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The Effects Of Risk, Inflation And Dividend Yield On Common Stock Returns: The Case Of Korea

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Author Info
KEE HO CHUNG
CHONG SOO PYUN
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 under-developed. In any study of the Korean stock market, 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. [313]

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Article provided by Korean International Economic Association in its journal International Economic Journal.

Volume (Year): 3 (1989)
Issue (Month): 4 (December)
Pages: 69-78
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Handle: RePEc:taf:intecj:v:3:y:1989:i:4:p:69-78

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  1. Donald B. Keim, . "Dividend Yields and Stock Returns: Implications of Abnormal January Returns," Rodney L. White Center for Financial Research Working Papers 14-85, Wharton School Rodney L. White Center for Financial Research.
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  2. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-95, June. [Downloadable!] (restricted)
  3. Blume, Marshall E, 1980. "Stock Returns and Dividend Yields: Some More Evidence," The Review of Economics and Statistics, MIT Press, vol. 62(4), pages 567-77, November. [Downloadable!] (restricted)
  4. Blume, Marshall E, 1979. "Betas and Their Regression Tendencies: Some Further Evidence," Journal of Finance, American Finance Association, vol. 34(1), pages 265-67, March. [Downloadable!] (restricted)
  5. Friend, Irwin & Blume, Marshall E, 1975. "The Demand for Risky Assets," American Economic Review, American Economic Association, vol. 65(5), pages 900-922, December. [Downloadable!] (restricted)
  6. Pyun, C. S., 1980. "A Note on Capital Asset Pricing Model under Uncertain Inflation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(02), pages 425-434, June. [Downloadable!]
  7. Fama, Eugene F, 1971. "Risk, Return, and Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 79(1), pages 30-55, Jan.-Feb.. [Downloadable!] (restricted)
  8. Miller, Merton H & Scholes, Myron S, 1982. "Dividends and Taxes: Some Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 90(6), pages 1118-41, December. [Downloadable!] (restricted)
  9. Chen, Andrew H & Boness, A J, 1975. "Effects of Uncertain Inflation on the Investment and Financing Decisions of a Firm," Journal of Finance, American Finance Association, vol. 30(2), pages 469-83, May. [Downloadable!] (restricted)
  10. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July. [Downloadable!] (restricted)
  11. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March. [Downloadable!] (restricted)
  12. Friend, Irwin & Landskroner, Yoram & Losq, Etienne, 1976. "The Demand for Risky Assets under Uncertain Inflation," Journal of Finance, American Finance Association, vol. 31(5), pages 1287-97, December. [Downloadable!] (restricted)
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