DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kang, Jang-Koo | - |
dc.contributor.advisor | 강장구 | - |
dc.contributor.author | Kang, Han-Kil | - |
dc.contributor.author | 강한길 | - |
dc.date.accessioned | 2011-12-27T01:43:49Z | - |
dc.date.available | 2011-12-27T01:43:49Z | - |
dc.date.issued | 2010 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=455095&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/52852 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 경영공학과, 2010.08, [ iii, 30 p. ] | - |
dc.description.abstract | Given its striking empirical performance, we examine whether the Chen and Zhang (2010) model explains the time-varying patterns in stock returns, captured by the common conditioning variables. With a variety of test portfolios, we find that fitted conditional expected return (fit) is always statistically significant in the presence of the Chen-Zhang factors. Moreover, when the fit is included in the analysis, the magnitude of the Chen-Zhang factors is consistently smaller and the fit drives out the significance of the Chen-Zhang factors. Our empirical results cast some doubt on the validity of Chen-Zhang model as a conditional benchmark for risk adjustment. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | conditional asset pricing model | - |
dc.subject | Chen-Zhang three factor model | - |
dc.subject | expected return | - |
dc.subject | 기대수익률 | - |
dc.subject | 조건부 자산가격 모형 | - |
dc.subject | Chen-Zhang 3요인 모형 | - |
dc.title | Does the chen-zhang model capture the time-varying patterns in stock returns? | - |
dc.title.alternative | Chen-Zhang 모형의 주가 수익률 시간적 변화 양상 포착에 관한 연구 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 455095/325007 | - |
dc.description.department | 한국과학기술원 : 경영공학과, | - |
dc.identifier.uid | 020083011 | - |
dc.contributor.localauthor | Kang, Jang-Koo | - |
dc.contributor.localauthor | 강장구 | - |
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