거래량 정보와 주가 간의 관계분석

다국어 초록 (Multilingual Abstract)

Since Capital Asset Pricing Model(CAPM) was proposed in the early 1960s by William Sharpe(1964) and John Lintner(1965) researchers have investigated the validity of the model. The results of empirical researches do not show that expected returns of stocks seem to be determined solely by systematic risk of the stocks as precicted by CAPM. In this paper the relationship between transaction volume and expected returns of stocks was investigated. Empirical cross-sectional analysis about the data collected from Stock Market of Korea Exchange shows transaction volume and variability of stock returns play an important role in pricing assets. The well-known variables which were used traditionally to explain the differences of expected returns among stocks such as the size and beta of a stock seems to be unimportant in pricing assets.

목차 (Table of Contents)

• Ⅰ. 서 론
• Ⅱ. 문헌고찰 및 연구내용
• 1. 기대수익률 결정에 관한 모형의 실증분석
• 2. 거래량과 수익률의 관계에 대한 분석
• 3. 거래량 수준과 수익률 간의 횡단면적 연계
• Ⅲ. 분석 방법과 자료
• 1. 분석방법
• 2. 분석자료
• Ⅳ. 실증분석
• 1. 투입변수 간의 개략적 관계
• 2. 횡단면 분석
• Ⅴ. 결 론
• 참고문헌

참고문헌 (Reference)

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