Pacific-Basin Finance Journal·Volume 38, June 2016, Pages 88–106

決定韓國橫截面股票收益的因素：評估最近的實驗性證據

作者：Jaehoon Hahn, Heebin Yoon

摘要：針對近期被提出的決定韓國橫截面股票收益的因素，本文不僅對這些決定因素進行了實證檢驗，而且在實證中還考慮了對資産定價實證文獻的批判，如診斷測試的抵消和價格中由噪聲引起的偏離。我們沒有找到令人信服的實證證據，來支持Fama-French三因子模型作為風險調整的基準定價模型。此外，實證研究表明，在等權重投資組合的平均收益中，由噪聲價格引起的偏差大到足以改變因素組合估計的風險溢價的經濟和統計意義，這表明研究人員應在設計因子組合和解釋結果時保持謹慎。

關鍵詞：資産定價，流動性，股票交易總量，Fama-Macbeth回歸，廣義矩估計

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

Jaehoon Hahn, Heebin Yoon

ABSTRACT

This paper provides empirical evaluation of recently proposed determinants of the cross-sectional stock returns in Korea, taking into account recent critique of empirical asset pricing literature such as the low power of test diagnostics and the bias induced by noise in prices. We do not find convincing empirical evidence supporting the Fama-French three-factor model as a benchmark asset pricing model for risk adjustment. In addition, empirical evidence indicates that the bias induced by noisy prices is substantial enough in mean returns of equal-weighted portfolios to change the economic and statistical significance of the estimated risk premium for factor portfolios, suggesting that researchers exercise caution in designing factor portfolios and interpreting results.

Keywords：empirical asset pricing, liquidity, share turnover, Fama-Macbeth regression, GMM

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0927538X1630021X

翻譯：何杉