고유변동성, 조건부 유동성, 그리고 주식수익률의 횡단면에 관한 연구

• 영문명: Idiosyncratic Volatility, Conditional Liquidity, and Cross-section of Stock Returns in Korea
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 윤상용(Sang-Yong Yun) 조성순(Seong-Soon Cho) 박순홍(Soon-hong Park)
• 간행물 정보: 『아태비즈니스연구』제12권 제1호, 121~134쪽, 전체 14쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2021.03.31

영문 초록

Purpose - This study examines whether flight-to-liquidity (FTL) explains the dynamic liquidity risk on stock returns, and whether it has a significant influence on determinants the cross-section of stock returns. Design/methodology/approach - This study suggests a new risk factor, dynamic liquidity hedge portfolio (DLP), to reflect the dynamic impact of liquidity risk on stock returns and the Fama-MacBeth 2 stage regression analysis is employed in order to analyze the data. Findings - First, the DLP factor shows more positive and significant beta for the small or illiquidity stocks. Second, the DLP shows a different influence than SMB (size risk factor), HML (value risk factor), NMP (liquidity risk factor), FTVOL (total volatility factor) in determining the cross-section of stock returns. In addition, the DLP has a statistically significant risk premium of around 5%, which is relatively larger than other risk factors. Research implications or Originality - This study has academic value in terms of newly confirming that the DLP factor has a more significant impact on cross-sectional determination of stock returns than other risk factors by proposing a conditional liquidity factor that can explain the FTL phenomenon.

목차

Ⅰ. 서론

Ⅱ. 선행연구 정리

Ⅲ. 연구내용 및 방법

Ⅳ. 분석결과

Ⅴ. 결론

키워드

Cross-section of Stock Returns Flight-to-Liquidity Hedge Portfolio Idiosyncratic Volatility Puzzle Liquidity Risk