가치프리미엄요인과 기업변동성요인의 상태변수로서의 설명력 비교 = Empirical Comparison of Value Premium Factor and Firm-volatility Premium Factor

다국어 초록 (Multilingual Abstract)

Many papers have addressed the value premium (HML) suggested in Fama and French (1993) might proxy for the variation in investment opportunities. This paper introduces many of the implications regarding the value premium and firm-volatility premium (FTVOL) suggested in Yun, et al. (2011), and compares empirical explanation power of the two factors. The results shows that the firm-volatility premium factor has a better empirical power than value premium factor in Korea Stock Market (KOSPI), so that it may serve as an alternative portfolio instead of HML in expecting stock returns. A simple theoretical model of Savickas (2007) showed the two factors have a functional relationship and suggested the possibility of state variable in Merton`s ICAPM. Thus, from this results, we expect that the firm-volatility factor, as a ``clean`` variable in Lakonishok et al. (1994), might be a state variable in expecting stock returns.

참고문헌 (Reference)

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