A Comparison of New Factor Models in the Korean Stock Market

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We compare the empirical performance of the Fama and French (2015) five-factor model, the Hou et al. (2015) q-factor model, and their variations in the Korean stock market. Among the models considered, we demonstrate that the adjusted five-factor model, which includes the quarterly- rather than the yearly-based profitability factor, best explains the size-, value-, investment-, and profitability-sorted portfolio returns. We also document supporting evidence that high-minus-low (HML) may not be a redundant factor in the existence of q-factors. The adjusted five-factor model outperforms the other factor models in digesting various anomalies in the Korean market.
Publisher
WILEY
Issue Date
2019-10
Language
English
Article Type
Article
Citation

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.48, no.5, pp.593 - 614

ISSN
2041-9945
DOI
10.1111/ajfs.12274
URI
http://hdl.handle.net/10203/268332
Appears in Collection
MT-Journal Papers(저널논문)
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