DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kang, Jang Koo | - |
dc.contributor.advisor | 강장구 | - |
dc.contributor.author | Bae, Jae Wan | - |
dc.date.accessioned | 2019-08-28T02:39:03Z | - |
dc.date.available | 2019-08-28T02:39:03Z | - |
dc.date.issued | 2018 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=842557&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/265618 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 경영공학부, 2018.2,[42 p. :] | - |
dc.description.abstract | The main goal of this thesis is estimating consumption risk exposures at the firm-level. To avoid existing problems in estimating consumption betas at the firm-level such as measurement errors in low-frequency consumption data or covariance structures, I map out the relation between consumption betas and a set of firm characteristics using panel regressions. The decile portfolios sorted by consumption risk exposures calculated by firm characteristics yield monotonically increasing average returns which are statistically significant and robust to risk adjustment. Moreover, I show that consumption betas implied by firm characteristics capture the cross-sectional variation in expected returns of industry portfolios. Finally, I examine Fama-MacBeth regressions and the results indicate that risk exposures implied by characteristics dominate other alternative factor models at explaining cross-sectional variation in mean returns. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Anomalies | - |
dc.subject | consumption risk▼aexpected returns▼afirm characteristics▼aindustry characteristics | - |
dc.subject | 기대 수익률▼a기업특성▼a소비위험▼a시장 이상현상▼a산업 특성 | - |
dc.title | Consumption risk exposures based on firm characteristics in the Korean stock market | - |
dc.title.alternative | 한국 주식시장에서의 기업특성 기반 소비위험 노출도에 관한 연구 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :경영공학부, | - |
dc.contributor.alternativeauthor | 배재완 | - |
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