Stock Market Returns, Expected Returns, and Economic Fundamentals in an Emerging Market: The Case of Korea

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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書目詳細資料
Main Authors:	Mariano, Roberto S., Gong, Fangxiong
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 1997
主題:	Economics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/534
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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