Market predictability of aggregate asset growth in Korean stock market : (A) time-series analysis한국시장에서 자산성장률의 시장수익률 예측력 : 시계열분석
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | Hyun, Jung Soon | - |
| dc.contributor.advisor | 현정순 | - |
| dc.contributor.author | Yun, Sunmyoung | - |
| dc.date.accessioned | 2019-08-28T02:42:20Z | - |
| dc.date.available | 2019-08-28T02:42:20Z | - |
| dc.date.issued | 2019 | - |
| dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=844765&flag=dissertation | en_US |
| dc.identifier.uri | http://hdl.handle.net/10203/265798 | - |
| dc.description | 학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2019.2,[iii, 30 p. :] | - |
| dc.description.abstract | 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. | - |
| dc.language | eng | - |
| dc.publisher | 한국과학기술원 | - |
| dc.subject | Aggregate asset growth▼amarket returns▼aprediction▼atime-series▼atime-varying risk premium▼aextrapolation | - |
| dc.subject | 자산성장률▼a시장수익률▼a시계열분석▼a예측력▼a프리미엄 | - |
| dc.title | Market predictability of aggregate asset growth in Korean stock market | - |
| dc.title.alternative | 한국시장에서 자산성장률의 시장수익률 예측력 : 시계열분석 | - |
| dc.type | Thesis(Master) | - |
| dc.identifier.CNRN | 325007 | - |
| dc.description.department | 한국과학기술원 :금융공학프로그램, | - |
| dc.contributor.alternativeauthor | 윤선명 | - |
| dc.title.subtitle | (A) time-series analysis | - |
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