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Korean Journal of Financial Studies 2008;37(2):297-342.
Published online April 30, 2008.
Which Idiosyncratic Factors Can Explain the Pricing Errors from Asset Pricing Models in the Korean Stock Market?
Joon Chae, Cheol Won Yang
Which Idiosyncratic Factors Can Explain the Pricing Errors from Asset Pricing Models in the Korean Stock Market?
Joon Chae, Cheol Won Yang
Key Words: Asset pricing model,Fama and MacBeth (1973) regression,Investors` irrationality,Missing risk factor,Transaction cost
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