Market predictability of aggregate asset growth in Korean stock market : (A) time-series analysis한국시장에서 자산성장률의 시장수익률 예측력 : 시계열분석
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 Soonresearcher; 현정순researcher
- 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
- Appears in Collection
- KGSF-Theses_Master(석사논문)
- Files in This Item
- There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.