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Title: |
The Effects of Risk, Inflation and Dividend
Yield on Common Stock Returns: The Case of Korea |
| Author: |
Chung, Kee Ho;
Pyun, Chong Soo |
| Author
Affiliation: |
Memphis State |
| Source: |
International Economic Journal, Winter 1989, v. 3, no. 4, pp. 69-78 |
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Publication Date: |
Winter 1989 |
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Abstract: |
This study examines whether market
equilibrium models of capital asset prices have any empirical validity
in the Korean stock market, which is thin and relatively underdeveloped.
In any study of the Korean stock makret, the impurity of its ex post
stock price and the attendant presumption of suspected non-normality of
the stock return distribution cannot be ignored. This study finds that
the Capital Asset Pricing Model (CAPM) has some explanatory power in the
Korean stock market. In particular, when data are segmented by time
periods, the results tend to validate the general premises of the CAPM
for the most recent period, i.e., between 1984 and 1987. |
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