontents | Chapter 1. introduction 3
Chapter 2. Prior studies 5 Chapter 3. Data and methodology 8 Chapter 4. Size effect in UK financial stock returns 12 Chapter 5. New size factor in UK financial stock returns 16 Chapter 6. On tail risk pricing and the government 24 Chapter 7. Conclusion 27 References 40 | - |
dc.format | application/pdf | - |
dc.format.extent | 770185 bytes | - |
dc.format.medium | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | 서울대학교 대학원 | - |
dc.subject | 규모요인 | - |
dc.subject.ddc | 658 | - |
dc.title | (A) study on size anomalies in UK financial stock returns | - |
dc.title.alternative | 영국 금융주의 규모요인에 대한 연구 | - |
dc.type | Thesis | - |
dc.contributor.AlternativeAuthor | Dongyub Shin | - |
dc.description.degree | Master | - |
dc.citation.pages | 41 | - |
dc.contributor.affiliation | 경영대학 경영학과 | - |
dc.date.awarded | 2016-08 | - |
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