한국의 시장위험 프리미엄

• 영문명: Market Risk Premium in Korea: Analysis and Policy Implications
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 권세훈(Se-hoon Kwon) 한상범(Sang-Buhm Hahn)
• 간행물 정보: 『아태비즈니스연구』제15권 제2호, 71~88쪽, 전체 18쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2024.06.30

국문 초록

Purpose- This study provides an overview of existing research and practices related to market risk premiums(MRP), and empirically estimates the MRP in Korea, particularly using the related option prices. We also seek to improve the current MRP practices and explore alternative solutions. Design/methodology/approach- We present the option price-based MRP estimation method, as proposed by Martin (2017), and implement it within the context of the Korean stock market. We then juxtapose these results with those derived from other methods, and compare the characteristics with those of the United States. Findings- We found that the lower limit of the MRP in the Korean stock market shows a much lower value compared to the US. There seems to be the possibility of a market crash, exchange rate volatility, or a lack of option trading data. We investigated the predictive power of the estimated values and discovered that the weighted average of the results of various methodologies using the Principal Component Analysis (PCA) is superior to the individual method’s results. Research implications or Originality- It is required to explore various methods of estimating MRP that are suitable for the Korean stock market. In order to improve the estimation methodology based on option prices, it is necessary to develop the methods using the higher-order(third order or above) moments, or consider additional risk factors such as the possibility of a crash.

목차

Ⅰ. 서론

Ⅱ. 시장위험프리미엄 추정법의 개관

Ⅲ. 옵션가격 기반 위험프리미엄 추정법

Ⅳ. 시장위험프리미엄 실증연구의 개관

Ⅴ. 국내 시장위험프리미엄의 추정

Ⅵ. 결론 및 시사점

References

키워드

Dividend Growth Model Market Risk Premium (MRP) Principal Component Analysis (PCA) Risk Neutral Moments Volatility Index (VIX)