Market predictability of aggregate asset growth in Korean stock market : (A) time-series analysis = 한국시장에서 자산성장률의 시장수익률 예측력 : 시계열분석(A) time-series analysis

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This thesis explores the predictability of aggregated asset growth on the market return. In Korean Stock market, aggregated asset growth outperforms other commonly-implemented macroeconomic variables in forecasting market returns. This predictive power of aggregate asset growth, found to be supported by the growth of several financial subcomponents, can be explained by time-varying risk premium and behavioral bias.
Advisors
Hyun, Jung Soonresearcher현정순researcher
Description
한국과학기술원 :금융공학프로그램,
Publisher
한국과학기술원
Issue Date
2019
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2019.2,[iii, 30 p. :]

Keywords

Aggregate asset growth▼amarket returns▼aprediction▼atime-series▼atime-varying risk premium▼aextrapolation; 자산성장률▼a시장수익률▼a시계열분석▼a예측력▼a프리미엄

URI
http://hdl.handle.net/10203/265798
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=844765&flag=dissertation
Appears in Collection
KGSF-Theses_Master(석사논문)
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