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.
JEL classification: G12
Keywords: the Fama-French five-factor model; the Hou-Xue-Zhang four-factor model; crosssection of stock returns
학회소식
[2016년 제 2차] A Comparison of New Factor Models in the Korean Sto
작성자 : 관리자
조회수 : 951
게시일 :
2016-06-13
