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

决定韩国横截面股票收益的因素：评估最近的实验性证据

作者：Jaehoon Hahn, Heebin Yoon

摘要：针对近期被提出的决定韩国横截面股票收益的因素，本文不仅对这些决定因素进行了实证检验，而且在实证中还考虑了对资产定价实证文献的批判，如诊断测试的抵消和价格中由噪声引起的偏离。我们没有找到令人信服的实证证据，来支持Fama-French三因子模型作为风险调整的基准定价模型。此外，实证研究表明，在等权重投资组合的平均收益中，由噪声价格引起的偏差大到足以改变因素组合估计的风险溢价的经济和统计意义，这表明研究人员应在设计因子组合和解释结果时保持谨慎。

关键词：资产定价，流动性，股票交易总量，Fama-Macbeth回归，广义矩估计

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

原文链接：

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

翻译：何杉