Studies on price momentum, post-earnings announcement drift, and multi-factor asset pricing model = 가격 추세, 수익 발표 후 변동, 다중 요인 자산 가격결정 모형에 대한 연구들

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This dissertation is composed of three dissertations. The first dissertation shows how price momentum, which is representative anomaly in the financial market, can be interpreted with theoretical and empirical studies. The second dissertation shows how post-earnings announcement drift, which is representative anomaly in the financial market, can be interpreted and difference between the measure using earnings and the measure using operating income with theoretical and empirical studies. The third dissertation shows possibility that multi-factor can be improved to a better single factor in the multi-factor asset pricing model with theoretical and empirical studies.
Advisors
Hyun, Jung-Soonresearcher현정순researcher
Description
한국과학기술원 :경영공학부,
Publisher
한국과학기술원
Issue Date
2018
Identifier
325007
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 경영공학부, 2018.2,[iv, 128 p. :]

Keywords

Price momentum▼aPost-earnings announcement drift▼aEarnings momentum▼aMulti-factor asset pricing model▼aValuation model; 가격 추세▼a수익 발표 후 변동▼a수익 추세▼a다중 요인 자산 가격결정 모형▼a가치평가 모형

URI
http://hdl.handle.net/10203/264455
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=842545&flag=dissertation
Appears in Collection
MT-Theses_Ph.D.(박사논문)
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