Time-Varying Systematic Risk of the Stocks of Korean Logistics Firms

• 발행기관: 한국항해항만학회
• 저자명: Chi Yeol Kim
• 간행물 정보: 『한국항해항만학회지』제41권 제2호, 71~78쪽, 전체 8쪽
• 주제분류: 공학 > 해양공학
• 파일형태: PDF
• 발행일자: 2017.04.30

영문 초록

This paper aims to investigate the time-varying systematic risk of the stocks of Korean logistics firms. For this purpose, the period from January 1991 to October 2016 was examined with respect to 21 logistics companies that are listed on the Korea Exchange. The systematic risk of the logistics stocks is measured in terms of the Capital Asset Pricing Model (CAPM) beta for which the sensitivity of a stock is compared to the return changes of the whole market. Overall, the betas of the stocks of the Korean logistics companies are significantly lower than those of the market unity; however, it was revealed that the logistics betas are not constant, but are actually time-varying according to different economic regimes, which is consistent with the previous empirical findings. This finding is robust across different measurements of the logistics betas. In addition, the impact of macroeconomic factors on the logistics betas was examined. The present study shows that the logistics betas are positively associated with foreign exchange-rate changes.

목차

Abstract

1. Introduction

2. Theoretical Background and Literature Review

3. Methodology and Data Description

4. Empirical Results

5. Conclusions

References

키워드

CAPM Time-Variable Beta Industry Systematic Risk Cost of Capital Logistics Financial Management