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논문 기본 정보
- 자료유형
- 학술대회자료
- 저자정보
- 저널정보
- 한국로고스경영학회 한국로고스경영학회 학술발표대회논문집 The 15th Anniversary of Yanbian University of Science & Technology 2007 International Symposium Proceeding 2
- 발행연도
- 2007.7
- 수록면
- 71 - 98 (28page)
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초록· 키워드
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This study examines the effect of firm size and BE/ME (Book equity-to- Market equity ratios) factors, and tests Fama and French (993) three - factor model in Korean stock market. In addition. we also investigate the effect of the new-listing bias and survivorship bias on the expected stock returns.
Our study examines 96 monthly data on common stocks listed in Korean Stock Exchange from January 1990 to December 1997. These samples have December fiscal year ending and we except for financial or institutional firm. The systematic risk for an individual stock, beta (β). is estimated through the market model using 24 monthly returns just before the composition of portfolio.
The sample consists of 452 firms listed on KSRI from 1990 to 1997 (sample A), 558 firms include of 106 newly listed firms for estimation periods (sample B). 494 include of 42 delisted firms (sample C). and 600 include of these all firms (smaple D). The sample C has not bias but the sample A is affected by the survivorship bias, the sample B has the new-listing bias and the survivorship bias. and sample D is affected by the new-listing bias. The number of firms in sample B. C and D changed every year. Each firm is allocated to 25 portfolios sorted based on their firm size and BE/ME.
According to the results of cross- sectional regressions. firm size have a significant negative (-) sign in sample A and C, but not significant in the sample Band D. That is. there is size effect and new listing bias is serious enough to offset the size effect but the effect of survivorship bias is insignificant. On the other hand, BE/ME have a significant positive (+) sign in all the samples BE/ME effect is robust about the survivor and new-listing biases and ;9 is not significant.
According to the result of time series analysis, market factor. firm size and BE/ME factor appear all to be significant variables explaining stock returns. which suggests that the three-factor model is useful in explaining expected stock returns. The significance of the three-factor model appears to be somewhat affected by new listing bias and the effect of survivorship bias was negligible.
Our study examines 96 monthly data on common stocks listed in Korean Stock Exchange from January 1990 to December 1997. These samples have December fiscal year ending and we except for financial or institutional firm. The systematic risk for an individual stock, beta (β). is estimated through the market model using 24 monthly returns just before the composition of portfolio.
The sample consists of 452 firms listed on KSRI from 1990 to 1997 (sample A), 558 firms include of 106 newly listed firms for estimation periods (sample B). 494 include of 42 delisted firms (sample C). and 600 include of these all firms (smaple D). The sample C has not bias but the sample A is affected by the survivorship bias, the sample B has the new-listing bias and the survivorship bias. and sample D is affected by the new-listing bias. The number of firms in sample B. C and D changed every year. Each firm is allocated to 25 portfolios sorted based on their firm size and BE/ME.
According to the results of cross- sectional regressions. firm size have a significant negative (-) sign in sample A and C, but not significant in the sample Band D. That is. there is size effect and new listing bias is serious enough to offset the size effect but the effect of survivorship bias is insignificant. On the other hand, BE/ME have a significant positive (+) sign in all the samples BE/ME effect is robust about the survivor and new-listing biases and ;9 is not significant.
According to the result of time series analysis, market factor. firm size and BE/ME factor appear all to be significant variables explaining stock returns. which suggests that the three-factor model is useful in explaining expected stock returns. The significance of the three-factor model appears to be somewhat affected by new listing bias and the effect of survivorship bias was negligible.
목차
Abstract
Ⅰ. Introduction
Ⅱ. Data and methodology
Ⅲ. Empirical analysis and results
Ⅳ. Conclusions
〈References〉
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