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Validity of the Asset Pricing Models...

ProQuest Information and Learning Co.

Validity of the Asset Pricing Models in Applications to the U.S. and Korean Markets.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Validity of the Asset Pricing Models in Applications to the U.S. and Korean Markets./
作者:	Kim, Woong Bae.
面頁冊數:	1 online resource (42 pages)
附註:	Source: Masters Abstracts International, Volume: 57-06.
標題:	Statistics. -
電子資源:	click for full text (PQDT)
ISBN:	9780438038547

Validity of the Asset Pricing Models in Applications to the U.S. and Korean Markets.
Kim, Woong Bae.

Validity of the Asset Pricing Models in Applications to the U.S. and Korean Markets. - 1 online resource (42 pages)

Source: Masters Abstracts International, Volume: 57-06.

Thesis (M.S.)--University of California, Los Angeles, 2018.

Includes bibliographical references

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.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780438038547Subjects--Topical Terms:

556824
Statistics.
Index Terms--Genre/Form:

554714
Electronic books.

Validity of the Asset Pricing Models in Applications to the U.S. and Korean Markets.
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245 1 0 $a Validity of the Asset Pricing Models in Applications to the U.S. and Korean Markets.
264 0 $c 2018
300 $a 1 online resource (42 pages)
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500 $a Source: Masters Abstracts International, Volume: 57-06.
500 $a Adviser: Yingnian Wu.
502 $a Thesis (M.S.)--University of California, Los Angeles, 2018.
504 $a Includes bibliographical references
520 $a 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.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Statistics. $3 556824
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0463
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of California, Los Angeles. $b Statistics 0891. $3 1183048
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10825178 $z click for full text (PQDT)

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