À繫¿¬±¸ Á¦ ±Ç È£ (2014³â 11¿ù)
Asian Review of Financial Research, Vol., No..
pp.639~684
pp.639~684
Characterizing the Cross-section of Stock Returns in Korea : A Comprehensive Look at the Past Two Decades
Jaehoon Hahn Yonsei University School of Business
Heebin Yoon Yonsei University School of Business
This paper is an empirical investigation intended to provide a comprehensive picture of the determinants of the cross-sectional stock returns in Korea, employing the research design and empirical methodologies of Fama and French (1992, 1993), and taking into account recent critique of empirical asset pricing literature such as the low power of the test diagnostics and the bias induced by noise in prices. We do not find convincing empirical evidence supporting the Fama-French three factor model as a benchmark asset pricing model for risk-adjustment. We also find that the bias induced by noisy prices is substantial in mean returns of equally-weighted portfolios, consistent with the findings of Asparouhova, Bessembinder, and Kalcheva (2013) for the US stock returns.
Jaehoon Hahn
Heebin Yoon
This paper is an empirical investigation intended to provide a comprehensive picture of the determinants of the cross-sectional stock returns in Korea, employing the research design and empirical methodologies of Fama and French (1992, 1993), and taking into account recent critique of empirical asset pricing literature such as the low power of the test diagnostics and the bias induced by noise in prices. We do not find convincing empirical evidence supporting the Fama-French three factor model as a benchmark asset pricing model for risk-adjustment. We also find that the bias induced by noisy prices is substantial in mean returns of equally-weighted portfolios, consistent with the findings of Asparouhova, Bessembinder, and Kalcheva (2013) for the US stock returns.
[ 07327 ] 67-8, Yeouinaru-ro, Yeongdeungpo-gu, Seoul, Korea TEL. +82-2-2003-9921 FAX. +82-2-2003-9979 E-mail. office@korfin.org COPYRIGHT(C) SINCE 1987 KOREAN FINANCE ASSOCIATION. All rights reserved.