Intermediary asset pricing in the Korean financial market금융기관 자산가격결정론과 한국 시장에서의 유의성

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The Korean IMF crisis has served as a catalyst for the Korean financial sector restructuring 20 years ago, creating modernized financial institutions with sophisticated trading capabilities. This paper discusses the extent to which the marginal value of wealth of these intermediaries is reflected in the Korean financial asset prices based on intermediary asset pricing theory. This study confirms the cyclicality of the two models is indeed the case in Korea as well, but both models show low explanatory power in cross-sectional asset pricing tests. Further analysis shows that isolating the ‘true’ marginal investors with exposure across asset classes creates an improved measure of the intermediary marginal value of wealth, and the factor is priced more significantly in stocks with greater exposure to intermediary ownership. Lastly, this paper confirms the significance of the United States financial intermediaries in pricing Korean financial assets through the scope of intermediary asset pricing model.
Advisors
Choi, Hyunsooresearcher최현수researcher
Description
한국과학기술원 :금융공학프로그램,
Publisher
한국과학기술원
Issue Date
2021
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2021.2,[iii, 46 p. :]

Keywords

Cross-sectional Analysis▼aFinancial Intermediaries▼aIntermediary Asset Pricing▼aLeverage▼aMarginal Value of Wealth; 금융기관▼a금융기관 가격결정론▼a레버리지▼a부의 한계가치▼a횡단면 분석

URI
http://hdl.handle.net/10203/294967
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=949179&flag=dissertation
Appears in Collection
KGSF-Theses_Master(석사논문)
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