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Validity of the Asset Pricing Models in Applications to the U.S. and Korean Markets
Title:
Validity of the Asset Pricing Models in Applications to the U.S. and Korean Markets
Author:
Kim, Woong Bae, author.
ISBN:
9780438038547
Personal Author:
Physical Description:
1 electronic resource (42 pages)
General Note:
Source: Masters Abstracts International, Volume: 57-06M(E).
Advisors: Yingnian Wu Committee members: Nicolas Christou; Hongquan Xu.
Abstract:
Being a simple and intuitive model, the capital asset pricing model (CAPM) has been widely applied to countless cases that require asset pricing for decades. However, there have been doubts about the model recently regarding its loss of explanatory power. Therefore, I will be checking on the validity of CAPM in two different markets, the U.S. and Korean markets, and different periods using the Fama-Macbeth method. Fama-French (1993, 2015) Factor models are also ground-breaking models that incorporate empirical evidence for size and value premium into asset pricing model. I will also be exploring not only the validity of both the Three Factor and the Five Factor models but also the types of flaws they have in different markets.
Local Note:
School code: 0031
Added Corporate Author:
Available:*
Shelf Number | Item Barcode | Shelf Location | Status |
|---|---|---|---|
| XX(694340.1) | 694340-1001 | Proquest E-Thesis Collection | Searching... |
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