物價水準變動과 株價 : 우리나라 증권시장을 대상으로 한 실증적 연구 An Empirical Evidence on the Korean Stock Market = The Effects of Price Level Changes on the Value of Common Stocks

다국어 초록 (Multilingual Abstract)

The purpose of this study is to empirically examine the inflation-caused wealth transfer affecting the value of common stocks in Korean stock Market.
After establishing two testable hypotheses regarding the direction and magnitude of the inflation-induced abnormal returns of common stocks, 1 test each of those hyypotheses by cross-sectional comparisions of the comovements between common stock abnormal returns and various types of inflation during the recent high inflation period of 1977~1981. In testing the hypotheses I attempt to eliminate many of the methodological weakness of previous studies. Careful distinction between the effects of expected and unexpected inflation, use of real (abnormal) returns rather than nominal returns and use of a newly developed inflation-adjusted equilibrium pricing model to estimate the abnormal refurns.
The test results based upon the samples of 155 listed stocks, show that there are no appreciable differences between higher and lower net monetary position firms. Further more, the effect of depreciation is not found to be significant.

목차 (Table of Contents)

• Ⅰ. 序論
• Ⅱ. 變數의 推定
• 1. 資料의 源泉
• 2. 變數의 推定
• Ⅲ. 標本의 選定 및 標本設計
• Ⅳ. 實證分析
• 1. 假說 및 檢定模型
• 2. 實證分析 結果
• Ⅴ. 結論