韓國證券市場에서 企業의 規模가 收益率에 미치는 效果

Abstract

The purpose of this paper is to test empirically the firm size effect in Korean Stock Market. To accomplish this objective, three research hypotheses were made. In order to test these hypotheses, 60 firms were selected by sample selection criteria. And the study period is from January, 1986 to December, 1991. This study was used monthly stock return and Korean Stock Price Index(KSPI) for measuring average abnormal return for 6 years. Market model is employed to compute abnormal return [E(Ri)-(Ai+BiRm)]. Also T-test and regression analysis is adopted as statistical method. The results of this study are as follows: First, the relation between the firm size and abnormal return was statistically significant positive correlation. But magnitude of positive correlation is very small. Second, significant differences in abnormal return between portfolio P₁ and portfolio P₄ were not revealed. Overall the empirical results of this study showed positive correlation between the firm size and return in Korean Stock market. But I admit that above results has a limitation to some extent. Thus it is suggested that future research on firm size effect should be conducted more perfectly making use of variables such as market value of the firm, total volume of sales, the firm's asset book value in same test period.