This paper presents a framework in which we can examine whether stock prices are overvalued or undervalued. This paper estimates equilibrium stock prices based on the Lucas (1978) tree model using the Hansen and Sargent (1980) cross-equation restriction approach and the VAR approach. By...

As South Korea has greatly suffered from the 1997 balance-of-payments crisis, many critics have blamed foreign investors for the economic crisis in the country. Foreign investors who suddenly became pessimistic about the South Korean economy and left the South Korean market are considered to...