재무연구 제 권 호 (2016년 5월)
Asian Review of Financial Research, Vol., No..
pp.1894~1922
pp.1894~1922
A Comparison of New Factor Models in the Korean Stock Market
Hankil Kang College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea.
Jangkoo Kang Graduate School of Finance & Accounting, College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea
Wooyeon Kim ollege of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea
We compare empirical performance of the Fama and French (2015) five-factor model, the Hou, Xue, and Zhang (2014) q-factor model, and their variations in the Korean stock market. Among the models considered, we show that the adjusted five-factor model, which includes the quarterly-based profitability factor instead of the yearly-based one, best explains the size, value, investment, and profitability sorted portfolio returns. The adjusted five-factor model outperforms the other factor models in digesting various anomalies in the Korean market.
Hankil Kang
Jangkoo Kang
Wooyeon Kim
We compare empirical performance of the Fama and French (2015) five-factor model, the Hou, Xue, and Zhang (2014) q-factor model, and their variations in the Korean stock market. Among the models considered, we show that the adjusted five-factor model, which includes the quarterly-based profitability factor instead of the yearly-based one, best explains the size, value, investment, and profitability sorted portfolio returns. The adjusted five-factor model outperforms the other factor models in digesting various anomalies in the Korean market.
the Fama-French five-factor model,the Hou-Xue-Zhang four-factor model,crosssectionof stock returns
