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LCAPM ¸ðµ¨ ±â¹Ý ±¹³» ÁֽĽÃÀåÀÇ À¯µ¿¼º À§Çè¿¡ °üÇÑ ½ÇÁõ ¿¬±¸

  • À̼±¿µ ¼­¿ï´ëÇб³ °æ¿µ´ëÇÐ
º» ¿¬±¸´Â ±¹³» ÁֽĽÃÀå¿¡¼­ Acharya and Pederson(2005)³í¹®¿¡¼­ Á¦½ÃÇÑ À¯µ¿¼º Á¶Á¤µÈ ÀÚ»ê °¡°Ý °áÁ¤ ¸ðÇü (Liquidity adjusted CAPM, ÀÌÇÏ LCAPM)¿¡ ±â¹ÝÇÏ¿© À¯µ¿¼º À§Çè¿¡ °üÇÑ ½ÇÁõ ¿¬±¸¸¦ ¼öÇàÇÏ¿´´Ù. Amihud ÃøÁ¤Ä¡¸¦ À¯µ¿¼º ÃøÁ¤Ä¡·Î µÎ¾úÀ¸¸ç, À¯µ¿¼ºÀÌ ³·Àº Æ÷Æ®Æú¸®¿ÀÀϼö·Ï À¯µ¿¼º º£Å¸(Liquidity Beta)°¡ ³ôÀºÁö ¿©ºÎ¸¦ °ËÁõÇÏ¿´´Ù. À̷п¡¼­ ¿¹»óÇÑ ¹Ù¿Í À¯»çÇÏ°Ô À¯µ¿¼ºÀÌ ³·Àº Æ÷Æ®Æú¸®¿ÀÀϼö·Ï ÀϹÝÀûÀ¸·Î À¯µ¿¼º º£Å¸µµ ³ôÀº °æÇâÀ» º¸¿´´Ù. ¶ÇÇÑ À¯µ¿¼º º£Å¸°¡ pricing µÇ´ÂÁö¸¦ °ËÁõÇϱâ À§ÇØ °¢ À¯µ¿¼º º£Å¸¸¦ ±âÁØÀ¸·Î Æ÷Æ®Æú¸®¿À¸¦ ±¸¼ºÇÏ¿´´Ù. À¯µ¿¼º º£Å¸°¡ ³ôÀ»¼ö·Ï ¿ùº° ¼öÀÍ·üÀÌ Áõ°¡ÇÏ´Â °æÇâÀ» º¸¿´À¸³ª ±× Â÷ÀÌ°¡ Åë°èÀûÀ¸·Î À¯ÀǹÌÇÏÁö´Â ¾Ê¾Ò´Ù. °³º° ÁÖ½Ä ´ÜÀ§¿¡¼­ ȸ±ÍºÐ¼®À» ½ÃÇàÇÑ °á°ú À¯µ¿¼º ¼öÁØÀÌ ³·À» ¼ö·Ï ±â´ë ¼öÀÍ·üÀÌ ³ô¾Æ ±âÁ¸ÀÇ ¿¬±¸°á°ú¿Í ÀÏÄ¡ÇÏ´Â °á°ú¸¦ º¸¿´À¸¸ç, À¯µ¿¼º À§ÇèÀÇ °æ¿ì À¯µ¿¼º µ¿ÇàÈ­ÀÇ Á¤µµ°¡ ³ôÀ»¼ö·Ï ±â´ë ¼öÀÍ·üÀÌ ³ôÀº °á°ú¸¦ º¸¿´°í, ½ÃÀå ¼öÀÍ·üÀÌ Ç϶ôÇÏ´Â »óȲ¿¡¼­ À¯µ¿¼ºÀÌ ³ôÀº °³º° Àڻ꿡 ´ëÇÑ ¼±È£·Î ´õ ³·Àº ¿ä±¸¼öÀÍ·üÀ» º¸ÀÌ´Â È¿°ú¿¡ °üÇÑ ºÎºÐ ¿ª½Ã ±â´ë ¼öÀÍ·ü°ú À½(-)ÀÇ °ü°è¸¦ º¸¿© °³º° ÁÖ½ÄÀÇ ±â´ë ¼öÀÍ·üÀ» ±¸¼ºÇÏ´Â Áß¿äÇÑ °í·Á¿ä¼ÒÀÓÀ» È®ÀÎÇÏ¿´´Ù.
À¯µ¿¼º À§Çè,À¯µ¿¼º,À¯µ¿¼º º£Å¸

An Empirical Study on Liquidity Risk in Korean Stock Market Based on LCAPM Model

  • Sunyoung Lee
This study investigates an empirical study on liquidity risk based on the liquidity adjusted CAPM (LCAPM) from Acharya and Pedersen(2005). The Amihud(2002) measure was used as a measure of liquidity, and it was verified whether the lower liquidity portfolio had a higher liquidity beta. As expected from the theory, lower liquidity portfolios generally tend to have higher liquidity beta. In addition, a portfolio was formed by each liquidity beta to verify whether the liquidity beta is priced. The higher liquidity beta tended to have higher monthly returns, but the difference was not statistically significant. Also, regression analysis on individual stock units has been conducted. As expected, higher illiquidity portfolio had higher return. Also, regarding liquidity risk, higher commonality in liquidity (beta2) had higher expected return. Beta4 was also important factor, as was suggested in Acharya and Pedersen(2005) with the US case. Since beta1 and beta3 showed different sign, further research and different measures of estimation needs to be investigated in the future research.
LCAPM