메뉴 건너뛰기




Volumn 39, Issue 15, 2007, Pages 1905-1919

The risk-return relations: Evidence from the Korean and Taiwan stock markets

Author keywords

[No Author keywords available]

Indexed keywords

AUTOCORRELATION; RISK ASSESSMENT; SKEWNESS; STATISTICAL ANALYSIS; STOCK MARKET;

EID: 34547962648     PISSN: 00036846     EISSN: 14664283     Source Type: Journal    
DOI: 10.1080/00036840600690280     Document Type: Article
Times cited : (12)

References (36)
  • 1
    • 0001284735 scopus 로고
    • Anomalies in relationships between securities' yields and yield-surrogates
    • Ball, R. (1978) Anomalies in relationships between securities' yields and yield-surrogates. Journal of Financial Economics, 6, pp. 103-126.
    • (1978) Journal of Financial Economics , vol.6 , pp. 103-126
    • Ball, R.1
  • 2
    • 0010023511 scopus 로고
    • The relationship between return and market value of common stocks
    • Banz, R. (1981) The relationship between return and market value of common stocks. Journal of Financial Economics, 9, pp. 3-18.
    • (1981) Journal of Financial Economics , vol.9 , pp. 3-18
    • Banz, R.1
  • 3
    • 0005932465 scopus 로고
    • Risk, return, and equilibrium in the emerging markets: Evidence from the Korean stock market
    • Bark, HKK (1991) Risk, return, and equilibrium in the emerging markets: evidence from the Korean stock market. Journal of Economics and Business, 43, pp. 353-362.
    • (1991) Journal of Economics and Business , vol.43 , pp. 353-362
    • Bark, H.K.K.1
  • 4
    • 84916936900 scopus 로고
    • Investment performance of common stocks in relation to their price-earning ratio: A test of the efficient market hypothesis
    • Basu, S. (1977) Investment performance of common stocks in relation to their price-earning ratio: A test of the efficient market hypothesis. Journal of Finance, 32, pp. 663-682.
    • (1977) Journal of Finance , vol.32 , pp. 663-682
    • Basu, S.1
  • 5
    • 21844509410 scopus 로고
    • A critique of size related anomalies
    • Berk, J. (1995) A critique of size related anomalies. Review of Financial Studies, 8, pp. 275-286.
    • (1995) Review of Financial Studies , vol.8 , pp. 275-286
    • Berk, J.1
  • 6
    • 84977703403 scopus 로고
    • Fundamentals and stock returns in Japan
    • Chan, L., Hamao, Y. and Lakonishok, J. (1991) Fundamentals and stock returns in Japan. Journal of Finance, 46, pp. 1739-1789.
    • (1991) Journal of Finance , vol.46 , pp. 1739-1789
    • Chan, L.1    Hamao, Y.2    Lakonishok, J.3
  • 7
    • 0000496978 scopus 로고
    • Economic forces and the stock markets
    • Chen, N., Roll, R. and Ross, SA (1986) Economic forces and the stock markets. Journal of Business, 59, pp. 383-403.
    • (1986) Journal of Business , vol.59 , pp. 383-403
    • Chen, N.1    Roll, R.2    Ross, S.A.3
  • 8
    • 0345879052 scopus 로고    scopus 로고
    • Multivariate testing of the capital asset pricing model in the Hong Kong stock market
    • Chan, YC (1997) Multivariate testing of the capital asset pricing model in the Hong Kong stock market. Applied Financial Economics, 7, pp. 311-316.
    • (1997) Applied Financial Economics , vol.7 , pp. 311-316
    • Chan, Y.C.1
  • 9
    • 84963146838 scopus 로고
    • An assessment of risk and return: Some empirical findings from the Hong Kong stock exchange
    • Cheung, YL and Wong, KT (1992) An assessment of risk and return: Some empirical findings from the Hong Kong stock exchange. Applied Financial Economics, 2, pp. 105-114.
    • (1992) Applied Financial Economics , vol.2 , pp. 105-114
    • Cheung, Y.L.1    Wong, K.T.2
  • 10
    • 0010026637 scopus 로고
    • The pricing of risky assets in two emerging Asian markets-Korea and Taiwan
    • Cheung, YL, Wong, KA and Ho, YK (1993) The pricing of risky assets in two emerging Asian markets-Korea and Taiwan. Applied Financial Economics, 3, pp. 315-324.
