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

DOI10.1007/S10690-018-9254-5zbMATH Open1410.91429OpenAlexW2899736930WikidataQ128971370 ScholiaQ128971370MaRDI QIDQ1732971FDOQ1732971

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

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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)

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

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