Re-examination of Fama-French models in the Korean stock market

DOI10.1007/S10690-018-9254-5MaRDI QIDQ1732971zbMATH OpenOpenAlexWikidataFDO

Authors Serge Rugwiro, SungSup Brian Choi

Publication date 26 March 2019

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-018-9254-5

zbMATH Keywords

liquidityFama and French three-factor modelcash-based operating profitabilityFama and French five-factor modelKorean stock market

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• REEXAMINATION OF THE ROBUSTNESS OF THE FAMA-FRENCH THREE-FACTOR MODEL
• Selected approaches for testing asset pricing models using Polish stock market data
• Efficient semiparametric estimation of the Fama-French model and extensions
• Three-factor market-timing models with Fama and French's spread variables
• Which Factors?*

Cites work

• Common risk factors in the returns on stocks and bonds

Cited in

(5)

• Presenting a model for portfolio risk premium assessment: evidence from the Tehran Stock Exchange
• The impact of corporate lifecycle on Fama-French three-factor model
• REEXAMINATION OF THE ROBUSTNESS OF THE FAMA-FRENCH THREE-FACTOR MODEL
• Application of the Fama-French multi-factor model in Chinese bond markets during the recent financial crisis
• A cointegration analysis of price transmission between ADRs and dually listed South Korean stocks

This page was built for publication: Re-examination of Fama-French models in the Korean stock market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1732971)