DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 김경국 | - |
dc.contributor.author | Chung, Wonjae | - |
dc.contributor.author | 정원재 | - |
dc.date.accessioned | 2024-07-26T19:31:09Z | - |
dc.date.available | 2024-07-26T19:31:09Z | - |
dc.date.issued | 2023 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=1047723&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/321022 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2023.8,[iii, 21 p. :] | - |
dc.description.abstract | This study investigates the moderating effect of uncertainty, quantified through analyst forecast accuracy and idiosyncratic volatility, on the returns of Q5-Q1 portfolio constructed based on momentum and profitability measures in the South Korean stock market from 2003 to 2022. Results reveal that return spreads across these quintiles decrease when accounting for uncertainty, underscoring the critical role it plays in influencing stock return dynamics. The research contributes to a more nuanced understanding of the interaction between uncertainty and financial decision-making processes and provides new perspectives for interpreting investment signals. Limitations of the study and potential directions for future research are also discussed. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | 불확실성▼a애널리스트 추정치▼a고유변동성▼a모멘텀▼a수익성 | - |
dc.subject | Uncertainty▼aAnalyst Forecast▼aIdiosyncratic Volatility▼aMomentum▼aProfitability | - |
dc.title | Empirical analysis of the relationship between analyst forecast accuracy and return anomalies in the Korean stock market | - |
dc.title.alternative | 애널리스트의 이익 예측 정확성과 수익률 이상현상 간의 관계 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :금융공학프로그램, | - |
dc.contributor.alternativeauthor | Kim, Kyoung-Kuk | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.