DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Lee, Kyu Seok | - |
dc.contributor.advisor | 이규석 | - |
dc.contributor.author | YANG, YEO WOOL | - |
dc.date.accessioned | 2018-06-20T06:14:19Z | - |
dc.date.available | 2018-06-20T06:14:19Z | - |
dc.date.issued | 2017 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=719378&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/242790 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2017.8,[iv, 37 p. :] | - |
dc.description.abstract | Widespread empirical studies have documented value and momentum styles investment in global equity markets including Korea to generate significant risk premium. In this paper, I suggest two main academic contributions. First, I empirically find the best performing long-only pure-play strategy of value and momentum in the Korea equity market. Second, I test three different weighting schemes of how to combine two prominent style factor portfolios to evaluate which weighting methodology improve pure-play portfolio’s performances. I apply the static weighting schemes of 50/50 COMBO, time-varying weighting schemes according to FTSE Russell index methodology and market-status dependent weighting scheme using predictive regression. The empirical result in this paper imply that 50/50 COMBO fail to improve Sharpe ratio of each pure-play style portfolio regardless of slight negative correlation. However, long-only factor portfolios adopting either time-varying weighting schemes or market-status dependent weighting scheme illustrate significant improvement in performances. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | style investing▼avalue factor portfolio▼amomentum factor portfolio▼asmart-beta▼acombined factor portfolio▼asignal-weighted portfolio | - |
dc.subject | 스타일투자▼a가치 전략▼a모멘텀 전략▼a스마트 베타▼a결합투자전략▼a상대 강도 가중 스타일 포트폴리오 | - |
dc.title | (An) empirical study on different weighting schemes of value and momentum strategies in the Korean equity market | - |
dc.title.alternative | 한국주식시장에서의 가치전략과 모멘텀 전략간 다양한 가중방식에 대한 실증연구 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :금융공학프로그램, | - |
dc.contributor.alternativeauthor | 양여울 | - |
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