Residual Maximum Drawdown in the Korean Stock Market

• 발행기관: 한국자료분석학회
• 저자명: Soo-Hyun Kim
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.22 No.3, 951~958쪽, 전체 8쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2020.06.30

영문 초록

Is there any predictability in the residuals from the pricing model? Does maximum drawdown contain unique information compared to other risk measures? We answer these questions through an empirical analysis of the South Korean stock market. The traditional pricing model calls the portion of the return that is not explained by the factors contained in the model residuals, and explains that the residuals have no information related to pricing. However, recently it has been demonstrated that the information extracted from the residuals has predictability power for the future returns. In this paper, the residuals are extracted based on the Korean stock market and the hypothetical residual-based price was generated in order to compute maximum drawdown. In our experiments, we compare the performances of residual maximum drawdown with those of residual volatility. Residual maximum drawdown exhibits clear predictability of both return and risk, while residual volatility is persistent only as a risk measure. The predictability of residual MDD remains significant for the risk-adjusted returns.

목차

1. Introduction

2. Data and Methodology

3. Result and Discussion

4. Conclusion

References

키워드

Residual Maximum Drawdown Korean Stock Market Predictability