Determinants of the cross-sectional stock returns in Korea: evaluating recent empirical evidence

Hahn, Jaehoon; Yoon, Heebin

doi:10.1016/j.pacfin.2016.03.006

Cited by 13 publications

(9 citation statements)

References 30 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Yazarlar, Fama ve French ÜFVF modelinin 1990'lı yıllarda anomalileri daha baĢarılı bir Ģekilde açıkladığını, fakat modelin farklı piyasalarda dönem dönem incelenip geçerliliğinin sürekli araĢtırılmasının daha baĢarılı sonuçlar vereceğini ifade etmiĢlerdir. Hahn ve Yoon (2016), Kore üzerinde 1992-2012 dönemi için ÜFVF modelini araĢtırmıĢlar ve modelin ilgili zaman aralığında pay senedi getirilerini açıklamada baĢarılı olmadığını ifade etmiĢlerdir.…”

Section: Lġteratür Taramasiunclassified

Fama Ve French Üç Faktörlü Modeli̇’ni̇n Geçerli̇li̇ği̇ni̇n Borsa İstanbul İçi̇n Panel Veri̇ Anali̇zi̇ İle Araştirilmasi

Kaya¹,

Güngör²

2017

Akademik Araştırmalar Ve Çalışmalar Dergisi (AKAD)

View full text Add to dashboard Cite

ÖzBu çalışmanın amacı Fama ve French üç faktörlü varlık fiyatlama modelinin Borsa İstanbul'da pay senetleri işlem gören finansal olmayan firmalar için geçerliliğinin test edilmesidir. Bu kapsamda, defter değeri/piyasa değeri oranı, firma büyüklüğü ve pazar portföy getirisi değişkenleri ile pay senedi getirileri arasındaki ilişki panel veri analizi ile incelenmiştir. Araştırma bulgularına göre, firma büyüklüğü ve pay senedi getirileri arasında negatif yönlü; defter değeri/piyasa değeri oranı ile pay senedi getirileri arasında pozitif yönlü; piyasa portföy getirisi ile pay senedi getirileri arasında pozitif yönlü bir ilişki olduğu tespit edilmiştir. Bu durum Fama ve French üç faktörlü varlık fiyatlama modelinin Borsa İstanbul için pay senedi getirilerini açıklayıcılık özelliği olduğuna işaret etmektedir. AbstractThe purpose of this study is to test validity of Fama and French three factors asset pricing model for nonfinancial firms traded in Borsa Istanbul. Within this scope, the relationship between book value/market value rate, firm size and market portfolio return variables and stock returns is analyzed by panel data analysis. According to research findings, it was determined that there is a negative direction relation between firm size and stock returns; positive direction relation between book value/market value rate and stock returns; positive direction relation market portfolio return and stock returns. This situation shows that there is explatoriness feature of Fama and French three factors asset pricing model on stock returns for Borsa Istanbul.

show abstract

Section: Lġteratür Taramasiunclassified

Fama Ve French Üç Faktörlü Modeli̇’ni̇n Geçerli̇li̇ği̇ni̇n Borsa İstanbul İçi̇n Panel Veri̇ Anali̇zi̇ İle Araştirilmasi

Kaya¹,

Güngör²

2017

Akademik Araştırmalar Ve Çalışmalar Dergisi (AKAD)

View full text Add to dashboard Cite

show abstract

“…The methodology of Hansen and Singleton (1982) is considered to be important in the research of asset pricing; while many other consumption-based models have been developed and recently, some new related papers have also emerged (e.g., Goswami and Tan, 2012;Adrian et al, 2015;Berk and van Binsbergen, 2016;Hahn and Yoon, 2016). We consider our careful re-examinations of the traditional CCAPM not only by updating US samples but also by adding the case of Japan are interesting and important for future research.…”

Section: Discussionmentioning

confidence: 99%

A Re-examination of the Consumption-based Capital Asset Pricing Model: The Case of US and Japan