    • (1993) Applied Financial Economics , vol.3 , pp. 315-324
    • Cheung, Y.L.1    Wong, K.A.2    Ho, Y.K.3
  • 11
    • 0001140779 scopus 로고    scopus 로고
    • Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets
    • Chui, A. and Wei, J. (1998) Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets. Pacific-Basin Finance Journal, 6, pp. 275-293.
    • (1998) Pacific-Basin Finance Journal , vol.6 , pp. 275-293
    • Chui, A.1    Wei, J.2
  • 12
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, E. and French, K. (1992) The cross-section of expected stock returns. Journal of Finance, 47, pp. 427-465.
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.1    French, K.2
  • 13
    • 0013413658 scopus 로고    scopus 로고
    • Multifactor explanations of asset pricing anomalies
    • Fama, E. and French, K. (1996) Multifactor explanations of asset pricing anomalies. Journal of Finance, 51, pp. 55-84.
    • (1996) Journal of Finance , vol.51 , pp. 55-84
    • Fama, E.1    French, K.2
  • 14
    • 0012932442 scopus 로고    scopus 로고
    • The CAPM is wanted, dead or alive
    • Fama, E. and French, K. (1996) The CAPM is wanted, dead or alive. Journal of Finance, 54, pp. 1947-1958.
    • (1996) Journal of Finance , vol.54 , pp. 1947-1958
    • Fama, E.1    French, K.2
  • 15
    • 0000928969 scopus 로고
    • Risk, return, and equilibrium: Empirical tests
    • Fama, E. and MacBeth, J. (1973) Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81, pp. 607-636.
    • (1973) Journal of Political Economy , vol.81 , pp. 607-636
    • Fama, E.1    MacBeth, J.2
  • 16
    • 0000176325 scopus 로고    scopus 로고
    • An examination of the cross-sectional relationship of beta and return: UK evidence
    • Fletcher, J. (1997) An examination of the cross-sectional relationship of beta and return: UK evidence. Journal of Economics and Business, 49, pp. 211-221.
    • (1997) Journal of Economics and Business , vol.49 , pp. 211-221
    • Fletcher, J.1
  • 17
    • 0003299105 scopus 로고
    • The efficient market inefficiency of capitalization-weighted stock portfolios
    • Haugen, RA and Baker, NL (1991) The efficient market inefficiency of capitalization-weighted stock portfolios. Journal of Portfolio Management, 17, pp. 35-40.
    • (1991) Journal of Portfolio Management , vol.17 , pp. 35-40
    • Haugen, R.A.1    Baker, N.L.2
  • 18
    • 0033805520 scopus 로고    scopus 로고
    • CAPM Anomalies and the pricing of equity: Evidence from the Hong Kong market
    • Ho, YW, Strange, R. and Piesse, J. (2000) CAPM Anomalies and the pricing of equity: Evidence from the Hong Kong market. Applied Economics, 32, pp. 1629-1636.
    • (2000) Applied Economics , vol.32 , pp. 1629-1636
    • Ho, Y.W.1    Strange, R.2    Piesse, J.3
  • 20
    • 0346509779 scopus 로고    scopus 로고
    • An empirical test of the risk-return relationship on the Taiwan stock exchange
    • Huang, YS (1997) An empirical test of the risk-return relationship on the Taiwan stock exchange. Applied Financial Economics, 7, pp. 229-239.
    • (1997) Applied Financial Economics , vol.7 , pp. 229-239
    • Huang, Y.S.1
  • 21
    • 0000554738 scopus 로고    scopus 로고
    • Is beta still alive? Conclusive evidence from the Swiss stock market
    • Isakov, D. (1999) Is beta still alive? Conclusive evidence from the Swiss stock market. European Journal of Finance, 5, pp. 202-212.
    • (1999) European Journal of Finance , vol.5 , pp. 202-212
    • Isakov, D.1
  • 23
    • 0042905571 scopus 로고
    • Stock returns, beta, variance and size: An empirical analysis
    • Lakonishok, J. and Shapiro, AC (1984) Stock returns, beta, variance and size: An empirical analysis. Financial Analysts Journal, 40, pp. 36-41.
    • (1984) Financial Analysts Journal , vol.40 , pp. 36-41
    • Lakonishok, J.1    Shapiro, A.C.2
  • 24
    • 38249042306 scopus 로고
    • Systematic risk, total risk and size as determinants of stock market returns
