Research@Lincoln
    • Login
     
    View Item 
    •   Research@Lincoln Home
    • Theses and Dissertations
    • Theses and Dissertations with Restricted Access
    • View Item
    •   Research@Lincoln Home
    • Theses and Dissertations
    • Theses and Dissertations with Restricted Access
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    An empirical test for the effectiveness of alternative CAPMs in Korean stock returns

    Lee, Myung G.
    Abstract
    The failure of standard CAPM to explain the cross-sectional variation in asset returns has led to the development of many alternative empirical asset pricing models. One of recent approach is higher moment CAPM in which researchers assume investors have preferences for higher moments in return distribution beyond mean and variance. Arditti (1971), Fielitz (1976), and Gibbons et al.(1989) show that skewness and kurtosis cannot be diversified by increasing portfolio size. While most former empirical studies focus on testing whether a particular asset pricing model is literally true or not, the performance comparison of different asset pricing models is recently in the spotlight of CAPM field. Since stock returns show different skewness and kurtosis from normal distribution, we cannot assume normal distribution. In this case, the GMM can be used to test model specifications because GMM does not assume any special distribution. I analysed Korean stock market data to compare the performance of several CAPMs. The two four-moment CAPM models showed better performances than any other CAPM models according to the research results. The J-tests find that only the two models are correctly specified to capture the movement of the Korean industry portfolios. In addition, the estimated coefficients of the two models are statistically significant in the GMM system estimation.... [Show full abstract]
    Keywords
    asset pricing; stochastic discount factor; Capital Asset Pricing Model (CAPM); GMM estimation; Hansen's J-test; Diebold-Mariano test; Korean stock returns; asset returns
    Date
    2007
    Type
    Thesis
    Access Rights
    Digital thesis can be viewed by current staff and students of Lincoln University only. If you are the author of this item, please contact us if you wish to discuss making the full text publicly available.
    Collections
    • Department of Financial and Business Systems [526]
    • Theses and Dissertations with Restricted Access [2370]
    View/Open
    Staff/student login to read
    Share this

    on Twitter on Facebook on LinkedIn on Reddit on Tumblr by Email

    Metadata
     Expand record
    This service is maintained by Learning, Teaching and Library
    • Archive Policy
    • Copyright and Reuse
    • Deposit Guidelines and FAQ
    • Contact Us
     

     

    Browse

    All of Research@LincolnCommunities & CollectionsTitlesAuthorsKeywordsBy Issue DateThis CollectionTitlesAuthorsKeywordsBy Issue Date

    My Account

    LoginRegister

    Statistics

    View Usage Statistics
    This service is maintained by Learning, Teaching and Library
    • Archive Policy
    • Copyright and Reuse
    • Deposit Guidelines and FAQ
    • Contact Us