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Momentum crashes in Korean stock market : 모멘텀 붕괴현상 한국 유가증권시장 연구
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 박소정 | - |
dc.contributor.author | Rui Pinghai | - |
dc.date.accessioned | 2017-07-14T05:21:53Z | - |
dc.date.available | 2017-07-14T05:21:53Z | - |
dc.date.issued | 2017-02 | - |
dc.identifier.other | 000000141247 | - |
dc.identifier.uri | https://hdl.handle.net/10371/124718 | - |
dc.description | 학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2017. 2. 박소정. | - |
dc.description.abstract | This study investigates momentum crashes in Korean stock market following up the Kent Daniel (2016) paper. We find that the momentum crashes always happen during the bear market states with high market volatility. Especially, during the market upswings period, the loser portfolio has better performance than winner portfolio. Moreover, the momentum crashes themselves are predictable. When we apply the bear market indicator and ex ante estimated volatility to compute the conditional mean and conditional variance of momentum strategy. Those two elements help us build a dynamic weighting strategy to improve the momentum strategy performance. The results show that the Shape ratio of dynamic strategy is twice bigger than the constant volatility strategy. In the spanning test, the dynamic strategy market model alpha and constant volatility model alpha are both significant and positive. | - |
dc.description.tableofcontents | 1. Introduction 1
2. Korea equity momentum 5 2.1 Data and portfolio formation 5 2.2 Momentum portfolio performance 6 2.3 Momentum crashes 7 3. Time-varying beta and option-like payoffs 10 3.1 Market states and momentum 11 3.2 Market timing of momentum strategy 13 3.3 Momentum portfolio optionality 17 3.4 Market stress and momentum returns 18 4. Dynamic weighting of the momentum portfolio 20 4.1 Dynamic strategy performance 25 4.2 Sub-sample dynamic strategy performance 26 4.3 Out-of-sample performance 27 4.4 Out-of-sample dynamic strategy performance 27 5. Conclusion 29 Reference 31 요약(국문초록) 32 | - |
dc.format | application/pdf | - |
dc.format.extent | 1052856 bytes | - |
dc.format.medium | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | 서울대학교 대학원 | - |
dc.subject | Momentum crashes | - |
dc.subject | dynamic weighting | - |
dc.subject | constant volatility | - |
dc.subject.ddc | 658 | - |
dc.title | Momentum crashes in Korean stock market | - |
dc.title.alternative | 모멘텀 붕괴현상 한국 유가증권시장 연구 | - |
dc.type | Thesis | - |
dc.contributor.AlternativeAuthor | 예평해 | - |
dc.description.degree | Master | - |
dc.citation.pages | 37 | - |
dc.contributor.affiliation | 경영대학 경영학과 | - |
dc.date.awarded | 2017-02 | - |
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