We investigate what drives highly volatile stock return variations in an emerging
country stock market. By applying Vuolteenaho’s (2002) log book-to-market model to
the Korean stock market, we find that at the individual stock level, cash-flow news
contributes to stock return variation more than expected-return news does. However,
at the aggregate market level,expected-return news dominates stock return
variation. This is because the expected-return news has a substantial common
element, whereas cash-flow news is largely firm-specific and thus diversifiable.
Our finding suggests that the conventional wisdom that cash-flow news is firm-
specific and expected-return news is market-wide is valid for emerging countries
with volatile stock returns.
학회소식
공지사항
[2003년 제 2차] What Drives Volatile Emerging Stock Market Returns?
작성자 : 관리자
조회수 : 819
게시일 :
2003-07-12