A Test of the Multi-Factor Asset Pricing Model in Korea

Kiwoong Cheong
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Kiwoong Cheong: Ssangyong Research Institute

Korean Economic Review, 1991, vol. 7, issue 1, 99-112

Abstract: This paper tries to find several macroeconomic factors generating stock market rates of returns and to test whether the macroeconomic factors are priced in order to study the relationship between financial market and the macroeconomy. It is shown that there exist six or seven macroeconomic factors such as bond premium, claims on government of money supply, and etc., and that these factors are pric-ed in Korean stock market.

Date: 1991
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