한국 주식시장에서 유동성 요인을 포함한 3요인 모형의 설명력에 관한 연구

목차 (Table of Contents)

• 요약
• Ⅰ. 서론
• Ⅱ. 위험요인의 선정
• 1. 개별주식 수익률과 기업특성
• 2. Fama-MacBeth 회귀분석 결과
• 3. 위험요인 모방포트폴리오(헤지포트폴리오)들의 구축
• Ⅲ. 포트폴리오들의 구성과 실증검증
• 1. 검증모형
• 2. 위험요인들의 설명력 검증
• 3. 기간별 검증
• Ⅳ. 결론
• 참고문헌
• 부록
• Abstract

참고문헌 (Reference)

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