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The Role of a Mispricing Factor in Korean Stock Market

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Authors

이용우

Advisor
김정욱
Major
경영대학 경영학과
Issue Date
2018-02
Publisher
서울대학교 대학원
Keywords
anomalyinvestor sentimentmispricing factor
Description
학위논문 (석사)-- 서울대학교 대학원 : 경영대학 경영학과, 2018. 2. 김정욱.
Abstract
This paper finds that a three-factor model with a mispricing factor along with size and market factors, proposed by Yuan and Stambaugh (2017), has a superior ability in accommodating anomalies in KOSPI market over prominent four- and five-factor alternative models, yet not in TOTAL and KOSDAQ market. The mispricing factor
combines information across 3 notable anomalies in TOTAL and KOSPI market, and 6 anomalies in KOSDAQ market by averaging rankings of anomalies. In addition, the result show that the investor sentiment has no effect on anomalies in Korea despite the fact that Korean stock market bears more short-sale risk and constraints than the U.S. stock market.
Language
English
URI
https://hdl.handle.net/10371/141284
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