S-Space College of Business Administration/Business School (경영대학/대학원) Dept. of Business Administration (경영학과) Theses (Master's Degree_경영학과)
Capturing the Level, Slope and Curve Factor of Stock Returns in Korea
한국 주식시장에서의 수준, 기울기, 곡률 요인 모형에 대한 연구
- 경영대학 경영학과
- Issue Date
- 서울대학교 대학원
- Factor Models
- 학위논문 (석사)-- 서울대학교 대학원 : 경영학과 재무금융전공, 2016. 8. 채준.
- Using Clarke (2016)s procedure, I construct and test a Level, Slope, and Curve (LSC) Factor Model of stock returns in Korea. Built using a nearly identical specification to the US version, the model reflects characteristics of the cross section of expected returns in Korean stocks, by the means of reversed pattern in the curve factor. It is also robust to a number of time series and cross-sectional sensitivity checks. Moreover, a set of asset pricing tests run on 80 test asset portfolios suggests that the model prices the cross-section of expected returns to a considerable degree, and performs better than other such well known models as the CAPM, Liquidity Factor Model, and the Conditional CAPM. While the model does not yet dominate the more popular Fama and French (1993) and Carhart (1997)s momentum factor models under its original form, it also leaves room for future progress since the model can be readily expanded to accommodate new anomalies.