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Revisiting CAPM betas in an incomplete market: Evidence from the Korean stock market
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Hur, Seok-Kyun | - |
| dc.contributor.author | Chung, Chune Young | - |
| dc.date.available | 2019-03-08T08:56:44Z | - |
| dc.date.issued | 2017-05 | - |
| dc.identifier.issn | 1544-6123 | - |
| dc.identifier.issn | 1544-6131 | - |
| dc.identifier.uri | https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/4500 | - |
| dc.description.abstract | This study develops a model of CAPM betas (true betas) in an incomplete market version of a security market line (SML), and these are compared to the CAPM betas (perceived betas) in a traditional SML. In addition, based particularly on the Korean stock market, we empirically discover that true betas tend to diverge from the perceived betas, especially when the perceived betas are greater than one. Moreover, the distribution of perceived rather than true betas tends to be more centered around one. Overall, this study provides new insight into the CAPM in an incomplete market. (C) 2016 Elsevier Inc. All rights reserved. | - |
| dc.format.extent | 8 | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | ACADEMIC PRESS INC ELSEVIER SCIENCE | - |
| dc.title | Revisiting CAPM betas in an incomplete market: Evidence from the Korean stock market | - |
| dc.type | Article | - |
| dc.identifier.doi | 10.1016/j.frl.2016.12.018 | - |
| dc.identifier.bibliographicCitation | FINANCE RESEARCH LETTERS, v.21, pp 241 - 248 | - |
| dc.description.isOpenAccess | N | - |
| dc.identifier.wosid | 000400220500035 | - |
| dc.identifier.scopusid | 2-s2.0-85008474575 | - |
| dc.citation.endPage | 248 | - |
| dc.citation.startPage | 241 | - |
| dc.citation.title | FINANCE RESEARCH LETTERS | - |
| dc.citation.volume | 21 | - |
| dc.type.docType | Article | - |
| dc.publisher.location | 네델란드 | - |
| dc.subject.keywordAuthor | CAPM | - |
| dc.subject.keywordAuthor | Beta | - |
| dc.subject.keywordAuthor | Incomplete market | - |
| dc.subject.keywordAuthor | SML | - |
| dc.subject.keywordAuthor | Portfolio choice | - |
| dc.subject.keywordAuthor | Korean stock market | - |
| dc.subject.keywordPlus | NONTRADED ASSETS | - |
| dc.subject.keywordPlus | EQUILIBRIUM | - |
| dc.subject.keywordPlus | LIQUIDITY | - |
| dc.subject.keywordPlus | RISK | - |
| dc.subject.keywordPlus | FINANCE | - |
| dc.relation.journalResearchArea | Business & Economics | - |
| dc.relation.journalWebOfScienceCategory | Business, Finance | - |
| dc.description.journalRegisteredClass | ssci | - |
| dc.description.journalRegisteredClass | scopus | - |
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- Chung, Chune Young
- 경영경제대학 (경영학부(서울))