DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Lee, Sang-Bin | - |
dc.contributor.advisor | 이상빈 | - |
dc.contributor.author | Huh, Sung-Moo | - |
dc.contributor.author | 허성무 | - |
dc.date.accessioned | 2011-12-14T06:05:23Z | - |
dc.date.available | 2011-12-14T06:05:23Z | - |
dc.date.issued | 1991 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=68021&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/44912 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 경영과학과, 1991.2, [ iv, 77 p. ] | - |
dc.description.abstract | Arbitrage Pricing Theory (APT) is the main research field of finance. This thesis is willing to lighten whether the macro economic variables used instead of factor analysis are priced. And to overcome the limitation of traditional methodology-the time-invariant assumption of factor loading, we used a new technique called artificial neural network. With the technique factor selection and factor loading estimation method are developed. Macro-economic variables selected as common factors are inflation, $M_2$, house price index, industry production index, oil price, exchange rate, bond risk premium, and market reture. 26 industry indices are used as dependent variables. We have trained the neural network from July, 1982 to December, 1988. Bond risk premium, market return, house price index, and $M_2$ are shown to be significant on returns of stocks over the training period. At each time bond risk premium and market return are shown to be almost significant. But $M_2$ and inflation alternate signficance and insignificane. House price have the great effect on the returns at a certain period. We can say from empirical results that there is 3 or 4 commom factors in Korean stock market and factor loading and factor risk premium are time varying. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.title | (A) study on arbitrage pricing theory by artificial neural networks | - |
dc.title.alternative | 인공 신경망 기법을 이용한 재정가격 결정모형에 관한 실증분석 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 68021/325007 | - |
dc.description.department | 한국과학기술원 : 경영과학과, | - |
dc.identifier.uid | 000891541 | - |
dc.contributor.localauthor | Lee, Sang-Bin | - |
dc.contributor.localauthor | 이상빈 | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.