[투자론] 투자분석(영문)

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레포트 > 경제경영계열
2011.03.24
9페이지 / hwp
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[투자론] 투자분석(영문)에 대한 자료입니다.

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 Jensen's Alpha

2.4.2 Implication on Jensen's Alpha Data

3. Conclusion

Reference Data (Size Portfolios)
Reference Data (Book-to-Market Portfolios)

본문내용

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

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