Stock Market Returns, Expected Returns, and Economic Fundamentals in an Emerging Market: The Case of Korea
This paper investigates the feedback relationship between stock market returnsand economic fundamentals in an emerging market. Starting from an intertemporalconsumption-based CAPM (CCAPM), we obtain a restricted VAR model for stockreturns and macroeconomic variables. We then apply this model to Kore...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1997
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/534 |
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| Institution: | Singapore Management University |
| Language: | English |