투자론 투자분석(영문)

투자론 투자분석(영문)

[투자론] 투자분석(영문).hwp

목차 1. Introduction 2. Data Analysis 2.1.1. Analysis of Relationship Among Firm Size, Return, and β 2.1.2. Implication on Relationship Among Firm Size, Return, and β 2.2.1. Analysis of Relationship Among Book to Market Ratio, Return, and β 2.3.1. Total Risk & Unsystematic Risk 2.3.2 Implication on Total Risk & Unsystematic Risk 2.4.1. Analysis of Jensens Alpha 2.4.2 Implication on Jensens Alpha Data 3. Conclusion Reference Data (Size Portfolios) Reference Data (Book-to-Market Portfolios) 본문 2.1.2. Implication on Relationship Among Firm Size, Return, and β We believe that the reason for higher return of small sized firm is that there are not enough information for the investor. For example, if the price of the stocks are the same and one company is well known, and the other is not known to the public, most of the people will prefer to buy the one that is known. To motivate people to buy the stocks of the small firm, stocks have to have premium. Without that, people will not buy the stock. Small firms tend to be less known. Because of lack of information, people can not be sure of buying the stock. Small stocks become under valued than large stocks therefore promising higher return. This is the premium of the smaller firm explaining the reason for the higher return of the small firm. Therefore, it is difficult to conclude that small firm is better. There could be other factors that can not be explained by β and return alone. CAPM theory shows how a stock return follows the market. However, this theory does not explain the other factors that comes from factors other than market. It is dangerous idea to make decision only according to this theory. We analysed the portfolios and showed that there are relationship among return, β, and firm size. However, it is still difficult to say that every part 본문내용 e were two different kinds of portfolios, each being size portfolios and book-to-market portfolios. We have analyzed if there is any relationship between portfolios and returns. We used CAPM model to analyze the portfolios. This is the formula for the CAPM. β is risk related to the market. α is abnormal return that is not explained by market. ε is unsystematic risk. We will analyze the data acco