Analyzing Markets with a Large Public Company: The Case of South Korea
研究韩国市场中最大上市公司（市值异常大）对股票市场结构的影响，通过因子分析比较其与其他因子的效果，发现区分最大公司效应有助于市场建模。
This article observes the impact of the largest public firm in a country, especially focusing on the case when the largest firm is disproportionately large. Although the size factor of stock returns is widely recognized, the largest firm may provide further value in analyzing stock markets. The authors perform various factor-based analyses to compare the effect of the largest firm with other statistical and fundamental factors of the market. The findings based on the Korean market show that a market with a massive firm, in terms of market capitalization, has a distinct structure, and distinguishing the effect of the largest firm is effective in modeling the market. <b>TOPICS:</b>Fundamental equity analysis, emerging markets, analysis of individual factors/risk premia, performance measurement <b>Key Findings</b> ▪ This study observes the impact of the largest public firm in a country, with a focus on the case of the Korean market, where the largest firm is an outlier in terms of market capitalization. ▪ Factor-based analyses are performed to compare the effect of the largest firm, and a comparison between the US and Korean markets is presented. ▪ The findings show that a market with a massive firm, in terms of market capitalization, has a distinct structure, and distinguishing the effect of the largest firm can be effective in modeling the market.