발생액의 질과 위험요인에 대한 연구 - 한국주식시장을 중심으로

초록

This paper presents that the accrual quality is significant risk factor in Korea stock market. We studied among a number of corporations, which are listed on KOSPI and KOSDAQ, operated over 7 years. We defined accrual quality factor based on Core, Guay, Verdi (2008). In addition, we constructed factor mimicking portfolio, which is result from Fama-French of 3 factor models applying equal weighted average. Our approach is used actual proof of the monthly return between 1992 and 2012. This approach is used accrual quality factor to analysis monthly return. This paper using Fama-Macbeth two stage analysis and presents accrual quality factor is not significant priced risk factor in Korea stock market. Furthermore, the result of GRS (Gibbons, Ross, Shanken) F-test is insignificant. In conclusion, the 4 factor model is not a good solution to represent excess return of Korea stock market.

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