Tsuji¹

2016

International Journal of Social Science Studies

View full text Add to dashboard Cite

This paper re-tests the classic consumption-based capital asset pricing model (CCAPM) by extending US quarterly samples and adding the Japanese case. Using the generalized method of moments (GMM) methodology developed by Hansen and Singleton (1982), we obtain the following findings. (1) First, in the case of the CCAPM with consumption for nondurable goods in the US, the discount rate parameters generally show plausible values; however, the risk aversion parameters show unstable values in general. Further, by the J-tests, the estimated CCAPMs with consumption for nondurable goods in the US are always supported. (2) Second, in the case of the CCAPM with consumption for nondurable goods and services in the US, although the parameters of discount rate generally show plausible values, the risk aversion parameters are unstable. In addition, judging the results of the J-tests, all estimated CCAPMs with consumption for nondurable goods and services in the US are supported. (3) Finally, as for the CCAPM with private final consumption expenditures in Japan, the parameters of discount rate take plausible values; on the other hand, the risk aversion parameter values are unstable in general. Regarding the model validity, our estimated CCAPMs for Japan are mostly supported by the J-tests.

show abstract

“…In conclusion, the more the stress worsens, the greater the probability of collapse or insolvency. At present, the risk of insolvency has been corroborated as a statistically significant benchmark in the analysis of the performance of stock assets, typically equities (Hahn & Yoon, 2016). Although the possibility of bankruptcy is not estimated with Z in all cases, there is a large literature that considers it highly accurate and consistent (Jung & Han, 2017;Legowik-Swiacik, 2017;Badea & Matei, 2016;Al-Kassar & Soileau, 2014;Kumari, 2013).…”

Section: Theoretical Frameworkmentioning

confidence: 99%

“…Similarly, Hahn and Yoon (2016) looked to provide an empirical assessment of the determinants of stock performance under a cross-sectional approach applied to companies in Korea. For this purpose, the sample consisted of monthly information on shares listed on the Korean Stock Exchange during the period between May 1992 and April 2012, varying the number of organizations collected from 502 in 1992 to 624 in 2012.…”

Section: Background To the Investigationmentioning

confidence: 99%

“…In normal situations, a negative correlation of a company's degree of stress or risk of insolvency on the performance of its shares has been documented; that is, the greater the probability of a firm's bankruptcy is estimated, the variations in its share prices tend to fall, on average (Gao et al, 2017;Hahn & Yoon, 2016;Garlappi & Yan, 2011). This inverse association is generally attributed to the company's perception of individual performance (Steinker et al, 2016).…”

Section: Proposed Modelmentioning

confidence: 99%

See 1 more Smart Citation

Risk of Insolvency and Return of Shares: Empirical Analysis of Altman's Z-Score in the Peruvian Mining Sector Between 2008-2018

2021

View full text Add to dashboard Cite

This research pretends to evaluate the significance of the insolvency risk, referred by Altman's Z-Score, in the explanation of the historical return of the 7 most liquid mining companies listed in the Lima Stock Exchange based on a Market Return Model (MRM) under a cross-sectional approach. In this sense, daily data was collected from the S&P/BVL Peru Select index and the Peruvian 10-year Sovereign Bond between 2008-2018, approximated quarterly by the geometric average to homogenize them with the frequency of the Z. Thus, two central results were obtained: 1) The Z-Score, as an estimator of insolvency risk, is not valid to explain the behavior of the historical return of the shares, and 2) The Market Premium is statistically significant within the yield analysis. Also, contrary to the common literature, the results suggest the validity of Sharpe's conventional CAPM.

show abstract

Determinants of the cross-sectional stock returns in Korea: evaluating recent empirical evidence

Cited by 13 publications

References 30 publications

Fama Ve French Üç Faktörlü Modeli̇’ni̇n Geçerli̇li̇ği̇ni̇n Borsa İstanbul İçi̇n Panel Veri̇ Anali̇zi̇ İle Araştirilmasi

Fama Ve French Üç Faktörlü Modeli̇’ni̇n Geçerli̇li̇ği̇ni̇n Borsa İstanbul İçi̇n Panel Veri̇ Anali̇zi̇ İle Araştirilmasi

A Re-examination of the Consumption-based Capital Asset Pricing Model: The Case of US and Japan

Risk of Insolvency and Return of Shares: Empirical Analysis of Altman's Z-Score in the Peruvian Mining Sector Between 2008-2018

Contact Info

Product

Resources

About