A Comparison of New Factor Models in the Korean Stock Market

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dc.contributor.authorKang, Hankilko
dc.contributor.authorKang, Jangkooko
dc.contributor.authorKim, Wooyeonko
dc.date.accessioned2019-11-11T06:20:56Z-
dc.date.available2019-11-11T06:20:56Z-
dc.date.created2019-11-11-
dc.date.created2019-11-11-
dc.date.created2019-11-11-
dc.date.issued2019-10-
dc.identifier.citationASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.48, no.5, pp.593 - 614-
dc.identifier.issn2041-9945-
dc.identifier.urihttp://hdl.handle.net/10203/268332-
dc.description.abstractWe 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.languageEnglish-
dc.publisherWILEY-
dc.titleA Comparison of New Factor Models in the Korean Stock Market-
dc.typeArticle-
dc.identifier.wosid000492816500001-
dc.identifier.scopusid2-s2.0-85074205440-
dc.type.rimsART-
dc.citation.volume48-
dc.citation.issue5-
dc.citation.beginningpage593-
dc.citation.endingpage614-
dc.citation.publicationnameASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES-
dc.identifier.doi10.1111/ajfs.12274-
dc.identifier.kciidART002517872-
dc.contributor.localauthorKang, Jangkoo-
dc.contributor.nonIdAuthorKang, Hankil-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorAnomalies-
dc.subject.keywordAuthorAsset pricing model-
dc.subject.keywordAuthorCross-section of stock returns-
dc.subject.keywordAuthorFactor model-
dc.subject.keywordAuthorTime series-
dc.subject.keywordPlusMOMENTUM-
dc.subject.keywordPlusRETURNS-
dc.subject.keywordPlusSIZE-
dc.subject.keywordPlusANOMALIES-
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