    • Lakonishok, J. and Shapiro, AC (1986) Systematic risk, total risk and size as determinants of stock market returns. Journal of Banking and Finance, 10, pp. 115-132.
    • (1986) Journal of Banking and Finance , vol.10 , pp. 115-132
    • Lakonishok, J.1    Shapiro, A.C.2
  • 25
    • 84993869066 scopus 로고
    • Contrarian investment, extrapolation, and risk
    • Lakonishok, J., Shleifer, A. and Vishny, R. (1994) Contrarian investment, extrapolation, and risk. Journal of Finance, 49, pp. 1541-1578.
    • (1994) Journal of Finance , vol.49 , pp. 1541-1578
    • Lakonishok, J.1    Shleifer, A.2    Vishny, R.3
  • 26
    • 0038405071 scopus 로고    scopus 로고
    • Fundamental variables and the cross-section of expected stock returns: The case of Hong Kong
    • Lam, HYT and Spyrou, SI (2003) Fundamental variables and the cross-section of expected stock returns: The case of Hong Kong. Applied Economics Letters, 10, pp. 307-310.
    • (2003) Applied Economics Letters , vol.10 , pp. 307-310
    • Lam, H.Y.T.1    Spyrou, S.I.2
  • 27
    • 0003114587 scopus 로고
    • The valuation of risk assets and the selection of risky investments in stock portfolios and capital budget
    • Lintner, J. (1965) The valuation of risk assets and the selection of risky investments in stock portfolios and capital budget. Review of Economics and Statistics, 47, pp. 13-37.
    • (1965) Review of Economics and Statistics , vol.47 , pp. 13-37
    • Lintner, J.1
  • 28
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation-consistent covariance matrix
    • Newey, WK and West, KD (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation-consistent covariance matrix. Econometrica, 55, pp. 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 30
    • 33747599108 scopus 로고    scopus 로고
    • Payment for risk: Constant beta vs. dual-beta models
    • Pettengill, GN, Sundaram, S. and Mathur, I. (2002) Payment for risk: constant beta vs. dual-beta models. Financial Review, 37, pp. 123-136.
    • (2002) Financial Review , vol.37 , pp. 123-136
    • Pettengill, G.N.1    Sundaram, S.2    Mathur, I.3
  • 32
    • 84977397409 scopus 로고
    • On the direction of preference for moments of higher order than the variance
    • Scott, RC and Horvath, PA (1980) On the direction of preference for moments of higher order than the variance. Journal of Finance, 35, pp. 915-919.
    • (1980) Journal of Finance , vol.35 , pp. 915-919
    • Scott, R.C.1    Horvath, P.A.2
  • 33
    • 84980092818 scopus 로고
    • Capital asset prices: A theory of market equilibrium under conditions of risk
    • Sharpe, WF (1964) Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19, pp. 425-442.
    • (1964) Journal of Finance , vol.19 , pp. 425-442
    • Sharpe, W.F.1
  • 34
    • 1342328595 scopus 로고    scopus 로고
    • The risk-return relations in the Singapore stock market
    • Tang, GYN and Shum, WC (2004) The risk-return relations in the Singapore stock market. Pacific-Basin Finance Journal, 12, pp. 179-195.
    • (2004) Pacific-Basin Finance Journal , vol.12 , pp. 179-195
    • Tang, G.Y.N.1    Shum, W.C.2
  • 35
    • 33749170644 scopus 로고    scopus 로고
    • Risk-return relationships in the Hong Kong stock market: Revisit
    • Tang, GYN and Shum, WC (2006) Risk-return relationships in the Hong Kong stock market: Revisit. Applied Financial Economics, 16, pp. 1047-1058.
    • (2006) Applied Financial Economics , vol.16 , pp. 1047-1058
    • Tang, G.Y.N.1    Shum, W.C.2
  • 36
    • 0001629981 scopus 로고
    • An assessment of risk and return in the Singapore stock market
    • Wong, KA and Tan, ML (1991) An assessment of risk and return in the Singapore stock market. Applied Financial Economics, 1, pp. 11-20.
    • (1991) Applied Financial Economics , vol.1 , pp. 11-20
    • Wong, K.A.1    Tan, M.L.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.