DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Hankil | ko |
dc.contributor.author | Kang, Jangkoo | ko |
dc.contributor.author | Kim, Wooyeon | ko |
dc.date.accessioned | 2019-11-11T06:20:56Z | - |
dc.date.available | 2019-11-11T06:20:56Z | - |
dc.date.created | 2019-11-11 | - |
dc.date.created | 2019-11-11 | - |
dc.date.created | 2019-11-11 | - |
dc.date.issued | 2019-10 | - |
dc.identifier.citation | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.48, no.5, pp.593 - 614 | - |
dc.identifier.issn | 2041-9945 | - |
dc.identifier.uri | http://hdl.handle.net/10203/268332 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.publisher | WILEY | - |
dc.title | A Comparison of New Factor Models in the Korean Stock Market | - |
dc.type | Article | - |
dc.identifier.wosid | 000492816500001 | - |
dc.identifier.scopusid | 2-s2.0-85074205440 | - |
dc.type.rims | ART | - |
dc.citation.volume | 48 | - |
dc.citation.issue | 5 | - |
dc.citation.beginningpage | 593 | - |
dc.citation.endingpage | 614 | - |
dc.citation.publicationname | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | - |
dc.identifier.doi | 10.1111/ajfs.12274 | - |
dc.identifier.kciid | ART002517872 | - |
dc.contributor.localauthor | Kang, Jangkoo | - |
dc.contributor.nonIdAuthor | Kang, Hankil | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Anomalies | - |
dc.subject.keywordAuthor | Asset pricing model | - |
dc.subject.keywordAuthor | Cross-section of stock returns | - |
dc.subject.keywordAuthor | Factor model | - |
dc.subject.keywordAuthor | Time series | - |
dc.subject.keywordPlus | MOMENTUM | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordPlus | SIZE | - |
dc.subject.keywordPlus | ANOMALIES | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.