Comprehensive Asset Pricing Tests in the Korean Stock Market

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We examine the empirical performance in the Korean stock market of three new asset pricing factor models: the Stambaugh-Yuan (2017) mispricing factor model, the Daniel et al. (2020) three-factor model, Barillas-Shanken (2018) six-factor model and the Hou et al. (2021) q5-factor model. We find that all factors in these factor models have significantly positive risk premiums and are not explained by the Fama-French six-factor model. Compared to other prevalent models, the q5 model shows the highest maximum Sharpe ratio, mainly due to its profitability and expected growth factors. Further, the q5 model exhibits superior performance in explaining the returns of 97 anomaly portfolios in the Korean market.
Publisher
WILEY
Issue Date
2024-08
Language
English
Article Type
Article
Citation

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.53, no.4, pp.436 - 466

ISSN
2041-9945
DOI
10.1111/ajfs.12475
URI
http://hdl.handle.net/10203/322281
Appears in Collection
MT-Journal Papers(저널논문)
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